Support Board
Date/Time: Mon, 17 Mar 2025 18:28:08 +0000
ES S&P Futures Rollover Date Data
View Count: 1479
| [2022-09-12 06:46:17] |
| User688525 - Posts: 280 |
|
Hello Sierra Chart Support, Can you please provide instructions on how to set the date that rollover data is used? For example, the December (EPZ22) contract was rolled over today (September 12, 2022), and it appears that the rollover data applies from the rollover date onwards (refer to attachment). How can the rollover data be applied to another date, for example, last Friday, September 09, 2022? Using the September (EPU22) contract, the OHLC for September 09, 2022 are: - O: 4010.25 - H: 4077.25 - L: 4005.75 - C: 4067.25 Using the December (EPZ22) contract, the OHLC for September 09, 2022 are: - O: 4028.50 - H: 4095.50 - L: 4024.00 - C: 4085.50 The continuous contract setting is: "Continuous Futures Contract - Date Rule Rollover". One more question, is there a "best practice" on when to rollover the contract, i.e., when the CME does at the end of this week (Friday, September 16, 2022), when volume is greater on the newer contract, etc? Thank you. |
 es-S&P-rollover-date.png / V - Attached On 2022-09-12 06:34:38 UTC - Size: 23.54 KB - 113 views |
| [2022-09-12 08:16:41] |
| Sierra_Chart Engineering - Posts: 18809 |
|
That is not the correct rollover date. It is September 15, 2022. You can control this through the Symbol Settings for the symbol. Refer to: Global Symbol Settings It is the "Rollover Method" setting. 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, use the Teton service: Sierra Chart Teton Futures Order Routing |
| [2022-09-13 11:12:12] |
| User688525 - Posts: 280 |
|
Hello Sierra Chart Support, Thank you for the instructions. The rollover date has been adjusted and all is working. One more question: 1. The OHLC values on the daily chart are accurate, however, the volume is incorrect, often inflated by more than 1,000,000 contracts. It appears that some days the volume is double? Is daily volume based on the current contract volume? Also, is there a way to reset the volume so that the values are accurate, i.e., "Reload and recalculate" and/or "Delete and Download Data". Thank you |
| [2022-09-13 11:17:49] |
| Sierra_Chart Engineering - Posts: 18809 |
|
Make sure this setting is disabled: Data/Trade Service Settings: Download Total Volume for All Contracts for Futures Daily Data (Global Settings >> Data/Trade Service Settings >> Common Settings >> Historical Daily Data) Other than the above setting there is no reason why the volume would not be accurate. If you did need to re-download data, refer to: Downloading Historical Daily 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, use the Teton service: Sierra Chart Teton Futures Order Routing Date Time Of Last Edit: 2022-09-13 11:18:08
|
| [2022-09-14 09:40:50] |
| User688525 - Posts: 280 |
|
That did it. Thank you.
|
To post a message in this thread, you need to log in with your Sierra Chart account: