Support Board
Date/Time: Sun, 02 Feb 2025 12:41:30 +0000
[Programming Help] - Correct way to load continuous futures contract from multiple SCID files
View Count: 1314
| [2019-09-11 00:22:36] |
| User972768 - Posts: 166 |
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Hello, I'm developing external script that reads SCID files and does analysis of their data. For my purposes I need to analyze continuous contracts. What is correct way to load multiple contracts (eg, ES for last 3 years) to get continuous contract based on "date rule rollover, back adjusted", similarly as Sierra does via Chart >> Chart Settings >> Advanced Settings? In other words I wonder how Sierra does this type of multiple contract aggregation. Thanks and best regards |
| [2019-09-14 15:30:32] |
| User972768 - Posts: 166 |
|
Just for future reference. If you came across this page in search for way to handle continuous contracts, here is the official explanation of how Sierra handles "date-based rollover, back adjusted" rule: Continuous Futures Contract Charts: Continuous Futures Contract - Date Rule Rollover, Back Adjusted In your calculations you might notice that some of the critical levels do not match official values (eg, All time high/low). And the more rollovers your chart / data set covers, the bigger the difference might be. The reason for this is explained in the following ticket: Rollover Methodology |
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