Support Board
Date/Time: Thu, 17 Apr 2025 23:54:57 +0000
Post From: Volume based rollover and volume
| [2025-04-07 19:11:10] |
| KevinDiard - Posts: 21 |
|
Hello, I have two issues I haven't been able to resolve. There appears to be an error in your volume histogram. On the FGBLM25 contract, the volumes for March 19 and 20 are exactly the same, and the same applies to March 21 and 24. This causes the rest of the volume data to be offset by one day. I have tried "Download and Data" as well as reloading the charts, but nothing changes. Also, when I use "Show Chart Value on Profile (Volume)," the volume differs from what's shown in the volume histogram. For example, on Friday, April 4th, 2025, the Eurex website and the volume histogram from Sierra both show 2.60 million contracts, but "Show Chart Value" only shows 2.30 million. The time configuration is correct. Another issue: the "Volume Based Rollover" setting — a problem I’ve encountered several times before. The continuous contract with volume-based rollover is supposed to switch to the next contract when its volume exceeds that of the current one. However, on March 20th, 2025, the FESH25 contract had almost half the volume of the FESXM25 contract. Despite this, when loading a EuroStoxx continuous contract with volume-based rollover, the rollover does not occur on March 20th, but on the 21st — even though it should happen on the 20th. Please let me know how to fix this. Regards, Kévin |