Rollover for custom futures

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Splint
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Rollover for custom futures

Postby Splint » 22 Jun 2012

Hi,

My data provider uses calendar conditions for rollovers like 18th of the month before delivery month, or Thursday prior to the 2nd friday of delivery month. It looks like Multicharts cannot create rules like that, rather x days prior to expiration date offset by x months.

Is there any plans of increasing the functionality such that these types of rules can be created?

Thanks
Splint

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JoshM
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Re: Rollover for custom futures

Postby JoshM » 22 Jun 2012

18th of the month before delivery month
Perhaps with this?
Image
Thursday prior to the 2nd friday of delivery month.
Perhaps with this rule?

Image

Both are untested, hence the question marks, but perhaps worth trying.
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Splint
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Re: Rollover for custom futures

Postby Splint » 22 Jun 2012

Thanks Josh,

I was looking at the rollover condition section in the add custom future dialogue box. I'm still figuring all of this out and didn't know I could use expiry rules to do this.

Cheers
David
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Henry MultiСharts
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Re: Rollover for custom futures

Postby Henry MultiСharts » 22 Jun 2012

Splint, you need to add the appropriate expiration rule template (QuoteManager-Tools->Expiration rules), then set it for the symbol root(QM->Tools->Symbol dictionary) and then select this root while creating a custom futures instrument. After that is done-you can select the rollover condition you need.

Splint
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Re: Rollover for custom futures

Postby Splint » 27 Jun 2012

Thanks,

Got the custom futures sorted. I set the expiration rules to match the rollover rules as used by Pinnacle Data, and set the rollover coditions in the custom futures as zero trading days prior to expiration date offset by zero months. I assume that this will make a chart matching the Pinnacle Data chart?

Assuming that this works as expected, can the rollover of the actual trade be automated or is that done manually?

Thanks
Splint

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Henry MultiСharts
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Re: Rollover for custom futures

Postby Henry MultiСharts » 27 Jun 2012

Thanks,

Got the custom futures sorted. I set the expiration rules to match the rollover rules as used by Pinnacle Data, and set the rollover coditions in the custom futures as zero trading days prior to expiration date offset by zero months. I assume that this will make a chart matching the Pinnacle Data chart?
According to your description the charts should match now.
Assuming that this works as expected, can the rollover of the actual trade be automated or is that done manually?
You need to change the symbol mapping to the current traded contract and manually move the trade.


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