Support Board
Date/Time: Thu, 28 Nov 2024 00:30:05 +0000
[User Discussion] - GAP issues on Continuous Contract
View Count: 1031
| [2023-03-14 09:05:37] |
| User687917 - Posts: 75 |
|
Hi, I have charts with "Continuous Futures Contract - Volume Based Rollover". Data Denalli and SC v2480 Yesterday I opened chartbook with SP500, NQ, Russell and DOW in H23 contract, it asked me to rollover and I did it, I got a GAP in these charts (a lot of price displacement from one day to another). Consulting with friends, they do not have any GAP in their platforms, and prices of the previous day were very different from what appeared in my charts. The relevant levels (support-resistance) that I had marked did not match either. I was trading thinking that this GAP was normal, marking relevant zones based on it. With the problems that this led me to make mistakes. After finishing my session, I decided to review that GAP, and I discovered that changing from "Volume Based Rollover" to "Volume Based Rollover Back Adjusted" the GAP disappeared and it looked more like the charts that my friends showed me. I also tried with the Date rollover and the same thing, the normal one shows GAP and the Back Adjusted one does not. I thought that the "Volume Based Rollover" would be the "recommended" for the charts to make the rollover depending on the volume traded, but that this did NOT affect the price displayed, but at most the volume. I attach images of the NQ with the "Volume Based Rollover" and "Volume Based Rollover Back Adjusted" (the GAP one is the "Volume Based Rollover"). So, what is the correct way to have continuous contracts on the charts without these GAPS or similar problems? |
 F.US.ENQM23 F.US.MNQM23 [CBV][M] 5 Min #2 2023-03-14 04_.png / V - Attached On 2023-03-14 09:03:56 UTC - Size: 53.54 KB - 139 views F.US.ENQM23 F.US.MNQM23 [CV][M] 5 Min #2 2023-03-14 04_0.png / V - Attached On 2023-03-14 09:04:03 UTC - Size: 48.34 KB - 115 views Attachment Deleted. |
| [2023-03-14 09:06:40] |
| User687917 - Posts: 75 |
|
Attached are also images of the SP500 with the same GAP issue.
|
| F.US.EPM23 F.US.MESM23 [CBV][M] 5 Min #1 2023-03-14 04_0.png / V - Attached On 2023-03-14 09:06:29 UTC - Size: 61.14 KB - 91 views F.US.EPM23 F.US.MESM23 [CV][M] 5 Min #1 2023-03-14 03_59.png / V - Attached On 2023-03-14 09:06:34 UTC - Size: 56.67 KB - 88 views |
| [2023-03-14 17:18:57] |
| John - SC Support - Posts: 36350 |
|
This is personal choice. It just depends on how you want/need to view the data. Refer to the information at the following link regarding Back-Adjustment: Continuous Futures Contract Charts: Understanding Back Adjusted Price Data and Comparisons For the most reliable, advanced, and zero cost futures order routing, use the Teton service: Sierra Chart Teton Futures Order Routing |
| [2023-03-14 19:11:46] |
| User687917 - Posts: 75 |
|
What I don't understand is how there can be such a difference in price, either with the normal Rollover or the back adjusted. Since I understand that the price at a given moment is what it is, either in this contract or in the previous one. If you tell me that there is a "small GAP" or spread in the price, I would still understand it. But not that "the whole of the previous price is shifted that many points!" I don't know if it's because of the data or what (I don't understand), but I don't see it as normal. And even less in a trading platform as powerful as SierraChart, and in a business where these variations can be very expensive for the client... |
| [2023-03-14 19:44:57] |
| User431178 - Posts: 544 |
|
What I don't understand is how there can be such a difference in price
Look at the price difference between the contract months, it is 100% normal. https://www.cmegroup.com/markets/equities/sp/e-mini-sandp500.quotes.html Yesterday, for ES, the difference between March and June contracts (at settlement) was 32 points. |
| [2023-03-15 14:59:25] |
| Sierra_Chart Engineering - Posts: 17199 |
|
Thank you for post #5.
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 |
| [2023-06-15 15:34:24] |
| ash bhasin - Posts: 7 |
|
Hi I have a problem at the moment due to the rollover on EURO FX. When i did the rollover yesterday for CME Euro futures all or a sudden there was a big gap up which didn’t happen in real life. How do i fix this |
To post a message in this thread, you need to log in with your Sierra Chart account: