Support Board
Date/Time: Tue, 15 Apr 2025 12:27:59 +0000
Volume based rollover and volume
View Count: 82
| [2025-04-07 19:11:10] |
| KevinDiard - Posts: 21 |
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Hello, I have two issues I haven't been able to resolve. There appears to be an error in your volume histogram. On the FGBLM25 contract, the volumes for March 19 and 20 are exactly the same, and the same applies to March 21 and 24. This causes the rest of the volume data to be offset by one day. I have tried "Download and Data" as well as reloading the charts, but nothing changes. Also, when I use "Show Chart Value on Profile (Volume)," the volume differs from what's shown in the volume histogram. For example, on Friday, April 4th, 2025, the Eurex website and the volume histogram from Sierra both show 2.60 million contracts, but "Show Chart Value" only shows 2.30 million. The time configuration is correct. Another issue: the "Volume Based Rollover" setting — a problem I’ve encountered several times before. The continuous contract with volume-based rollover is supposed to switch to the next contract when its volume exceeds that of the current one. However, on March 20th, 2025, the FESH25 contract had almost half the volume of the FESXM25 contract. Despite this, when loading a EuroStoxx continuous contract with volume-based rollover, the rollover does not occur on March 20th, but on the 21st — even though it should happen on the 20th. Please let me know how to fix this. Regards, Kévin |
| [2025-04-07 22:13:31] |
| Sierra_Chart Engineering - Posts: 19226 |
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There appears to be an error in your volume histogram. On the FGBLM25 contract, the volumes for March 19 and 20 are exactly the same, and the same applies to March 21 and 24. This causes the rest of the volume data to be offset by one day. I have tried "Download and Data" as well as reloading the charts, but nothing changes.
We need to see any image of what you are seeing by following these instructions: Support Board Posting Information: Attaching or Posting a Screenshot/Image (Optional) Also, when I use "Show Chart Value on Profile (Volume)," the volume differs from what's shown in the volume histogram. For example, on Friday, April 4th, 2025, the Eurex website and the volume histogram from Sierra both show 2.60 million contracts, but "Show Chart Value" only shows 2.30 million. The time configuration is correct.
Where are you getting the volume using the "Show Chart Values"? If this is from a Daily chart, then refer to the following: Differences With Data and Chart Bars Between Services / Connections / Chart Types: 43.7 - Comparing Daily Volume to Intraday Chart Bar Volume The continuous contract with volume-based rollover is supposed to switch to the next contract when its volume exceeds that of the current one. However, on March 20th, 2025, the FESH25 contract had almost half the volume of the FESXM25 contract. Despite this, when loading a EuroStoxx continuous contract with volume-based rollover, the rollover does not occur on March 20th, but on the 21st — even though it should happen on the 20th. Where are you getting this volume data from? Using the Sierra Chart historical daily data, we do see higher volume for the March contract compared to the June contract on March 20.
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 |
| [2025-04-08 10:19:36] |
| KevinDiard - Posts: 21 |
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https://www.sierrachart.com/image.php?Image=1744107428187.png Image for the volume histogram error |
| [2025-04-08 10:24:22] |
| KevinDiard - Posts: 21 |
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Yes, indeed, the March contract shows more volume than the June contract on March 20th. So why, in continuous contract volume-based rollover, does the rollover occur on the 21st, when it should start on the 20th?
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| [2025-04-09 15:38:18] |
| Sierra_Chart Engineering - Posts: 19226 |
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Based on this, the rollover date of March 21 is correct: Yes, indeed, the March contract shows more volume than the June contract on March 20th. So why, in continuous contract volume-based rollover, does the rollover occur on the 21st, when it should start on the 20th?
The volume data from our data provider for March 20 for FESX March 2025 is incorrect. We are telling them about this. 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: 2025-04-09 15:38:44
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