Support Board
Date/Time: Wed, 27 Nov 2024 06:49:13 +0000
Contract Rollover Data not 100% Correct?
View Count: 1317
| [2022-03-13 20:44:48] |
| User236676 - Posts: 1 |
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Rolling over contracts today. Rolled over /ES and have continuous futures contract- volume based rollover, back adjusted selected. My chart is showing the ATH at 4799ish versus the correct 4808 ATH. Anyone know what the problem could be? I have tried "edit delete all data and download" and that did not work. My /NQ and /RTY charts are showing the correct data (ATH).
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| [2022-03-13 22:15:11] |
| 1+1=10 - Posts: 270 |
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Back adjusting is from the perspective of the new contract. By definition it will change the prices of the previous contracts from the actual value. See quote below from docs here: Continuous Futures Contract Charts: Continuous Futures Contract - Date Rule Rollover, Back Adjusted When there is a rollover from one futures contract to the next, on the day of the rollover, the difference between the newer futures contract open price on that day and the prior futures contract open price on that same day is calculated. This is the back adjustment amount between those two contracts. At the very first rollover in the chart, the back adjustment amount is calculated for that rollover and all of the subsequent rollovers. At each rollover, the back adjustment amount for that particular rollover and all of the rollovers forward from that rollover, are added together. This total amount is the amount by which the prior contract is adjusted by. This process continues itself going forward through the contract months. The futures contract open prices for the rollover day are determined from the historical Daily chart data for the symbol. Check to see what the All-Time High (ATH) is without the back-adjustment turned on. |
| [2023-09-13 01:51:18] |
| Trade Dojo - Posts: 45 |
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I have this same issue. On smaller time frames, I turn off the rolling so I can have more accurate volume imbalances. However, on larger time frames, I want to have bigger view of multiple days, I have to turn on continuous rolling date, back adjusted. The high and low of the price swings are off, few points, given the data is within the latest contract period. I spent an afternoon trying to figure this out but still can't make it the same. |
| [2023-09-13 14:36:43] |
| John - SC Support - Posts: 36309 |
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When you Back-Adjust you will not get the same result. The data is modified up or down depending on what needs to happen to align the previous contract to the next contract.
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