Custom Futures Rollover

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aljafp
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Custom Futures Rollover

Postby aljafp » 07 Jun 2012

hi,
How do i create a custom futures that rollover AFTER expiration ?

I tried, setting Rollover Condition base on TIME, but setting to 0 the custom future will rollover ON expiration date itself.

thanks

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Henry MultiСharts
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Re: Custom Futures Rollover

Postby Henry MultiСharts » 08 Jun 2012

Hello Aljafp,

[Edited]
When Rollover Condition is based on Time - 0 trading days prior to expiration date, next contract will be plotted from the next trading session. So if ESM2 expires on 6/15/12 and rollover condition is 0 trading days, that means custom futures will start using ESU2 contract from 17:00 am 6/17/12.
Last edited by Henry MultiСharts on 13 Jun 2012, edited 2 times in total.

aljafp
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Re: Custom Futures Rollover

Postby aljafp » 08 Jun 2012

Hello Aljafp,

There is no way to do that.
henry,

some of us still wants to trade the nearest contract on the expiration day itself.
We only want to rollover to the next contract on the next business day after expiration.

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JoshM
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Re: Custom Futures Rollover

Postby JoshM » 09 Jun 2012

some of us still wants to trade the nearest contract on the expiration day itself.
We only want to rollover to the next contract on the next business day after expiration.
Might changing the expiration rules solve this? Say the contract expires on the third Friday (with new contracts coming in zero business days before that). Changing the expiration rule to fourth Monday (with new contracts coming in zero business days) then, from my understanding, the contract will then roll-over on Monday morning following Friday the third.

Don't know if this will work in practice, but perhaps worth trying.

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aljafp
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Re: Custom Futures Rollover

Postby aljafp » 11 Jun 2012

some of us still wants to trade the nearest contract on the expiration day itself.
We only want to rollover to the next contract on the next business day after expiration.
Might changing the expiration rules solve this? Say the contract expires on the third Friday (with new contracts coming in zero business days before that). Changing the expiration rule to fourth Monday (with new contracts coming in zero business days) then, from my understanding, the contract will then roll-over on Monday morning following Friday the third.

Don't know if this will work in practice, but perhaps worth trying.

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thanks joshm, i thought of this too.

But this would make things messy, since the contract would have different expiration rule from what is official from the exchange.
And i dunno if it will cause other problems when expirationDate is now 1 day late.


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