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wrong CL volume-based rollover
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wrong CL volume-based rollover

  #1 (permalink)
Chicago, IL
Posts: 46 since May 2018
Thanks: 49 given, 45 received

wrong CL volume-based rollover

On Sierra Chart, I performed a volume-based rollover for CL and i noticed the continuous chart performs the rollover on the 7/16/2018~7/17/2018 session.

the CLQ18 daily volume for the 7/16/2018-7/17/2018 session is greater than the CLU18 daily volume for the same session. the daily volume for the 7/17/2018~7/18/2018 session is higher for CLU18 than CLQ18.

so technically, the volume-based rollover should have been performed at the start of the 7/17/2018~7/18/2018 session.

I tested this on NT and I get the same results.

I know it's simple to manually adjust the rollover date but I was wondering why Sierrachart + NT perform volume-based rollovers in this manner. It's just plain wrong.

The volume for the 7/17/2018 session before 17:00 est close on 7/17/2018 is clearly higher for CLQ18 than CLU18 but it seems like these platforms then instruct themselves to set the rollover point at the 7/16/2018 18:00 est start time instead of the 7/17/2018 18:00 est start time.

I'm a noob so maybe I'm just missing something here. Please tell me I'm not crazy.

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