Custom Futures - no appropriate rollover setting for GC

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seneca
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Custom Futures - no appropriate rollover setting for GC

Postby seneca » 03 Sep 2013

As the GC Gold Futures contract is somewhat special since the highest volume is not consistently at the leading month or at the second/third/etc. month, it is not possible for me to generate a continuous futures symbol for GC that is consistently based on the contract month with the highest volume.

For example, as of today, GC total volume for Sep '13 is 105 contracts, for Oct '13 it is 4002, Nov '13 is 16 and Dec '13 is 184,253 contracts. In order to make Quote Manager choose the correct month (Dec '13), I have to build the continuous futures contract based on the 2nd nearest contract (see the attachment), but in this case, there will be a period from about 30 May - 31 July 2013 with extremely low volume, i.e. not based on the contract month with the highest volume. The time based rollover condition does not help either, due to the irregular rollover behavior of GC.

To solve this, Quote Manager custom futures settings should have an additional option like "Build Continuous Futures Contract on: Contract with highest volume of the next XY months".

With this setting, we could generate a continuous GC contract with consistently high volume.
Attachments
GC setting.png
GC setting.png (66.53 KiB) Viewed 531 times

SP
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Re: Custom Futures - no appropriate rollover setting for GC

Postby SP » 03 Sep 2013

Gold traders usually only rollover 5 times a year using the feb, april, june, august and dec
contracts.
So you may could uncheck the oct (V) contract at "Select contracts to Use" as the oct contract does not play a role in gold, then it should roll directly from Q to Z.
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seneca
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Re: Custom Futures - no appropriate rollover setting for GC

Postby seneca » 04 Sep 2013

SP wrote:Gold traders usually only rollover 5 times a year using the feb, april, june, august and dec
contracts.
So you may could uncheck the oct (V) contract at "Select contracts to Use" as the oct contract does not play a role in gold, then it should roll directly from Q to Z.


That did the trick, thanks.


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