Support Board
Support Board
Search Board
Control Panel
View My Posts / Threads
Direct MessagesDate/Time: Fri, 19 Apr 2024 08:51:24 +0000
6E Continuous Backadjust log report wrong price levels
View Count: 1391
| [2019-03-18 22:41:49] |
| User925794 - Posts: 17 |
|
Hi Guys, I followed all steps from the manual from reload and recalculate, update symbols, to delete data and reload - same result. Running v1882 64-bit(26436) Data provider = CQG 6E contract from Mar2019 to Jun2019 using date rule backadjusted. Due to my session times, the new contract starts at the first bar open on last Thurday after globex open @ 17:00 cst. All data after that time are showing correct price levels. All data prices before that are at the adjusted calculated value plus the last open price of that Thursday's bar = 1.1304 + 86.5 = 87.604 - center for back adjust. Chart is 60min bars with 95 days loaded. From the log: F.US.EU6M19 [CB] 60 Min #8 | Performing continuous futures contract back adjustment calculations. | 2019-03-18 17:13:57 F.US.EU6M19 [CB] 60 Min #8 | F.US.EU6Z18 Open price on 2018-12-14 is 11359. | 2019-03-18 17:13:57 F.US.EU6M19 [CB] 60 Min #8 | F.US.EU6H19 Open price on 2018-12-14 is 11448. | 2019-03-18 17:13:57 F.US.EU6M19 [CB] 60 Min #8 | F.US.EU6Z18 price difference to F.US.EU6H19 is 89. | 2019-03-18 17:13:57 F.US.EU6M19 [CB] 60 Min #8 | F.US.EU6H19 Open price on 2019-03-15 is 11306. | 2019-03-18 17:13:57 F.US.EU6M19 [CB] 60 Min #8 | F.US.EU6M19 Open price on 2019-03-15 is 11392.5. | 2019-03-18 17:13:57 F.US.EU6M19 [CB] 60 Min #8 | F.US.EU6H19 price difference to F.US.EU6M19 is 86.5. | 2019-03-18 17:13:57 F.US.EU6M19 [CB] 60 Min #8 | Back adjust amount for symbol F.US.EU6Z18 is 175.5. | 2019-03-18 17:13:57 F.US.EU6M19 [CB] 60 Min #8 | Back adjust amount for symbol F.US.EU6H19 is 86.5. | 2019-03-18 17:13:57 It appears the decimal is not being used correctly. Please advise. Thanks, Todd |
| [2019-03-18 23:05:46] |
| |
|
Follow the instructions here to re-download the data for all contract months: Continuous Futures Contract Charts: Re-Downloading Continuous Futures Contract Data If you have changed the Price Multipliers in Chart Settings, set those back to the default of 1. We will not provide support for any changed multipliers. 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: 2019-03-18 23:05:57
|
| [2019-03-19 00:12:27] |
| User925794 - Posts: 17 |
|
I truly wish it were just that, but as I started out: "Hi Guys, I followed all steps from the manual from reload and recalculate, update symbols, to delete data and reload - same result." Your provided link is the exact same process I labeled "from the manual" Even though I saw this same response from you in another thread, and the person stated they did it twice - and you said once is enough....I did it again. So, now doing the same thing over and expecting different results brings me to that holy of holy states in trading known as insanity ;) Joking aside, I see what you guys go through, and honestly couldn't do what you do. I am committed not to post to this board until I've done my due diligence. That being said, at this point I hope it's just some little thing I've overlooked...but idk? Please advise. Thanks, Todd |
| [2019-03-19 00:51:03] |
| |
|
The log shows that there is a problem with the historical daily data. The prices are just simply totally wrong. That is why we said the data needs to be re-downloaded. There may be a problem with the historical data downloading. Therefore in this case perform a Full Reset of the symbol settings: https://www.sierrachart.com/index.php?page=doc/GlobalSymbolSettings.php#FullResetSymbolSettingsSteps After that is done follow these instructions again: Continuous Futures Contract Charts: Re-Downloading Continuous Futures Contract Data It still is not clear why some users are having a problem with this. What we have been seeing is that when there is a problem with this, the data is being downloaded from CQG which it should not be. But we have not been able to reproduce this issue. And it just should never occur to begin 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: 2019-03-19 00:52:56
|
| [2019-03-19 01:59:56] |
| User925794 - Posts: 17 |
|
Sorry, no change - here's the log report: F.US.EU6M19 [CB] 60 Min #8 | Performing continuous futures contract back adjustment calculations. | 2019-03-18 20:51:03 F.US.EU6M19 [CB] 60 Min #8 | F.US.EU6H19 Open price on 2019-03-15 is 11306. | 2019-03-18 20:51:03 F.US.EU6M19 [CB] 60 Min #8 | F.US.EU6M19 Open price on 2019-03-15 is 11392.5. | 2019-03-18 20:51:03 F.US.EU6M19 [CB] 60 Min #8 | F.US.EU6H19 price difference to F.US.EU6M19 is 86.5. | 2019-03-18 20:51:03 F.US.EU6M19 [CB] 60 Min #8 | Back adjust amount for symbol F.US.EU6H19 is 86.5. | 2019-03-18 20:51:03 At this point, I'm calling it a night...be back tomorrow morning around 5am cst. I really appreciate your help and frustration. Next? |
| [2019-03-19 10:57:13] |
| |
|
Make sure your current telephone number is set here: https://www.sierrachart.com/UserControlPanel.php?page=ManageAccountInfo Let us know when that is done. We will call you and look at this with remote assistance. 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 |
| [2019-03-19 12:31:13] |
| User925794 - Posts: 17 |
|
Good morning and good news. I was able to resolve the issue (for the time being), albeit unconventionally. After reviewing your documentation, which is really good by the way, I did the following: First, I noticed that the Rollover terms were not up to date. The CME has changed many contract terms in the last 6-8 months. Under Global Settings/Symbol Settings/Rollover for the 6E contract I changed the "Number of Business Days" from 3 to 2 per current contract specs. Then, I applied the rollover back adjust difference to last months contract via this command "6EH19=0.00865" in "Custom Continuous Contract Back Adjustment Amounts (symbol=amount):". Then, I followed the same procedure as laid out from your prior suggestion just to make sure we're dealing with a clean slate: Edit/Delete All Data and Download Chart/Reload and Recalculate The back adjusted data that was so far displaced was now offset by 0.00865. I removed the offset by deleting the cell input on the contract adjustment. Reloaded and recalculated on each chart within the affected workbook and voila, it's done. Just to make sure, I shut down and restarted SC - this seems to be a persistent fix. Thanks again for your support and attention. I will give you my phone number should you want to discuss further or review any relevant files remotely in support of your trying to understand this problem to complete resolve. Sometimes I can't help myself and the Engineer in me gets in the way ;) Cheers! Todd |
| [2019-03-19 13:19:09] |
| User925794 - Posts: 17 |
|
Whoops, not so fast... I remembered that I had this same problem with the indexes and "forced a solution" that satisfied my need. So, I just reviewed the "Rollover" under "Global Symbol Settings" for the E-mini S&P (ES) and Dow (YM). "Check Rollover Dates" for each produces same response = "The rollover date for "ES/YM H19" is "Saturday, March 16, 2019". The default "Rollover Rule" is "Method3" = "Number of Calendar Days Before Friday Count Within...." with "Number of Calendar Days" = "8", and "Friday Count Within Contract Month" = "3". According to CME contract specs, it's the same for each contract stated as "Trading can occur up to 9:30 am ET on the 3rd Friday of the contract month". Logically, I would enter "0" for "Number of Calendar Days", but having the response for rollover date as a Saturday I'm not sure. Please advise. Thanks, Todd |
| [2019-03-20 20:40:14] |
| |
|
We apologize for the delay. There is a lot here you are describing. Do you still want us to look at this remotely?
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 |
| [2019-03-20 21:59:58] |
| User925794 - Posts: 17 |
|
No problem on delay. I need to understand the Symbol Data Rollover logic that SC is using as they do not logically follow the same as the CME has them worded in the contract specs. Q1) Where do these defaults come from? Furthermore, per the default "Rollover Rule" being "Number of Calendar Days Before Friday Count Within Contract Month (Method3): As described in my last post and at that time, "The rollover date for "ES/YM H19" is "Saturday, March 16, 2019" was the response from clicking "Check Rollover Dates". This cannot be. Just now, I checked again on ES and YM, and the response is now different and showing, ""The rollover date for "ES/YM H19" is "Friday, March 8, 2019". Additional default entries are "Number of Calendar Days" = "8", and "Friday Count Within Contract Month" = "3". Now, looking at the "Show Rollover Dates" as posted on the chart, it shows the rollover date to be March 7th on my bar which would be correct for a March 8th rollover date based on my session times. With the new posted rollover date, March 7th is indeed 8 days before the 3rd Friday. Note: the chart setting is for "date rule rollover, back adjusted". Now, I changed the value in "Number of Calendar Days" from "8" to "0", which is the logical value and now displays the correct rollover date on the chart. Q2) Are we to go back and check all the contracts of interest? For the record, the CME statement is "Trading can occur up to 9:30 a.m. Eastern Time (ET) on the 3rd Friday of the contract month". For March, this date is March 15th. I understand how the time can be shifted due to session times of the chart, just to be clear, that's not the issue. Yes, this is a lot but the subject is singular - back adjusted contracts. And it's really important for the well being of any quantitative analysis on these products. No thanks, I don't need a remote session. Q3) Please explain how the ES and/or YM rollover dates are being identified within the current logic. Thanks, Todd |
| [2019-03-26 01:41:40] |
| |
|
We had modified the rule used for the CME stock index futures but had made a mistake and we think the revision you are running it is not handling it properly. The modification that should exist is that if the third Friday is within the first half of the month, the rollover date is moved one day forward. We want you to update Sierra Chart to get the very latest revision of 1882: Software Download: Fast Update And see if you notice any further issues. If so, we will go over this in detail. 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: 2019-03-26 01:41:57
|
| [2019-04-19 21:53:38] |
| User925794 - Posts: 17 |
|
Instead of opening another support request, I'm leaving it in this thread. This all has to do with back adjusted contract charts. I am still finding two issues regarding rollover. Issue 1: Regarding 6E Global Settings > Symbol Settings > 6E > default has Method 3 > Number of Calendar Days = 8; Friday Count Within Contract Month = 3. The "Number of Calendar Days" should be set = 0 for this method. When I upgrade to newest release, the default goes back to =3. As a suggestion, either set these defaults correctly or give the user the responsibility and control of these settings without default override changes. Issue 2: Regarding YM (and would assume for ES, NQ, other equity symbols?): Part 1: Similar as for 6E above: Global Settings > Symbol Settings > 6E > default has Method 4 > Number of Business Days = 3; Wednesday Count Within Contract Month = 3. The "Number of Business Days" should be set = 2. When I upgrade to newest release, the default goes back to =3. As a suggestion, either set these defaults correctly or give the user the responsibility and control of these settings without default override changes. Part 2: In a chart with 23 hour session from globex open to close, under "Chart Settings">"Advanced Settings">"Continuous Contract">Continuous Futures Contract - Date Based Rollover, Back Adjusted": on the transition date of Friday - March 15th, the chart data stops @ 08:30 CST and starts again on Sunday - March 17 @ 17:00 CST. Why is the chart not plotting data between 08:30-17:00? When I change the setting from date based to volume based back adjusted "Chart Settings">"Advanced Settings">"Continuous Contract">Continuous Futures Contract - Date Based Rollover, Back Adjusted" to "Chart Settings">"Advanced Settings">"Continuous Contract">Continuous Futures Contract - Volume Based Rollover, Back Adjusted", the data plots correctly including on the volume roll date7. |
| [2019-04-22 20:17:36] |
| |
|
In regards to the first two items, refer to: Upcoming changes to Symbol Settings Also what you are saying in regards to the symbol settings, is not correct. The symbol settings are not set like that. They are set correctly and there are no problems with them. Do not alter those settings. They are correct and we do not know where it is you are coming up with those settings because that is not how they are set. In regards to the second two items, we think there is missing data. Follow the instructions here: Continuous Futures Contract Charts: Re-Downloading Continuous Futures Contract Data 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: 2019-04-22 20:22:42
|
| [2019-04-22 20:24:07] |
| |
|
At this point we are declining further support in this thread and further questions from you on this subject.
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: 2019-04-22 20:48:44
|
To post a message in this thread, you need to log in with your Sierra Chart account: