Problem with ZC roll over/continuous contract  [SOLVED]

Questions about MultiCharts and user contributed studies.
benho
Posts: 48
Joined: 27 Dec 2015
Has thanked: 12 times
Been thanked: 2 times

Problem with ZC roll over/continuous contract

Postby benho » 07 May 2016

Hi there,

I have trouble in building continuous contracts for ZC by using the Add Custom Futures of MC. The roll over condition is set to "1 days of higher volume" as shown in the attached capture. I have the May14, Jul14, Sep14 ... symbols defined in QM.

Look at Fig 2 first. I plotted (daily chart) the continuous contract/custom futures from 2 Jan 2014 ~ 9Jun 2014 such that only May and Jul 2014 contracts are involved. The continuous contract roll over from May contract to July2014 contract on 17th April as expected after 1 day higher volume.

Now look at Fig 1. I increased the period from June to July. The new continuous contract roll over from July2014 contract to Sept2014 contract on 25th June2014. That is good and expected. However, the strange behavior is that, the previous roll over date on 17th April (May14 => Jul14, Fig.2) is missing. That is, this new continuous contract built with data from July2014 and Sept2014 contracts only, there is no bar built from May2014 contract though both charts start on 1/1/2014.

Is there anything wrong with my settings ? Thanks.
Attachments
MC_ZC_Trouble.png
(57.26 KiB) Downloaded 1508 times

User avatar
TJ
Posts: 7740
Joined: 29 Aug 2006
Location: Global Citizen
Has thanked: 1033 times
Been thanked: 2221 times

Re: Problem with ZC roll over/continuous contract

Postby TJ » 08 May 2016

Hi there,

I have trouble in building continuous contracts for ZC by using the Add Custom Futures of MC. The roll over condition is set to "1 days of higher volume" as shown in the attached capture. I have the May14, Jul14, Sep14 ... symbols defined in QM.

Look at Fig 2 first. I plotted (daily chart) the continuous contract/custom futures from 2 Jan 2014 ~ 9Jun 2014 such that only May and Jul 2014 contracts are involved. The continuous contract roll over from May contract to July2014 contract on 17th April as expected after 1 day higher volume.

Now look at Fig 1. I increased the period from June to July. The new continuous contract roll over from July2014 contract to Sept2014 contract on 25th June2014. That is good and expected. However, the strange behavior is that, the previous roll over date on 17th April (May14 => Jul14, Fig.2) is missing. That is, this new continuous contract built with data from July2014 and Sept2014 contracts only, there is no bar built from May2014 contract though both charts start on 1/1/2014.

Is there anything wrong with my settings ? Thanks.
Do you have data in the May2014 contract?
You did not say, but have you opened the May chart to make sure you have the volume data in it?

benho
Posts: 48
Joined: 27 Dec 2015
Has thanked: 12 times
Been thanked: 2 times

Re: Problem with ZC roll over/continuous contract

Postby benho » 08 May 2016

Dear TJ,

First of all, I am surprised to receive your reply on Sunday. Thanks.

1. Please find the chart for May2014 and July2014 resp. Both contracts have data.

2. Actually if I just plot the continuous contract from 1st Jan2014 to early June2014 such that only two contracts (May and July) are involved, MC can roll over from May contract to July contract correctly on 14April2014. But when I get the other contracts (Sept, etc) involved, it seems only the most recent contracts' data are used, and the roll-over date on 14April2014 "disappeared" and no May contract trades are shown.

3. I tried to plot the chart started from 1st March 2014 (instead of starting from 1Jan2014) where the volume is very high and won't be ignored by any reason, the same behavior as described.

Should you need any more information, let me know.
Thanks again.
Attachments
MC_ZC_Trouble_2.png
(36.31 KiB) Downloaded 1498 times

tony
Posts: 420
Joined: 14 Jun 2013
Has thanked: 30 times
Been thanked: 81 times
Contact:

Re: Problem with ZC roll over/continuous contract

Postby tony » 08 May 2016

Perhaps a dumb question on my part. Why are you creating a continuous contract when odds are your data provider has a continuous contract you can use to development purposes?

benho
Posts: 48
Joined: 27 Dec 2015
Has thanked: 12 times
Been thanked: 2 times

Re: Problem with ZC roll over/continuous contract

Postby benho » 08 May 2016

Hi Tony,

I use IB as data feed and I believe we can't get continuous contracts from IB through API ?!

tony
Posts: 420
Joined: 14 Jun 2013
Has thanked: 30 times
Been thanked: 81 times
Contact:

Re: Problem with ZC roll over/continuous contract

Postby tony » 08 May 2016

Hi Tony,

I use IB as data feed and I believe we can't get continuous contracts from IB through API ?!
A quick google search looks like you can - https://www.interactivebrokers.com/en/s ... inuous.htm

User avatar
TJ
Posts: 7740
Joined: 29 Aug 2006
Location: Global Citizen
Has thanked: 1033 times
Been thanked: 2221 times

Re: Problem with ZC roll over/continuous contract

Postby TJ » 08 May 2016

Hi Tony,

I use IB as data feed and I believe we can't get continuous contracts from IB through API ?!
A quick google search looks like you can - https://www.interactivebrokers.com/en/s ... inuous.htm
Tony:

Have you tried it on MultiCharts?

benho
Posts: 48
Joined: 27 Dec 2015
Has thanked: 12 times
Been thanked: 2 times

Re: Problem with ZC roll over/continuous contract

Postby benho » 09 May 2016

I believe one can't get continuous contract data from IB's API. It's for TWS front end application only if I am correct.

benho
Posts: 48
Joined: 27 Dec 2015
Has thanked: 12 times
Been thanked: 2 times

Re: Problem with ZC roll over/continuous contract

Postby benho » 11 May 2016

Can anyone from MC help ??

Thanks.

User avatar
Henry MultiСharts
Posts: 9165
Joined: 25 Aug 2011
Has thanked: 1264 times
Been thanked: 2957 times

Re: Problem with ZC roll over/continuous contract

Postby Henry MultiСharts » 13 May 2016

Hello benho,

Please send us the following information for analysis of this case to support@multicharts.com:
- workspace you are using (chart in Exchange time zone);
- export your Custom Futures instrument with data (QuoteManager->right click on your custom futures-> in the “export” window both options should be unchecked->Next);
- specify the version and build number of MultiCharts you are running (in MultiCharts go to Help tab-> About).

If the file size is >10 mb please upload it to any file sharing hosting and send us the download link.

benho
Posts: 48
Joined: 27 Dec 2015
Has thanked: 12 times
Been thanked: 2 times

Re: Problem with ZC roll over/continuous contract

Postby benho » 13 May 2016

Dear Henry,

The files you requested have been sent to support@multicharts.com.
Please check. Thanks.

User avatar
Henry MultiСharts
Posts: 9165
Joined: 25 Aug 2011
Has thanked: 1264 times
Been thanked: 2957 times

Re: Problem with ZC roll over/continuous contract  [SOLVED]

Postby Henry MultiСharts » 24 May 2016

This issue has been resolved in MultiCharts 10.0 Beta 1.


Return to “MultiCharts”