FGBL07
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Posts: 41
Joined: Sep 8, 2011
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Posted: Jun 15, 2012 02:10 AM
Msg. 1 of 9
You offer continuous contracts for futures traded at Eurex like BD#, XG# and so on.
You roll them into the next front month automatically but you are doing this at the wrong time of day.
I could watch this just now for EX#. Trading at Eurex starts at 8:00 CET = 02:00 EST. EX# shows the data for EXM2, at 9:00 you roll over into EXU2. EX# now starts to plot data for EXU2.
This is not helpful because now I see a drop which does not exist. I already noticed this when the bond futures rolled (BD#).
Please change this and have the contracts roll before 8:00 CET.
Many Thanks.
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DTN_ToddH
-DTN Guru-
Posts: 287
Joined: Oct 6, 2011
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Posted: Jun 15, 2012 08:17 AM
Msg. 2 of 9
Hello FGBL07,
I was looking at the rollover sequence for EX and saw differences in IQFeed from what you describe. I show that EX# was based on EXM12 on June 14 up until 16:00 eastern US time. When trading resumed at 02:00 (eastern US) on June 15, then EX# was based on EXU12. That is how the rollover is designed to take place.
Here is a screenshot of time and sales below. If you are not seeing the same thing on your end, there may be a problem with the database in your software. Please contact us at Support@IQFeed and we will be glad to help more.
File Attached: EXROLL.png (downloaded 1628 times)
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FGBL07
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Posts: 41
Joined: Sep 8, 2011
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Posted: Jun 17, 2012 07:28 AM
Msg. 3 of 9
Thanks for the data. I compared them to mine and it looks like I got it wrong. I thought the large drop in the EX was wrong, but obviously it was for real.
I was mistrustful because on the rollover of the Bund Future - BD - on 07.06.2012 I had seen this behaviour: see screenshot. There is no doubt that for the hour from 8:00 - 9:00 the June contracted was plotted. Though I did not look at (and save) the data. It might be a problem with Sierrachart.
I'll have to watch it at the next rollover.
File Attached: BDon0706and1706.png (downloaded 1602 times)
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DTN_ToddH
-DTN Guru-
Posts: 287
Joined: Oct 6, 2011
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Posted: Jun 18, 2012 08:05 AM
Msg. 4 of 9
Hello,
As far as I can tell, the BD# rollover also performed the same as the EX# described above. When you do look at the next rollover, you may want to compare the data that shows in IQFeed's diagnostic utility to what you see in your charting software. If there were a difference, then it would be a matter of finding out why the software displays the data in a different way. If you email me at Support@IQFeed.net, I will be glad to email you instructions for how to look in the diagnostic utility. Put Attn: Todd in the subject line.
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FGBL07
-Interested User-
Posts: 41
Joined: Sep 8, 2011
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Posted: Sep 6, 2012 02:17 AM
Msg. 5 of 9
Today I watched the rollover for the BD# contract using your diagnostic utility.
It is like I described earlier in this thread: up till 9:00 CET = 3:00 EST you send data for the September contract and then you switch to the December contract.
This is not useful, trading starts at 8:00 CET and contracts should be switched at this time.
Same applies to the other Eurex contracts like XG and EX (rolling on 21th).
I can upload only one screen shot, tell me if you need more.
File Attached: SNAG- 06.09.2012 08.59.52.png (downloaded 1509 times)
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DTN_ToddH
-DTN Guru-
Posts: 287
Joined: Oct 6, 2011
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Posted: Sep 6, 2012 10:51 AM
Msg. 6 of 9
Hello FGBL07,
I am looking at the one-minute time and sales data for BD# and the rollover worked, as designed. On September 5, BD# was based on data from BDU12 until the last data of the session at 16:04 eastern US time.
When BD# opened at 2:02 am on September 6th, it was based on data from BDZ12.
The screenshot of the diagnostic utility that you provided was from 02:59:46 eastern US time of September 5th - long before the rollover actually took place.
I am emailing you the time and sales pictures from BD#, BDU12 and BDZ12 so you can see the data. I hope that will help clarify things.
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FGBL07
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Posts: 41
Joined: Sep 8, 2011
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Posted: Sep 6, 2012 12:32 PM
Msg. 7 of 9
Quote: ....The screenshot of the diagnostic utility that you provided was from 02:59:46 eastern US time of September 5th - long before the rollover actually took place... This is wrong: take a look at the screen shot again. Snagit automatically adds the time and date to the screen shots I make. The caption clearly says "08:59:52 06.09.2012". This screenshot was taken at 8:59:52 European time on the 6th of September (that is today). The time corresponds to 2:59:52 EST. And by your own claim you should broadcast the data for BDZ12 at this time. Please look again.
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DTN_ToddH
-DTN Guru-
Posts: 287
Joined: Oct 6, 2011
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Posted: Sep 6, 2012 12:53 PM
Msg. 8 of 9
FGBL07,
I see what you mean - I mistakenly took the date from the P line in the utility. Had the utility been stretched more to the right, the trade date would have shown. I will ask for more help on this and get back to you here.
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DTN_ToddH
-DTN Guru-
Posts: 287
Joined: Oct 6, 2011
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Posted: Sep 28, 2012 10:26 AM
Msg. 9 of 9
FGBL07.
I am sorry, but we do not currently have a solution for the rollover problem cited above. In the meantime, you may want to use both individual symbols on the day of the roll to get the data that you need.
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