Support Board
Date/Time: Wed, 27 Nov 2024 20:36:36 +0000
Continuous Futures Contract
View Count: 1672
| [2014-10-02 11:58:36] |
| Hendrixon - Posts: 130 |
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For a long time I felt that the volume based rollover is "not working well". sometimes it seemed to do a good job and sometimes it didn't. Trying to fix this, I looked on global symbol setting rollover parameters and found that if I change the number of days there... it changes the way the volume based rollover chart is constructed. What?? can't be. Volume based rollover should have no other parameter to choose the day of rollover other than volume transition... yet the chart changes. It took sometime to sink, but today I compared a chart of Continuous Futures Contract based on volume rollover to a chart based on date rollover. What do you know >>> they are identical! This explains why the "volume based" chart is influenced by number of days setting changes in the global symbol settings window... because it actually does a "date based" roll over. This also explains why sometimes the "volume based" rollover seemed to do a good job and sometimes it didn't. because by accident sometimes the date rollover actually fell on the volume transition and sometimes it didn't. * Attached picture of crude oil. left side is date rollover and right side is volume rollover. * Underlying data is tick. bars are daily, built from intraday chart (not historic). |
File1.png| [2014-10-02 15:48:24] |
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This is because the volume-based rollover cannot be determined. The Message Log would indicate this. Look for messages which say "Unable to determine transition date based on volume from files". This is the source of the problem. Re-download the data for all futures contract months in the chart by following the instructions here: http://www.sierrachart.com/index.php?page=doc/doc_ContinuousFuturesContractCharts.html#ReDownloading Sierra Chart Support - Engineering Level Your definitive source for support. Other responses are from users. Try to keep your questions brief and to the point. Be aware of support policy: https://www.sierrachart.com/index.php?l=PostingInformation.php#GeneralInformation For the most reliable, advanced, and zero cost futures order routing, *change* to the Teton service: Sierra Chart Teton Futures Order Routing Date Time Of Last Edit: 2014-10-02 15:48:37
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| [2014-10-03 12:34:11] |
| Hendrixon - Posts: 130 |
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* Attached a picture showing volume rollover chart with the log and chart setting windows. * No "cannot be determined" error line. * From the first line of the log you can see that SC right away goes to "date rule based rollover" and sets the rollover dates. * And of course the chart did not roll on the day of volume transition... even though there is no error msg. |
| [2014-10-03 15:10:54] |
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Interesting. It works fine for us: Date rule based rollover from CLQ4 to next contract occurs at 2014-07-21. | 2014-10-03 11:10:05
Date rule based rollover from CLU4 to next contract occurs at 2014-08-19. | 2014-10-03 11:10:05 Date rule based rollover from CLV4 to next contract occurs at 2014-09-19. | 2014-10-03 11:10:05 Date rule based rollover from CLX4 to next contract occurs at 2014-10-20. | 2014-10-03 11:10:05 Checking Intraday data file for symbol CLQ4 for the date range from 2014-06-19 to 2014-07-21. | 2014-10-03 11:10:05 Checking Daily data file for symbol CLQ14 for the date range from 2014-06-19 to 2014-07-21. | 2014-10-03 11:10:05 Checking Intraday data file for symbol CLU4 for the date range from 2014-07-21 to 2014-08-19. | 2014-10-03 11:10:05 Checking Daily data file for symbol CLU14 for the date range from 2014-07-21 to 2014-08-19. | 2014-10-03 11:10:05 Checking Intraday data file for symbol CLV4 for the date range from 2014-08-19 to 2014-09-19. | 2014-10-03 11:10:05 Checking Daily data file for symbol CLV14 for the date range from 2014-08-19 to 2014-09-19. | 2014-10-03 11:10:05 Checking Intraday data file for symbol CLX4 for the date range from 2014-09-19 to 0. | 2014-10-03 11:10:05 Checking Daily data file for symbol CLX14 for the date range from 2014-09-19 to 2014-10-03. | 2014-10-03 11:10:05 CLX4 [CV] [M] 60 Min #12 | Symbols used for continuous contract chart: | 2014-10-03 11:10:05 CLQ4 | 2014-10-03 11:10:05 CLU4 | 2014-10-03 11:10:05 CLV4 | 2014-10-03 11:10:05 CLX4 | 2014-10-03 11:10:05 Volume based rollover from CLQ4 to CLU4 occurs at 2014-07-18 | 2014-10-03 11:10:05 Volume based rollover from CLU4 to CLV4 occurs at 2014-08-18 | 2014-10-03 11:10:05 Volume based rollover from CLV4 to CLX4 occurs at 2014-09-19 | 2014-10-03 11:10:05 We need to think about this and look at the code. Sierra Chart Support - Engineering Level Your definitive source for support. Other responses are from users. Try to keep your questions brief and to the point. Be aware of support policy: https://www.sierrachart.com/index.php?l=PostingInformation.php#GeneralInformation For the most reliable, advanced, and zero cost futures order routing, *change* to the Teton service: Sierra Chart Teton Futures Order Routing Date Time Of Last Edit: 2014-10-03 15:11:10
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| [2014-10-03 15:22:26] |
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Also, Sierra Chart will always do the date-based rollover calculations at the beginning. This is necessary to determine what historical Daily data needs to be downloaded to do the rollover calculations. This is a necessary first step.
Sierra Chart Support - Engineering Level Your definitive source for support. Other responses are from users. Try to keep your questions brief and to the point. Be aware of support policy: https://www.sierrachart.com/index.php?l=PostingInformation.php#GeneralInformation For the most reliable, advanced, and zero cost futures order routing, *change* to the Teton service: Sierra Chart Teton Futures Order Routing |
| [2014-10-03 15:50:55] |
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Some additional logging will be added to the next release. However, what we recommend doing now is selecting File >> Open Historical Chart and deleting all of the CL* files. After that go to the chart and select Chart >> Reload and Recalculate. Sierra Chart Support - Engineering Level Your definitive source for support. Other responses are from users. Try to keep your questions brief and to the point. Be aware of support policy: https://www.sierrachart.com/index.php?l=PostingInformation.php#GeneralInformation For the most reliable, advanced, and zero cost futures order routing, *change* to the Teton service: Sierra Chart Teton Futures Order Routing Date Time Of Last Edit: 2014-10-03 15:51:08
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| [2014-10-05 16:12:50] |
| Hendrixon - Posts: 130 |
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I did as you suggested (deleting the daily data files) and the volume rollover now worked. Just a suggestion, if for any reason SC is not able to figure a volume rollover and chooses to fall back to date rollover, please added a text error msg on the corresponding chart, just like you do when a symbol has expired or when downloading backfill data. Reason is when using several SC copies with +50 charts (I know some users even have 100 and 150 charts) you can't monitor hundreds of log lines on several log files every time you load your trading setup... which happens everyday. |
| [2014-10-05 21:05:35] |
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The easiest thing we can do in this case would be to change the Continuous Contract setting from a volume-based rollover to a date-based rollover. This way you can tell just by looking at the top line of the chart where you see [C]. Sierra Chart Support - Engineering Level Your definitive source for support. Other responses are from users. Try to keep your questions brief and to the point. Be aware of support policy: https://www.sierrachart.com/index.php?l=PostingInformation.php#GeneralInformation For the most reliable, advanced, and zero cost futures order routing, *change* to the Teton service: Sierra Chart Teton Futures Order Routing |
| [2014-10-06 11:15:06] |
| Hendrixon - Posts: 130 |
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"This way you can tell just by looking at the top line of the chart where you see [C]" Subtle but better than not knowing :-) Will this cope with what I showed above, that SC can, at times, "not" do a volume rollover and fall back to date rollover even with no error reported? Two related questions that arose while testing the rollover issue: 1. When I open a continuous chart like CL#, where does it come from? SC server? Rithmic? Optimus backfill? 2. I tried to exclude a date from a chart (see attached picture) but it doesn't seem to work. never tried this before Date Time Of Last Edit: 2014-10-06 11:16:22
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| [2014-10-06 18:04:22] |
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1. We do not support these symbols any longer. 2. It looks like the data is excluded to us. How do you conclude otherwise? The screen image you have provided confirms this. Sierra Chart Support - Engineering Level Your definitive source for support. Other responses are from users. Try to keep your questions brief and to the point. Be aware of support policy: https://www.sierrachart.com/index.php?l=PostingInformation.php#GeneralInformation For the most reliable, advanced, and zero cost futures order routing, *change* to the Teton service: Sierra Chart Teton Futures Order Routing |
| [2014-10-06 22:42:40] |
| Hendrixon - Posts: 130 |
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2. For a moment I thought I was imagining. I checked things again and it seems that this feature eliminates the date prior to what you put in. In the pic I wanted to eliminate the low volume date, but SC actually eliminated the day before... which was a Sunday and hence to me it looked like nothing changed. So it does work, be you eliminate a date prior to what entered. |
| [2014-10-06 22:58:22] |
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2. You set Sierra Chart to remove 2014-09-01. It does not appear that date is in the chart. We are not understanding what you are trying to point out.
Sierra Chart Support - Engineering Level Your definitive source for support. Other responses are from users. Try to keep your questions brief and to the point. Be aware of support policy: https://www.sierrachart.com/index.php?l=PostingInformation.php#GeneralInformation For the most reliable, advanced, and zero cost futures order routing, *change* to the Teton service: Sierra Chart Teton Futures Order Routing |
| [2014-10-06 23:20:38] |
| Hendrixon - Posts: 130 |
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Its there, check the first attached pic, i added date markers as well. Picture two shows that in order to eliminate 9-1 I actually need to enter 9-2 (2010-09-02). As you can see 9-2 is still there but 9-1 is gone. Date Time Of Last Edit: 2014-10-07 10:22:38
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| [2014-10-07 16:23:16] |
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What are the Session Times for the chart and the time zone setting in Sierra Chart. There should not be a problem with this. Sierra Chart Support - Engineering Level Your definitive source for support. Other responses are from users. Try to keep your questions brief and to the point. Be aware of support policy: https://www.sierrachart.com/index.php?l=PostingInformation.php#GeneralInformation For the most reliable, advanced, and zero cost futures order routing, *change* to the Teton service: Sierra Chart Teton Futures Order Routing Date Time Of Last Edit: 2014-10-07 16:25:46
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| [2014-10-08 10:11:52] |
| Hendrixon - Posts: 130 |
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Chart time session in attached pic. UTC offset is +2:00 |
| [2014-10-11 09:05:12] |
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We look into this and this feature does work properly. Refer to the updated documentation for it on the Chart Settings page.
Sierra Chart Support - Engineering Level Your definitive source for support. Other responses are from users. Try to keep your questions brief and to the point. Be aware of support policy: https://www.sierrachart.com/index.php?l=PostingInformation.php#GeneralInformation For the most reliable, advanced, and zero cost futures order routing, *change* to the Teton service: Sierra Chart Teton Futures Order Routing Date Time Of Last Edit: 2014-10-11 09:05:22
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