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Direct MessagesDate/Time: Thu, 19 Sep 2024 16:19:17 +0000
ZB,ZF,ZN Futures roll from Mar14 (H4) to Jun14 (M4) contract front month
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| [2014-02-26 16:25:59] |
| NRGTrader - Posts: 351 |
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RE: SC INTRADAY Thanks for all the efforts on the OEC issues as well as the upgrades to the software over the past few months. I doubt you hear that enough and I am sure you're growing tired of the aggravation with the OEC FIX/Fast - "their problem, our problem conundrum". Anyhow, thanks! RE: SC DAILY Regarding roll forward of futures on the SC install I use for daily charts, there seems to be an issue with the adjustments from the H4 to M4 contracts. First, ZF and ZN have correctly moved to the M4 contract as of today, 02.26, however the prices prior to today haven't been adjusted. Therefore ZFM4 and ZNM4 prices prior to today are not adjusted by the amounts of approximately -1 1/32 and -1 18/32 respectively. I have "automatically roll futures" selected in chart settings. Secondly, the ZB contract is still loading the H4 contract. It should roll the same day as all other US Treasury interest rate instruments (ZF,ZN,ZT). |
| [2014-02-26 18:32:40] |
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We are still facing a very serious issue with OEC FAST integration that is lurking in the background . We need very clear FAST specifications from OEC. What they have provided us is not well-defined enough for the decoding process which can cause inadvertent incorrect prices to be generated from the decoding process. And they are not helping us with this. Basically they are telling us to figure this out on our own by forcing us to look into the source code of the encoder they are using rather than clearly defining the specifications. We have insisted on clear specifications and essentially they are just disregarding us. What they are asking us to do is a very long and difficult process. They should be doing this properly on their side by providing complete template specifications. Sounds like you are interested in back adjusted continuous futures contracts. Refer to: http://www.sierrachart.com/index.php?l=doc/doc_ContinuousFuturesContractCharts.html We are reviewing the rollover rules now for the bond contracts. 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: 2014-02-26 18:34:09
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| [2014-02-26 19:26:08] |
| NRGTrader - Posts: 351 |
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Yes, I am using back-adjusted continuous futures contracts. The rollovers on ZF,ZN occurred today thought not for ZB. The specs for rollover on all three symbols are the same. Furthermore, despite the ZF,ZN switching to the M4 contract from H4 the appropriate adjustments were not computed for the prior months - still showing H4 adjusted prices.
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| [2014-02-26 19:39:44] |
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What we have found based on volume is that the rollover for the bond contracts occurs one day before the last business day of the month before the contract month. This is what we now have set the rollover rules to. They are all consistent. Do not use the volume-based rollover. It must be date-based. And if the date of the rollover has not actually come yet, the back adjustments are not going to work correctly. When we set it to be 3 days before the last business day, and it is Date-based, the back adjustments do work correctly: ZFM13 | 2014-02-26 14:38:07 ZFU13 | 2014-02-26 14:38:07 ZFZ13 | 2014-02-26 14:38:07 ZFH14 | 2014-02-26 14:38:07 ZFM14 | 2014-02-26 14:38:07 ZFM14 [CB] Daily #1: Performing continuous futures contract back adjustment calculations. | 2014-02-26 14:38:07 ZFM14 [CB] Daily #1: ZFM13 Open price on 2013-05-29 is 123.0469. | 2014-02-26 14:38:07 ZFM14 [CB] Daily #1: ZFU13 Open price on 2013-05-29 is 122.5. | 2014-02-26 14:38:07 ZFM14 [CB] Daily #1: ZFM13 price difference to ZFU13 is -0.54689997. | 2014-02-26 14:38:07 ZFM14 [CB] Daily #1: ZFU13 Open price on 2013-08-28 is 120.7266. | 2014-02-26 14:38:07 ZFM14 [CB] Daily #1: ZFZ13 Open price on 2013-08-28 is 119.8281. | 2014-02-26 14:38:07 ZFM14 [CB] Daily #1: ZFU13 price difference to ZFZ13 is -0.89850003. | 2014-02-26 14:38:07 ZFM14 [CB] Daily #1: ZFZ13 Open price on 2013-11-27 is 121.8984. | 2014-02-26 14:38:07 ZFM14 [CB] Daily #1: ZFH14 Open price on 2013-11-27 is 121.0625. | 2014-02-26 14:38:07 ZFM14 [CB] Daily #1: ZFZ13 price difference to ZFH14 is -0.83590001. | 2014-02-26 14:38:07 ZFM14 [CB] Daily #1: ZFH14 Open price on 2014-02-26 is 120.7344. | 2014-02-26 14:38:07 ZFM14 [CB] Daily #1: ZFM14 Open price on 2014-02-26 is 119.7031. | 2014-02-26 14:38:07 ZFM14 [CB] Daily #1: ZFH14 price difference to ZFM14 is -1.0312999. | 2014-02-26 14:38:07 ZFM14 [CB] Daily #1: Back adjust amount for symbol ZFM13 is -3.3126001. | 2014-02-26 14:38:07 ZFM14 [CB] Daily #1: Back adjust amount for symbol ZFU13 is -2.7656999. | 2014-02-26 14:38:07 ZFM14 [CB] Daily #1: Back adjust amount for symbol ZFZ13 is -1.8671999. | 2014-02-26 14:38:07 ZFM14 [CB] Daily #1: Back adjust amount for symbol ZFH14 is -1.0312999. | 2014-02-26 14:38:07 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 |
| [2014-02-26 20:20:07] |
| NRGTrader - Posts: 351 |
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I did/do have each of those set to the roll date you specified, 1 day before last business day of the month before contract month, which is tomorrow 02.27.14. FYI, I do NOT use volume based on any futures contracts. That said, ZN and ZF rolled today but did not adjust and ZB did not roll. Let's wait and see what happens tomorrow when I load the charts. For now, I switched my symbols back to H4 on charts - data is correct for those. Thanks |
| [2014-02-26 20:33:35] |
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Set them to rollover 2 or 3 days before the last business day and this will solve the problem. The problem with 1 day, is that it has not yet occurred and that is why the back adjustment calculations are failing. What we are referring to is the Rollover settings for the symbols in Global Settings >> Symbol Settings. 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 |
| [2014-02-26 20:46:50] |
| NRGTrader - Posts: 351 |
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>Set them to rollover 2 or 3 days before the last business day and this will solve the problem. The problem with 1 day, is that it has not yet occurred and that is why the back adjustment calculations are failing. What we are referring to is the Rollover settings for the symbols in Global Settings >> Symbol Settings. Yes, I understand that, as I stated tomorrow will be the 1 day trigger so the rollover should occur when I load the charts tomorrow. Also, yes already had the 1 day setting in "Global Settings >> Symbol Settings.". |
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