Support Board
Date/Time: Sat, 04 Jan 2025 07:12:38 +0000
SC will not backtest/replay continuous contracts, when starting before last rollover
View Count: 1241
| [2016-05-28 23:24:43] |
| phaedonk - Posts: 352 |
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I have tested this with multiple symbols (DAX, CAC40, Z). If I start the backtest before the last rollover on the chart, the replay will just stand there after I press Play...forever. If I start a couple of days after the last rollover everything runs fine. I do not believe there is an error on my part (although you never know). As the documentation clearly mentions that backtesting with continuous contracts is supported, this looks to be either an important oversight, or maybe a bug in the latest versions? Although, it is the first time I have tried backtests that include dates before the last rollover. |
| [2016-05-28 23:55:46] |
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We ran a quick test now, and did not have a problem with this on the current version. It could not be symbol specific. Therefore, refer to steps 5 and 6 here: https://www.sierrachart.com/index.php?page=doc/doc_ReplayChart.html#BasicInstructions 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: 2016-05-28 23:55:54
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| [2016-05-29 08:56:51] |
| phaedonk - Posts: 352 |
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Please follow the steps below exactly, to reproduce this. 1. Restart Sierra (important) 2. Open a CAC40 chart (it has monthly rollovers, last one was May 20, now we are in the 201606 contract) 3. Chart Settings: days to load 33, Continuous (date rule, back-adjusted), Disable Automatic rollover (important) 4. Symbol settings: rollover: method3, 0, 3 5. Go to date: May 18, any time 6. Replay: enable Skip empty periods, pick as high speed as you want. It will not move, ever. It will not even Jump forward. 7. Go to Chart settings. Pick the 201605 contract (automatic rollover disabled, so it won't load the current contract) 8. Press OK. Problem is solved. Now the chart will replay normally. Press Stop. 9. Do NOT click to Rollover. 10. Restart Sierra. It starts with the 201605 contract. 11. Go to May 18 and Replay it. It will replay normally. 12. Now enable Automatic rollover in Chart settings. It will keep replaying normally, entering into the 201606 contract on May 20 and continuing. 13. Restart Sierra. It starts with the 201606 contract, as we enabled auto rollovers. 14. Go to May 18 and Replay it. It will NOT replay. My conclusion: Sierra will replay continuous charts, as long as the date selected to start from was previously loaded in Sierra as an independent non-continuous contract (9A above) or if the start date already belongs to the last contract in the series. In essence, when I loaded 201605 by itself, Sierra had no problem to later use it in a continuous replay. When I restarted Sierra with Auto-rollovers enabled, it started with 201606 and it had loaded 201605 only as part of the continuous chart and not by itself (also, it was not the last contract in the series). Thus it would not Replay. Please run the test as above, I believe you will get the same results. |
| [2016-05-30 08:19:22] |
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6. Replay: enable Skip empty periods, pick as high speed as you want. It will not move, ever. It will not even Jump forward.
We replayed the chart at 60 times, and it continues from May 18 to May 19 immediately. At a speed of 960 we had to wait approximately 30 to 40 seconds. This is all. This is a technical impossibility: My conclusion: Sierra will replay continuous charts, as long as the date selected to start from was previously loaded in Sierra as an independent non-continuous contract (9A above) or if the start date already belongs to the last contract in the series. There is absolutely nothing related to this which would cause inconsistent behavior. This is simply not possible. However, if you were to reload a chart while it is replaying, that might reset the replay timing variables. We would have to check that though. 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: 2016-05-30 08:23:22
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| [2016-05-30 08:20:38] |
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Our testing is using MX futures data with the Sierra Chart Historical Data Service: Sierra Chart Historical Data Service 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 |
| [2016-05-30 08:28:40] |
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So test with the MX futures data and see if you have a problem. You should not. There must be something else going on that we have not yet detected or are aware of. In general a problem like this we have not heard about but we have made some changes in recent versions with chart updating using a cached file which might have introduced a problem but we would not expect so. The changes should not have had any impact on 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: 2016-05-30 20:15:27
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| [2016-05-30 11:02:27] |
| phaedonk - Posts: 352 |
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Well my temporary solution is to disable Auto rollover, input the previous month(s) contract into the Symbol and press OK. Then I can revert to auto rollover and everything works. This is extremely frustrating. I will try to find time and test this on a fresh SC installation, so that it doesn't interfere with anything else. What precise symbol would you like me to test? Preferably something with monthly rollovers.
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| [2016-05-30 13:45:28] |
| User911969 - Posts: 3 |
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Hello, I have the same problem. All my chart books and contracts were continuously tested using replay in previous updates with no issues at all. I have seen that there is a problem when running the replay using "range-per-Bar" charts with the 1420 update. Regards |
| [2016-05-30 14:10:18] |
| phaedonk - Posts: 352 |
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I run 1419, typical time bars.
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| [2016-05-30 14:24:46] |
| User911969 - Posts: 3 |
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I have noticed that when doing the update the installation was unusually fast. Downloaded the 1420ver. from the site (not using fast update) and transferred my settings to the new installation and the problem is solved... Cheers. |
| [2016-05-30 20:00:00] |
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This problem relates to recent changes made. We have now been able to reproduce it. We will have a new release out today. I have noticed that when doing the update the installation was unusually fast. Downloaded the 1420ver. from the site (not using fast update) and transferred my settings to the new installation and the problem is solved...
This is only coincidental. There is no need to have done this. There is nothing wrong with the fast updating. And it is good to know that the updating is fast.
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 |
| [2016-05-30 20:09:29] |
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My conclusion: Sierra will replay continuous charts, as long as the date selected to start from was previously loaded in Sierra as an independent non-continuous contract (9A above) or if the start date already belongs to the last contract in the series.
Actually, we can see how this is true. We had said that this was impossible, and that was based upon how replays worked previously but the new changes to use the file cache, does introduce this problem. The new design is rather complex causing this unintended consequence.Basically the problem is that there is no cache file for a historical contract in a continuous futures contract chart since there is no need for that, So the replay does not function properly and essentially gets skipped because it is detected that there is an error condition (missing cache file object). 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: 2016-05-30 20:11:07
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| [2016-05-30 20:12:54] |
| phaedonk - Posts: 352 |
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Ok at least I'm not crazy. :) Thanks for the quick fix, as always.
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| [2016-05-30 20:53:53] |
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No definitely you were not going crazy. No doubt about that. We just could not reproduce the problem, but we recognized there was probably some condition that we just were not able to reproduce at first. 1421 is now released. 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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