wrong CL volume-based rollover - futures io
futures io futures trading

wrong CL volume-based rollover

Discussion in Commodities

Updated by Quick Summary
    1. trending_up 441 views
    2. thumb_up 0 thanks given
    3. group 1 followers
    1. forum 1 replies
    2. attach_file 0 attachments

Welcome to futures io: the largest futures trading community on the planet, with well over 100,000 members
  • Genuine reviews from real traders, not fake reviews from stealth vendors
  • Quality education from leading professional traders
  • We are a friendly, helpful, and positive community
  • We do not tolerate rude behavior, trolling, or vendors advertising in posts
  • We are here to help, just let us know what you need
You'll need to register in order to view the content of the threads and start contributing to our community.  It's free and simple.

-- Big Mike, Site Administrator

(If you already have an account, login at the top of the page)

Search this Thread

wrong CL volume-based rollover

(login for full post details)
  #1 (permalink)
Chicago, IL
Posts: 55 since May 2018
Thanks: 50 given, 60 received

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.

Reply With Quote

Can you help answer these questions
from other members on futures io?
PASPro won't show on a chart for certain combinations of ticks per bar and currencies
T​​​​​​radestation datafeed (real time and historical) to NT8
Looking freelancer for MT4 Indicator
Platforms and Indicators
Traders Hideout
Horizontal Line Indicator
Platforms and Indicators

futures io Trading Community Traders Hideout Commodities > wrong CL volume-based rollover

July 20, 2018

Upcoming Webinars and Events

Copyright © 2020 by futures io, s.a., Av Ricardo J. Alfaro, Century Tower, Panama, +507 833-9432, info@futures.io
All information is for educational use only and is not investment advice.
There is a substantial risk of loss in trading commodity futures, stocks, options and foreign exchange products. Past performance is not indicative of future results.
no new posts