Rolling Crude Futures

Questions about MultiCharts and user contributed studies.
TrendFirst
Posts: 66
Joined: 23 Nov 2015
Has thanked: 21 times
Been thanked: 8 times

Rolling Crude Futures

Postby TrendFirst » 14 Feb 2019

I use IQFeed with MC. After the close today, IQFeed rolled their continuous crude contract from March to April. I checked in their SnapQuote app, and it showed the change. QCL# was the April contract, with April data.

But.....MC showed that the contract was still March, but showed April data. I tried to go in to QuoteManager and add QCL# (the IQFeed symbol), and it still showed as March. I deleted the cache for that symbol, tried again, no luck. I then tried to delete the symbol QCL# from QuoteManager and it told me the symbol was in use and could not be deleted. I quit all MC processes, started up QuoteManager by itself, and tried again. Still said the symbol was in use and couldn't be deleted. So I'm stuck with a contract that says March and shows April data.

How do I fix this problem?

TrendFirst
Posts: 66
Joined: 23 Nov 2015
Has thanked: 21 times
Been thanked: 8 times

Re: Rolling Crude Futures

Postby TrendFirst » 14 Feb 2019

I disconnected the symbol ( I was recording data), and then was able to delete it. But when I try to add it back in, it still shows up as March. No April.

User avatar
TJ
Posts: 7132
Joined: 29 Aug 2006
Location: Global Citizen
Has thanked: 987 times
Been thanked: 2038 times

Re: Rolling Crude Futures

Postby TJ » 14 Feb 2019

Are you talking about a Custom Future that you created in MultiCharts?

TrendFirst
Posts: 66
Joined: 23 Nov 2015
Has thanked: 21 times
Been thanked: 8 times

Re: Rolling Crude Futures

Postby TrendFirst » 14 Feb 2019

No.

User avatar
TJ
Posts: 7132
Joined: 29 Aug 2006
Location: Global Citizen
Has thanked: 987 times
Been thanked: 2038 times

Re: Rolling Crude Futures

Postby TJ » 14 Feb 2019

Have you tried exiting MC and re-start it?

TrendFirst
Posts: 66
Joined: 23 Nov 2015
Has thanked: 21 times
Been thanked: 8 times

Re: Rolling Crude Futures

Postby TrendFirst » 14 Feb 2019

Yes.

<I quit all MC processes>

sptrader
Posts: 709
Joined: 09 Apr 2010
Location: Colorado
Has thanked: 467 times
Been thanked: 261 times
Contact:

Re: Rolling Crude Futures

Postby sptrader » 14 Feb 2019

TrendFirst wrote:Yes.

<I quit all MC processes>


I just checked and QCL# is NOT showing the April contract yet. It doesn't usually show the rollover until the volume in the new contract is greater than the volume in the old. Currently, March is slightly higher volume. I expect tomorrow the QCL# will show the April contract.
Until then QCLJ19 (April) does show up in IQfeed.

TrendFirst
Posts: 66
Joined: 23 Nov 2015
Has thanked: 21 times
Been thanked: 8 times

Re: Rolling Crude Futures

Postby TrendFirst » 14 Feb 2019

I chatted with IQFeed online support before posting this. The IQFeed support person confirmed that they had rolled to April. And I am getting April data, even though it says March.

sptrader
Posts: 709
Joined: 09 Apr 2010
Location: Colorado
Has thanked: 467 times
Been thanked: 261 times
Contact:

Re: Rolling Crude Futures

Postby sptrader » 15 Feb 2019

As I stated last night, once the new contract volume (April) exceeds the previous contract volume (March), QCL# will roll into April. (and it has this morning).

TrendFirst
Posts: 66
Joined: 23 Nov 2015
Has thanked: 21 times
Been thanked: 8 times

Re: Rolling Crude Futures

Postby TrendFirst » 15 Feb 2019

Yes, it has. But that still does not explain the discrepancy last night. MC should reflect the data feed, not some arbitrary rule.

User avatar
TJ
Posts: 7132
Joined: 29 Aug 2006
Location: Global Citizen
Has thanked: 987 times
Been thanked: 2038 times

Re: Rolling Crude Futures

Postby TJ » 15 Feb 2019

Crude rollover is unlike other futures, I hope you do understand.

TrendFirst
Posts: 66
Joined: 23 Nov 2015
Has thanked: 21 times
Been thanked: 8 times

Re: Rolling Crude Futures

Postby TrendFirst » 15 Feb 2019

TJ wrote:Crude rollover is unlike other futures, I hope you do understand.


Every commodity future is unlike others. Which I do understand. But I do not understand how your comment adds to this conversation.

wilkinsw
Posts: 502
Joined: 21 Apr 2013
Has thanked: 128 times
Been thanked: 82 times

Re: Rolling Crude Futures

Postby wilkinsw » 16 Feb 2019

Might be wrong but I believe expiration for CL is on 20/2/2019.

IQfeed say they roll 3 days before.

So that would be a roll at 2300gmt 17/2/2019, I'm guessing.

Personally, I recommend doing manual rolls:

1) On the night you want to roll take the outgoing and new settlement price difference (cme website)
2) Load a 1min chart of QCL(outgoing) and print the OHLCV data to file with the settlement difference applied (build an indicator that does this).
3) Paste/Import this adjusted data into your new front month in QMD
4) Trade the new front month (with adjusted history included).

As you will be missing older adjusted contracts.... you could just paste in an adjusted QCL#C. But going forward maintain your own continuous contract as I described above.

Job done.
These users thanked the author wilkinsw for the post:
TrendFirst

TrendFirst
Posts: 66
Joined: 23 Nov 2015
Has thanked: 21 times
Been thanked: 8 times

Re: Rolling Crude Futures

Postby TrendFirst » 16 Feb 2019

Thanks to all for your comments.

To restate the issue for clarification, there was an inconsistency between IQFeed and MultiCharts on the crude futures contract (I don't know the exact period of time of this inconsistency - it started at the close of one day and disappeared by the open of the next). After the close on Feb 14, IQFeed SnapQuote showed QCL# = April contract, and showed April prices. I confirmed via chat with IQFeed that the contract had rolled.
Multicharts showed QCL# = March contract, but showed April prices. I had an open position in crude futures, and any inconsistencies in data will always set off an alarm with me.

I dealt with the problem by eliminating MultiCharts from my process. I used price from IQFeed, confirmed by price from IB TWS, and charts from TWS. Inconsistencies result in lack of trust, and if I don't trust a product, I don't use it.

So my question is why MC displays this behavior and can it be fixed? It's an issue of trusting products used in the trading process.

Waiting eventually worked, and the creative workaround by wilkinsw works. But in the midst of a trade, I want to trust and use my primary product - MC. It would be useful to hear from MC tech support; I patiently await their response.

User avatar
Svetlana MultiCharts
Posts: 172
Joined: 19 Oct 2017
Has thanked: 1 time
Been thanked: 43 times

Re: Rolling Crude Futures

Postby Svetlana MultiCharts » 25 Feb 2019

Hello, TrendFirst,

Let us address the issues stated in this post:

1)
I then tried to delete the symbol QCL# from QuoteManager and it told me the symbol was in use and could not be deleted.

I disconnected the symbol ( I was recording data), and then was able to delete it.

It is not allowed to remove the symbol in use from QuoteManager – that’s by design.

2)
After the close on Feb 14, IQFeed SnapQuote showed QCL# = April contract, and showed April prices. I confirmed via chat with IQFeed that the contract had rolled.
Multicharts showed QCL# = March contract, but showed April prices. I had an open position in crude futures, and any inconsistencies in data will always set off an alarm with me.


The symbol QCL# must have been added to the database on March, when IQfeed returned the string “CRUDE OIL MARCH 2019” for the Description.
When IQfeed adds the April contract to QCL#, April data is plotted in MultiCharts accordingly. But symbol settings, as well as Description, don’t change by themselves – they are determined when the symbol is added from the data source.

Besides, when MultiCharts requests data from IQfeed, Description field is not used (please note this is relevant for IQfeed only).

Thus, this is expected behaviour. You can change the description for a neutral one, e.g. CRUDE OIL, or re-add the symbol from the data source (QuoteManager->Instrument->Add Symbol-> From Data Source-> IQfeed) when the Description is changed on IQfeed end. In the latter case all settings of the symbol will be updated.

QCL# is a native continuous contract provided by IQfeed. It means, in MultiCharts it is treated as a regular symbol, MultiCharts displays the data that is coming via IQfeed API as is.

TrendFirst
Posts: 66
Joined: 23 Nov 2015
Has thanked: 21 times
Been thanked: 8 times

Re: Rolling Crude Futures

Postby TrendFirst » 25 Feb 2019

Thank you for your reply, Svetlana. It seems you are confirming what I observed - April data with a contract description of March. I do not understand your comment that the "Description Field is not used". It is obviously displayed and updated (even if it is updated late) - so I do not understand what you mean by this.

It further seems that MC is laying responsibility for this discrepancy on IQFeed. As I mentioned before, I chatted with IQFeed and they said it was a MultiCharts problem. One discrepancy, two parties, two fingers each pointing at the other party. You see my dilemma. This happens a lot, it seems.

It would be nice if MC and IQFeed could discuss this and resolve it together, rather than pointing fingers at each other.

wilkinsw
Posts: 502
Joined: 21 Apr 2013
Has thanked: 128 times
Been thanked: 82 times

Re: Rolling Crude Futures

Postby wilkinsw » 25 Feb 2019

TrendFirst,

I'm interested in hearing the solution to your issue.

Can you clarify a couple of things for me please?

From what I've read and understood, am I right in saying the following:

-The realtime data for QCL# was correct (switched from March to April 2019, as expected), it was just the symbol description, in QM, which didn't change?

-You mentioned data inconsistencies setting off alarms. What data inconsistencies? My understanding is that QCL# is unadjusted and it simply switching in realtime from March to April should work (not generate historical back adjustment errors, for example).

If you need to reload a continuous symbol to capture a backadjustment: Make sure it's not in use. Then I'd delete the symbol and readd it. Let me know if you've found otherwise but my understanding is that QCL#C is back-adjusted and would require deletion/re-addition, whereas QCL# doesn't. Deletion/re-addition should also result in you seeing the correct description. Like Svetlana said; the description is not the ticker, if that makes sense: You could change it to anything you like and it won't effect the behaviour of QCL#.
These users thanked the author wilkinsw for the post:
TrendFirst

TrendFirst
Posts: 66
Joined: 23 Nov 2015
Has thanked: 21 times
Been thanked: 8 times

Re: Rolling Crude Futures

Postby TrendFirst » 25 Feb 2019

To further illustrate what I am referring to, I will use the gasoline futures contract, QRB# symbol with IQFeed. It just happened to roll today at 4PM MST. Both of the images shown below were captured at the same time, approximately 4:55PM MST.

It is quite clear that IQFeed SnapQuote is showing April data and an April description. MultiCharts is showing April data, but as you can see in the image below the description is March.

IQFeed SnapQuote shows this:

IQFeed SnapQuote.JPG
IQFeed SnapQuote.JPG (105.24 KiB) Viewed 514 times



....and MultiCharts QuoteManager shows this, when I attempt to add the QRB# contract from the IQFeed data source:

MC QuoteManager.JPG
MC QuoteManager.JPG (76.22 KiB) Viewed 514 times



If you can, please fix this. If not, well, I'll just be aware of it and live with it. Thanks for listening. I'm done with this topic.
These users thanked the author TrendFirst for the post:
wilkinsw

TrendFirst
Posts: 66
Joined: 23 Nov 2015
Has thanked: 21 times
Been thanked: 8 times

Re: Rolling Crude Futures

Postby TrendFirst » 25 Feb 2019

wilkinsw wrote:TrendFirst,

I'm interested in hearing the solution to your issue.

Can you clarify a couple of things for me please?

From what I've read and understood, am I right in saying the following:

-The realtime data for QCL# was correct (switched from March to April 2019, as expected), it was just the symbol description, in QM, which didn't change?

-You mentioned data inconsistencies setting off alarms. What data inconsistencies? My understanding is that QCL# is unadjusted and it simply switching in realtime from March to April should work (not generate historical back adjustment errors, for example).

If you need to reload a continuous symbol to capture a backadjustment: Make sure it's not in use. Then I'd delete the symbol and readd it. Let me know if you've found otherwise but my understanding is that QCL#C is back-adjusted and would require deletion/re-addition, whereas QCL# doesn't. Deletion/re-addition should also result in you seeing the correct description. Like Svetlana said; the description is not the ticker, if that makes sense: You could change it to anything you like and it won't effect the behaviour of QCL#.


wilkinsw, thank you for your interest. Yes, you are correct, it was the symbol description that did not change. The data did. But I consider the description part of the data package as well, not just the numbers. Inconsistencies bother me, especially when there is no logical reason for them.

The symbol being in use was a temporary issue which I corrected. It is not a problem.

The description is eventually passed through. Why is it not passed through immediately? I don't want to manually edit descriptions, I would prefer a consistent pass-through of the description with the data.
These users thanked the author TrendFirst for the post:
wilkinsw

User avatar
Svetlana MultiCharts
Posts: 172
Joined: 19 Oct 2017
Has thanked: 1 time
Been thanked: 43 times

Re: Rolling Crude Futures

Postby Svetlana MultiCharts » 26 Feb 2019

TrendFirst,

Thank you for the information. We have reproduced this behaviour on our end and are currently checking it with IQfeed directly.

User avatar
Svetlana MultiCharts
Posts: 172
Joined: 19 Oct 2017
Has thanked: 1 time
Been thanked: 43 times

Re: Rolling Crude Futures

Postby Svetlana MultiCharts » 27 Feb 2019

During the analysis of the reported behaviour we carried out a test using IQfeed application only.
In the screenshot you can see that the Description in Symbol Search and the Name in
SnapQuote didn't match at the moment the picture was taken.
Consequently, IQfeed needs some time to synchronize the Description in Symbol Search.

Also we asked IQfeed support about it, and got the following answer:
“This is because our symbol search databases are only updated overnight but we send out updated fundamental data in the streaming feed when a contract rolls to a new contract and thus the description changes”.
DK_26_02_2019.png
DK_26_02_2019.png (100.13 KiB) Viewed 466 times
These users thanked the author Svetlana MultiCharts for the post (total 2):
wilkinswTrendFirst

TrendFirst
Posts: 66
Joined: 23 Nov 2015
Has thanked: 21 times
Been thanked: 8 times

Re: Rolling Crude Futures

Postby TrendFirst » 09 May 2019

Thank you Svetlana. The IQFeed tech support person I chatted with did not share this information.

TrendFirst
Posts: 66
Joined: 23 Nov 2015
Has thanked: 21 times
Been thanked: 8 times

Re: Rolling Crude Futures

Postby TrendFirst » 09 May 2019

I had another chat with IQFeed on this topic. It seems they swiftly batted the ball back into MC's court.

Basically, they said the Symbol database refresh does happen overnight, as they have millions of updates to do and that is the only practical way to do it. So if I do a symbol search in MC, it will still show the old contract, even tho the data in the chart is the new contract. This is only an issue for a matter of hours, and by the next morning the symbol database, symbol in the chart, and the data are correct and match.

IQFeed also said that, apart from the Symbol database, a Symbol refresh is sent along with new data for the new futures contract. So even tho a symbol search will show a temporary mismatch, the chart that has the data for the new contract COULD have the proper symbol shown - if MC will make a modification to utilize this. According to IQFeed, MC does not take advantage of this.

Comments?

User avatar
Svetlana MultiCharts
Posts: 172
Joined: 19 Oct 2017
Has thanked: 1 time
Been thanked: 43 times

Re: Rolling Crude Futures

Postby Svetlana MultiCharts » 15 May 2019

Hello, TrendFirst,

In the current MultiCharts architecture, the Description is received from IQfeed - Symbol Search.
If you want this behavior to be changed, please leave the corresponding feature request on our Project Management page:
https://www.multicharts.com/pm/public/multicharts

Please send us e-mail to support@multicharts.com if you don't have a PM account.
These users thanked the author Svetlana MultiCharts for the post:
TrendFirst

TrendFirst
Posts: 66
Joined: 23 Nov 2015
Has thanked: 21 times
Been thanked: 8 times

Re: Rolling Crude Futures

Postby TrendFirst » 15 May 2019

Hello Svetlana

Thank you for confirming the issue and potential solution.


Return to “MultiCharts”