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Date/Time: Mon, 17 Mar 2025 18:20:10 +0000

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es NEW!! cme futures rollover policy

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[2022-06-09 15:29:31] #1 [Go To First Post]
RonW - Posts: 105
CME has changed the rollover from 2nd Thursday of the month, to the Monday before expiration. So for example, the rollover from ES June to ES September will occur this coming Monday June 13, rather than today, June 9, as it would have in the past. Do the chart settings in Sierra automatically pick this up, or do you guys need to make a change to the "Date Rule Rollover" code? Do I need to download an updated version? Thanks.

[2022-06-09 16:43:00] #2 [Go To First Post]
John - SC Support - Posts: 38711
The information for the rollover is stored in the Symbol Settings. We will have to look into this and see if we need to update the Symbol Settings. If we do make change, then you would either need to update your Symbol Settings, or restart Sierra Chart (when you start Sierra Chart it checks to ensure the Symbol Settings are up to date). For the most reliable, advanced, and zero cost futures order routing, use the Teton service: Sierra Chart Teton Futures Order Routing

[2022-06-09 18:12:54] #3 [Go To First Post]
RonW - Posts: 105
Thanks. Can you let me know when you have looked into it?

[2022-06-09 19:11:40] #4 [Go To First Post]
Sierra Chart Engineering - Posts: 104368
We will get these rollover rules updated. This will be effective next week. 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

[2022-06-10 06:15:04] #5 [Go To First Post]
binaryduke - Posts: 378
How will this effect longer term continuous charts and back adjustment? Will you be able to reflect the date of the change in the date rule rollover for these charts if the data is deleted and re-downloaded?

[2022-06-10 07:16:49] #6 [Go To First Post]
Sierra Chart Engineering - Posts: 104368
The change in the rule will apply, to all prior contract months. So you will need to use a Volume-based rollover for Continuous Futures Contract charts. 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: 2022-06-10 07:17:03

[2022-06-10 13:33:51] #7 [Go To First Post]
John - SC Support - Posts: 38711
The new rollover rules have been put out. You can either update symbol settings or restart Sierra Chart. Refer to the following for how to update symbol settings: Global Symbol Settings: Update Symbol Settings For the most reliable, advanced, and zero cost futures order routing, use the Teton service: Sierra Chart Teton Futures Order Routing

[2022-06-10 16:04:49] #8 [Go To First Post]
Tony - Posts: 555
Hi, I re-compile my ACSIL code this morning, the SCDateTime Variable sc.ContractRolloverDate gave me Jun 16, 2022 (Thu) instead of Jun 13, 2022 (Mon) Also, I am wondering is it possible that, after I set sc.TradeAndCurrentQuoteSymbol, sc.ContractRolloverDate would also change to the rollover date of the symbol set in sc.TradeAndCurrentQuoteSymbol? Thanks Date Time Of Last Edit: 2022-06-10 16:11:23

[2022-06-10 17:28:59] #9 [Go To First Post]
Sierra Chart Engineering - Posts: 104368
Sierra Chart will always use the official rules: https://www.cmegroup.com/markets/equities/dow-jones/e-mini-dow.contractSpecs.html Trading terminates at 9:30 a.m. ET on the 3rd Friday of the contract month Also, I am wondering is it possible that, after I set sc.TradeAndCurrentQuoteSymbol, sc.ContractRolloverDate would also change to the rollover date of the symbol set in sc.TradeAndCurrentQuoteSymbol? The rollover date should be based upon the main symbol of the chart. 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: 2022-06-10 17:30:18

[2022-06-10 19:21:21] #10 [Go To First Post]
Tony - Posts: 555
sc.ContractRolloverDate gave me the wrong date since this morning (version 2400) which is June 16, 2022 Thursday, that is neither a roll over day nor an expiration day. I understand that trading terminates at 9:30 a.m. ET on the 3rd Friday of the contract month, 3rd Friday is the expiration day. First I thought it was the Rithmic issue, so I went to 'Global Settings' -> 'Symbol Settings' and click 'ES?#.CME' under 'Symbols', on the right side in 'Settings for ES?#.CME' I changed 'Rollover Method' from 'Default: 1 calendar day before the 3rd Friday of the contract month.' to 'Custom: 4 Calendar Days Before' But it had no effects, sc.ContractRolloverDate still gives me June 16, 2022

[2022-06-11 00:21:09] #11 [Go To First Post]
Sierra Chart Engineering - Posts: 104368
Since these stock index futures expire in the morning, we use one day before in that case. After changing the Global Symbol Settings, reload the chart with Chart >> Reload to update the rollover date. 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: 2022-06-11 00:22:39

[2022-06-12 20:00:35] #12 [Go To First Post]
RMos22 - Posts: 27
The default rollover method for equity index futures should be '4 calendar day before 3rd Friday of the contract month' not '1 calendar day.....' These are the Qtly Roll Dates on the CME website: https://www.cmegroup.com/trading/equity-index/rolldates.html

[2022-06-13 00:32:44] #13 [Go To First Post]
Tony - Posts: 555
So, after I changed roll over day from Default Setting of '1 calendar day before 3rd Friday of the contract month' to Custom Settings '4 calendar day before 3rd Friday of the contract month' and Chart -> Reload/Re-Calculate, also tried close Sierra Chart program and re-run, sc.ContractRolloverDate still gives June 16 Thursday, instead of June 13 Monday. It seems to me that sc.ContractRolloverDate is calculated according to Default Settings (checking or unchecking 'Use Custom Symbol Settings Values' has no effect either) It doesn't really bother me for the time being, I get around it by doing: int ContractRollOverDate = sc.ContractRolloverDate - SCDateTime::DAY(3); P.S. sc.ContractRolloverDate was always accurate before CME changed Roll Over Policy Date Time Of Last Edit: 2022-06-13 05:01:33

[2022-06-14 14:39:25] #14 [Go To First Post]
Sierra Chart Engineering - Posts: 104368
Post #13 does not make sense. As long as you have enabled Use Custom Symbol Settings Values and have changed the rollover settings for the correct symbol pattern. There should not be an issue. 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: 2022-06-14 14:43:04

[2022-06-14 15:27:15] #15 [Go To First Post]
Tony - Posts: 555
I needed to exit Sierra and re-open after making changes in Symbol Settings. Everything works now, thanks for following up.

[2022-09-15 15:27:23] #17 [Go To First Post]
binaryduke - Posts: 378
Have the symbol settings been updated? I've Updated from Server and still see 1 calendar day before the 3rd Friday of the contract month for ES (and the other CME equities).

[2022-09-15 15:32:35] #18 [Go To First Post]
binaryduke - Posts: 378
I've also edited the rollover rule for ES to be 4 calendar days before the 3rd Friday (to reflect the new Monday roll since March 2022) but on date rule rollover/back adjusted this has not had any effect.

[2022-09-15 18:56:19] #19 [Go To First Post]
Tony - Posts: 555
binaryduke, I had same issue back in June, turned out that I need to exit Sierra Chart and re-open, then everything works fine (refer to post #13 and #15 in this thread) Also, make sure 'Use Custom Symbol Settings Values' on the top left of 'Symbol Settings' window is checked. I still don't understand why Rollover Method doesn't have the right date by default though.

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