Back Adjustment is not working at rollover date

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raziel
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Back Adjustment is not working at rollover date

Postby raziel » 30 May 2013

Hi support,

I have create a HSI Custom Futures using "Difference" as Back Adjustment Mode and "1 Trading Days Prior to Expiratin Date" as Rollover Condition ( see attachment).


Today is HSIK3 (HSI May contract) expiration date and when I open the chart of my HSI Custom future today and found that chart data of today is using data of 30-May in HSIM3 (HSI June contract) and my chart data of yesterday is using data of 29-May in HSIK3.

It seems that back adjustment is not working. For data from yesterday and before, MC should subtract the difference between May and June contract.

When I close my workspace and reopen the workspace again, the data of yesterday and before become correct suddenly.

I think this is a bug, right?
Attachments
Custom Future Setting.jpg
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Henry MultiСharts
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Re: Back Adjustment is not working at rollover date

Postby Henry MultiСharts » 30 May 2013

Hello raziel,

Have you changed your custom futures settings after you have opened your chart/workspace first time, before closing and reopening it (were the settings like on the attached screenshot before you opened the chart/workspace first time)?

raziel
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Re: Back Adjustment is not working at rollover date

Postby raziel » 30 May 2013

No. I did not change the setting.

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Henry MultiСharts
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Re: Back Adjustment is not working at rollover date

Postby Henry MultiСharts » 31 May 2013

raziel, are you able to replicate this behavior?

BS135
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Re: Back Adjustment is not working at rollover date

Postby BS135 » 31 May 2013

Henry, I experienced the same problem. I think this problem happens while rollover occurs when the chart is already opened.

The problem I observed:

- Create a custom future (e.g. HSI) which will be rollover tomorrow (e.g. from May contract to Jun)
- Create a chart window of this custom HSI future today. The chart must be connecting to live data. The latest data should be based on May contract. Because no Jun data is received yet, data are not adjusted
- Wait until tomorrow market open. Then the chart will be appended with live Jun data. Problem here. Theoretically after receiving Jun data, the whole chart (data based on May or before) should be adjusted and redraw. But it does not happen.
- If you create another char of same custom future after rollover, everything will be fine. No problem in adjustment

raziel
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Re: Back Adjustment is not working at rollover date

Postby raziel » 02 Jun 2013

As the problem only happened at rollover date, I cannot replicate it now.

Actually my case is the exactly the same as what BS135 describe, I opened the chart window before receiving the live June data, and when June data came, I found that the chat have no adjustment.

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Henry MultiСharts
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Re: Back Adjustment is not working at rollover date

Postby Henry MultiСharts » 03 Jun 2013

We are analyzing this case in our environment.

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Henry MultiСharts
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Re: Back Adjustment is not working at rollover date

Postby Henry MultiСharts » 10 Jun 2013

Please send me (support@multicharts.com) the following information for further investigation:
- workspace you are using;
- in QuoteManager right click on the custom futures you are using->Export Instruments (export it with all individual contracts and data (both options should be unchecked));
-specify your time zone.

If the file is >10mb size please upload it to any file sharing hosting and send me the download link, otherwise send it via email directly to me and our developers will analyze it.

raziel
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Re: Back Adjustment is not working at rollover date

Postby raziel » 24 Jun 2013

Hi support,

I have sent email ( workspace and data export) to you already.

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Henry MultiСharts
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Re: Back Adjustment is not working at rollover date

Postby Henry MultiСharts » 25 Jun 2013

We are currently analyzing this case.

raziel
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Re: Back Adjustment is not working at rollover date

Postby raziel » 27 Jun 2013

Today is my HSI custom future rollover date and back adjustment is not working again.

Step to reproduce the problem:
1. I open my workspace before 09:00 ( HSI future market open at 09:15)
2. Wait for Market open and take a screen shoot at 09:20 (refer to "Rollover Problem pic 1.jpg")
3. Close the workspace and reopen again.
4. Take a screen shot again ( refer to "Rollover Problem pic 2.jpg")


In both screen shoot, I move the cursor to the last bar of 26-Jun, so you can compare price data from the data windows of the screen shoot.

In "Rollover Problem pic 1.jpg", the close of last 5 mins bar of 26-Jun is 20299 ( no back adjustment)
In "Rollover Problem pic 2.jpg", the close of last 5 mins bar of 26-Jun is 20265 ( have back adjustment)
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ScreenShot.zip
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Henry MultiСharts
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Re: Back Adjustment is not working at rollover date

Postby Henry MultiСharts » 27 Jun 2013

Hello raziel,

That is expected behavior as there is no realtime chart back adjustment. Imagine a situation of reatlime back adjustment when your custom futures data series is rebuilt - all studies will be recalculated, auto trading will turn off, the symbol you were trading will be expired and you will need to redo the symbol mapping to continue the order execution.
That is why the data is back adjusted on the rollover date only when the chart has been opened after market open.


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