Continuous futures chart question

[zeon]

Sorry if this is off-topic, but I don't really know where else to ask this.

What do people use for continuous charts? I mean, I'm trading off the futures contracts, but my futures chart with expiration June looks different than
the March contract (which expired last week). I'm using IB as a datafeed and the problem is the same in their charts as in Sierra Charts or any other application that I've tried.

For example, if I plot the NQH8 (March) and the NQM8 (June) there's a noticeable difference: in the first chart, the low of January (at 1700) is only broken marginally in March (1675). In the June contact price is the same in March (1675) but the January low is at 1725 .

I know there's an offset in prices with a different expiration date in the future, but the offset should be the same in terms of absolute points. It can't be bigger at one point. So the difference should be 25 points, instead it's 50. This gives a totally different picture...

[heretodaygone...]

Here's how you can do it in Sierra.

http://www.sierrachart.com/index.php...sContract.html

[zeon]

	Quote:	heretodaygone...
	Here's how you can do it in Sierra. http://www.sierrachart.com/index.php...sContract.html

Thanks, but I read all that.

It also states

"If you have joined together different futures contract delivery months and want the prices at the time of rollover to match, then the usual method is to adjust the prior data, that exists before the rollover, by the difference between the prices. To determine the amount to adjust by, look at the settlement prices on the rollover day for both the new and the old contracts. Calculate the difference between these and round it off to the nearest tick. This is the amount you should Add to the old contract data in the file."

Unfortunately, this is where the problem comes in. I'm observing a 25 point offset in the NQH8 and the NQM8. So the amount that should be added is 25. But in the NQM8 the offset is in January 25, but in March 50. I've never experienced this before, could something be wrong with my feed?

If I look on the ES chart, is perfectly normal. There's about a 6 point offset, but it's the same on all days of the last couple of months. However on my NQ chart is doesn't add up properly. I've contacted my broker and they are unaware of any issues.

[BlowFish]

Rolling futures contracts is a real PIA. Some data providers (Esignal) spring to mind offer a continuous contract however I believe these are not back adjusted so you will get a jump when the traded volume on one month surpasses the previous one.

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interesting. For long term charts I tend to use the underlying index. This makes things easier but the levels are off however you can still see that price is approaching a long term level. I wish charting software provided a sort of one click option to rollover and back adjust a contract.

Cheers.

[smwinc]

Possibly the most useful feature of CQG is it's accurate continuation charts.

On any futures contract, you can choose from:

No Continuation

Standard - rollover at expiration
Adjusted - rollover N days prior to expiration and/or equalize closes
Active - rollover trading activity and optionally equalize closes
By month - only use contracts for specified month

There is also specific options relating to continuation of bond contracts.

Very useful, very easy.

[firewalker]

This might be interesting:

http://www.dacharts.com/faq/futures-rollover.htm

The following applies to many (if not most) futures contracts especially those from the Chicago Mercantile Exchange (CME) and Chicago Board of Trade (CBOT).

* Rollover is 8 days before expiration.
* Expiration is the third Friday of each quarter month (March, June, September, December)
* The contract letter associated with each month is: March=H June=M September=U December=Z
* Rollover is on a Thursday.
* Rollover is usually on the second Thursday of the month but will be on the first Thursday if the first day of the month falls on a Friday
* Volume shifts to the new contract at market open (09:30 EST) on Rollover day
* New day trading or swing trading positions opened on rollover day should use the new contract month irrespective of when you plan to close it.
* New swing positions might be better opened using the new contract if opened within a few days of rollover day.
* Market myths abound at rollover and expiration. Check the source and confirm the probabilities before believing anything

[GammaJammer]

Well this is the sort of thing that bloomberg handles pretty well, and I don't have to fiddle around with settings etc, it just, well kinda works right out of the box.

But I don't use it all that often in terms of charting. What I more often use it for is to ensure I have a ticker in a quote list that never expires and needs re-setting. An example would be Fed Funds futs (although even then, sometimes I end up looking at charts of 2nd month or something if there's an FOMC meeting date not captured by the front month contract.

[firewalker]

	Quote:	GammaJammer
	Well this is the sort of thing that bloomberg handles pretty well, and I don't have to fiddle around with settings etc, it just, well kinda works right out of the box. But I don't use it all that often in terms of charting. What I more often use it for is to ensure I have a ticker in a quote list that never expires and needs re-setting. An example would be Fed Funds futs (although even then, sometimes I end up looking at charts of 2nd month or something if there's an FOMC meeting date not captured by the front month contract.

It's annoying when there's a big offset between the current and the following contract... on the YM both are in line, but the NQ has a 10 point difference. If for example you had your eye on important S/R at 1950, all that changes

[GammaJammer]

In both cases surely you're just better off eyeing key levels in the cash all the time, and calculating when necessary what that equates to in the relevant futures contract.

In the case of FX futures in particular, for those that trade them, they are absolutely dwarfed by the spot market, so S/R levels in the futs are genuinely meaningless unless they equate to something in cash, as arb is too fast these days to allow for any other scenario (unless you're atlking about silly 5 min charts etc in which case it's all a bit of a lottery imho anyway)

Dunno quite so much about YM.

GJ