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Open Bug report MC-1961

In Multicharts currently is not possible to properly construct a continuous future contract .

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The problem arises for example in commodities, because sometimes the next future contract is not the most liquid. You can't decide to make the rollover dynamically choosing the next future contract more liquid. You just can choose the first or the second next future contract etc. Deleting a contract in the custom future is not the solution because previously it could have been a contract to use. Try to build the future on the continuous Gold futures for example, you will see that in some period you are doing backtest on illiquid contracts . Comparing the continuous future with continuous made by other software the difference is very clear.
Finally would be very appropriate that symbol mapping contained the following option: the active symbol to trade it is the last used in the custom future.

Steps to reproduce this issue

Comparing the continuous future with continuous made by other software the difference is very clear.

Comments (2)
user-offline.png  alebarce (alebarce)
Nov 03, 2015 - 07:29

I totally agree with the issues spotted by placcio and I support the requests he described above.
It would be fundamental to implement the creation of continuous futures which dynamically rollover to the following most liquid contract. 
I highly endorse also the symbol mapping option he suggested.

user-offline.png  Alex MultiCharts (Alex MultiCharts)
Dec 14, 2015 - 13:54

'Build continuous futures contract on (nearest contract, 2nd nearest contract, ... )' defines the serial number of the contract on which the Custom Futures series is based on. It does not affect the rollover. While building a Custom Futures 'N' Nearest contract will be taken for each moment of time. This option has nothing to do with your case.
Please update to MultiCharts 9.1 Release 2 - it has the new option "Analyze N nearest next and previous contracts" for Event Rollover Condition. Try using this option with value 4.

Issue basics
  • Type of issue
    Bug report
  • Category
  • Targeted for
    MultiCharts 9.1 (RELEASED)
  • Status
  • Priority
    Not determined
User pain
  • Type of bug
    Not triaged
  • Likelihood
    Not triaged
  • Effect
    Not triaged
Affected by this issue (2)
People involved
Times and dates
  • Posted at
  • Last updated
Issue details
  • Reproducability
    Not determined
  • Severity
Attachments (1)
  • /pm/public/files/show/746
    comparing 2 different continuous future on Gold uploaded Nov 03, 2015 by placcio (placcio)
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