Support Board
Date/Time: Fri, 27 Dec 2024 18:14:15 +0000
Problems with ICE London Cocoa or ICE Robusta rollover logic
View Count: 1752
| [2016-02-09 04:58:33] |
| i960 - Posts: 360 |
|
For some reason I cannot get these contracts to work correctly with any typical rollover rule without a month-wide gap showing up at contract rollover. Even when switching between volume and date based rollover rules, both show gaps. The only thing that works is a daily chart, no intraday chart (either volume or time based) works without a gap at contract rollover. I've deleted and redownloaded the intraday data multiple times. Here's the specs: London Cocoa, https://www.theice.com/products/37089076/London-Cocoa-Futures FIRST NOTICE DAY The business day immediately following the last trading day LAST TRADING DAY Eleven business days immediately prior to the last business day of the delivery month at 12:00 For London Cocoa, I use "Number of business days before last business day of contract month" with a days setting of 11. Robusta, https://www.theice.com/products/37089079/Robusta-Coffee-Futures FIRST NOTICE DAY First business day of the delivery month LAST TRADING DAY Last business day of the delivery month at 12:30 LAST NOTICE DAY Last business day of the delivery month For Robusta I use "Number of business days before first business day of contract month" with a days setting of 0. |
| [2016-02-10 10:51:50] |
| |
|
We will be reviewing this next week.
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 |
| [2016-02-17 04:46:10] |
| |
|
Since these are commodity futures, we have set the date rollover rule to be 3 business days before the end of the contract month. They were set incorrectly before. The exchange rules cannot be used. When using a volume-based rollover, the exact rollover will be determined at that time. Update the Symbol Settings as explained here: https://www.sierrachart.com/index.php?page=doc/doc_GlobalSymbolSettings.php#UpdateSettingsSteps You may need to re-download the missing data following the instructions here: https://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 |
| [2016-02-21 10:54:16] |
| i960 - Posts: 360 |
|
Why can't the exchange rules be used here? I don't see anything special about a "commodity" future vs any other form of future. They're all futures. The concern with Robusta for instance is the FND being 1 month prior to the end of the contract month. No small specs will trade past the FND, regardless of what the actual last trading day is. I do understand volume based rollover will probably help in that case - but anyone using date based rollover might have issues.
|
| [2016-02-21 20:17:43] |
| |
|
In all of our experience for charting purposes, if the futures contract calls for a deliverable commodity, rollover is always going to occur before the delivery month. When we use this, the charts look correct. So this is why we use in that particular case 3 business days before the delivery month. That can be changed to 1 business day. But as long as it is before the delivery month. Try using the particular rollover date that you want and if there is missing data follow the instructions here: https://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: 2016-02-21 20:18:17
|
To post a message in this thread, you need to log in with your Sierra Chart account: