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Open Feature request MC-2274

Custom Futures Tick/Second chart load too much history data back

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Description

For Custom Futures Tick or Second chart, Data Range set to N Ticks/Bars back, Multicharts.Net would load too much history data (until previous conract rollover). It's unnecessary and could probably cause Pacing Violiation for IB Data source.

Steps to reproduce this issue

Create any Custom Futures and delete Ticks data for testing. Set chart to 1 Tick Bar or 1 Seond Bar. Open Format Instrument dialog, set Data Range to 1 Ticks Back (or 1 Bars Back for Second chart). Open QuoteManager see Event Log, Multicharts.Net would load many many history ticks data, much more than needed for 1 Ticks Back or 1 Bars Back. I guess it would stop loading history until previous rollover date is reached... This issue only happened for Tick/Second chart. Minute charts don't have this issue.

Comments (4)
#1
user-offline.png  Alex MultiCharts (Alex MultiCharts)
Jul 03, 2017 - 07:16
This is not related to Custom Futures. For all tick resolutions MultiCharts requests data for at least 1 session.
#2
user-offline.png  WZero (wzero)
Jul 03, 2017 - 10:14

The problem is it does not only load data for 1 session, it loads data way back to previous contract. That's one month Ticks data for monthly contract and one quarter Ticks for quarterly rollover contracts. This is huge, sounds unreasonable to me.

#3
user-offline.png  Alex MultiCharts (Alex MultiCharts)
Jul 03, 2017 - 10:50
For Custom Futures, there might be requested more data than you expect, as it is necessary to define the currently traded contract to make the correct roll-over, according to the settings specified by the user. There might be requests of data up to the expiration date of the previous contract.
#4
user-offline.png  WZero (wzero)
Jul 03, 2017 - 10:57

For best result, Tick/Minute/Day chart should share an unified way to dertiminate rollovers. Ideally, it should only use Day bar if available.

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