Support Board
Date/Time: Sun, 24 Nov 2024 04:37:39 +0000
continuous futures contract chart by using the Join Intraday Data
View Count: 1486
| [2013-09-13 01:36:44] |
| xRoads1 - Posts: 35 |
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When this feature is used, how does the differential in price get resolved? Are the volumes combined by time and one price is favored over the other? Date Time Of Last Edit: 2013-09-13 01:37:15
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| [2013-09-13 02:39:42] |
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There is no price adjustment that is done. There is no combining of volumes. Refer to the documentation for this here: http://www.sierrachart.com/index.php?l=doc/doc_JoinIntradayData.php 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 |
| [2013-09-13 06:03:46] |
| xRoads1 - Posts: 35 |
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For the overlapping days on the contract how does the join pick the cut over date? I assume that it doesn't merge the overlapping days. |
| [2013-09-17 05:16:55] |
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From the Join Intraday Data page: When Intraday data files are joined, overlapping data is removed and the transition point from the prior file to the next file in the resulting Output file, occurs at the time at which the Volume in the next file being joined with the prior file exceeds the Volume in the prior file. The Volume is analyzed over a period of 12 Hours. Therefore, the transition point may be within a day. Not necessarily at the start of the day. 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 |
| [2013-09-17 11:16:22] |
| xRoads1 - Posts: 35 |
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Using the join, is price backward adjusted for contango/backwardation? If not, is the price offset represented by a gap intraday or just a hidden price offset in the bar in which it happens? |
| [2013-09-17 16:16:29] |
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No, there is no adjustment and there will be a price gap if there is one between contract months for the particular futures market you are working with.
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: 2013-09-17 16:17:07
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