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Direct MessagesDate/Time: Fri, 20 Sep 2024 00:49:21 +0000
SC Continuous Futures Data
View Count: 1771
| [2013-07-03 17:47:10] |
| gkm - Posts: 15 |
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There is an issue with the approach being used to provide continuous futures data intraday, and therefore possibly daily EOD as well. For example, the data for CC# shows the price today based on the July cash futures contract of 2250 for which there were 3 contracts traded. The data collected for a continuous futures contract should be based on the nearest futures month from the point in time when the volume of that contract exceeds the prompt month. For example in the case of CC#, the Sept contract has 19,000 contracts traded today. The continuous futures price should be based in this case on the Sept price, and likely should have been based on it some time ago. I'm not sure if this is SC's own issue or needs to be communicated to the data provider. Based on this, SC should also confirm that the daily EOD data is properly constructed as outlined above. If not, it needs to be fixed and the daily historical data needs to be recompiled to ensure accuracy for all continuous futures contracts. I noticed there is a similar issue in ZC# recently and I suspect this is the problem. July traded 2900 contracts today and Sept 58000. Pricing should be Sept. |
| [2013-07-04 00:12:18] |
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Please refer to this page. It will answer all of your questions: https://www.sierrachart.com/index.php?l=doc/doc_ContinuousFuturesContractCharts.html There is no issue with the data, it is just how it is. The page explains all of this and gives alternatives. 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 |
| [2013-07-04 00:45:26] |
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We do understand, what you mean about the data, but the reason we say there is no issue is because this is how the data provider does it. They have a definite logic which they follow and they will not change it. So this is how it is. However, by following Method 1, you can accomplish the construction of a continuous futures contract the way that you want. 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: 2013-07-04 02:02:47
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| [2013-07-04 01:33:20] |
| gkm - Posts: 15 |
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There is an issue with the data and you've admitted as much with the answer. This is a very disappointing outcome for something that should be fixed at source rather than left to the discovery and as a one off solution to be applied by each of your customers. This should be made much clearer for anyone using SC continuous futures data since it is all suspect if you don't use reasonable standards in its creation. Now I have to figure out how to sort through all this which is just great. |
| [2013-07-04 01:42:15] |
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There is a solution to this, and that is to use Method 1 as documented on the Continuous Futures Contract page. And we do make it very clear, how the continuous futures contract charts are constructed when using symbols that end with a #. Where in the documentation, did you learn to use the # after a futures contract symbol with the Sierra Chart Historical Data service? At that point in the documentation, you will see that it does mention how these contracts are constructed and when the rollover time is. We have just verified 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: 2013-07-04 01:43:06
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| [2013-07-05 00:21:53] |
| gkm - Posts: 15 |
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And method 1 says if you want more than 2-3 years of data (which is kind of the point of using continuous futures data) then use method 2 which is, as discussed above, the problem. Maybe I didn't read the fine print and just assumed something so simple would, as mentioned above, be handled at source rather than left so sub-standard. My bad for not vetting every tiny detail of SC. You're right. Congrats. |
| [2013-07-05 19:05:09] |
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OK.
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 |
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