Hi all,
there's a way to set particular rules on custom futures ?
For example, vix futures settlement is third wednesday on the month, but if the first day of month is a wednesday, it will be the fourth day of the month.
Regards
No Erocla
vix continuos custom futures problem [SOLVED]
- Angelina MultiСharts
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Re: vix continuos custom futures problem
Hello No Erocla,
We have included the expiration rule for VIX futures in the latest release, although, it is 30DaysBefore3rdFridayNextMonth. Please check it.
We have included the expiration rule for VIX futures in the latest release, although, it is 30DaysBefore3rdFridayNextMonth. Please check it.
Re: vix continuos custom futures problem
Hi Angelina and thank you for response.
VIX Futures settlmenet is on wednesday, so this function does not work.
Furthermore, for month that starts on wednesday calculation changes, and expiration is during 4th wednesday,
Another question, there's any way to retrieve futures contract expiration from power language ?
Regards
No Erocla
VIX Futures settlmenet is on wednesday, so this function does not work.
Furthermore, for month that starts on wednesday calculation changes, and expiration is during 4th wednesday,
Another question, there's any way to retrieve futures contract expiration from power language ?
Regards
No Erocla
- Angelina MultiСharts
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- Joined: 28 Dec 2016
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Re: vix continuos custom futures problem [SOLVED]
Sir,
Here is the CBOE VIX schedule:
http://www.cboe.com/aboutcboe/xcal2017.pdf
The 30DaysBefore3rdFridayNextMonth rule returns the same expiration dates
You can get the expiration date from the script using the ExpirationDate keyword: https://www.multicharts.com/trading-sof ... rationDate
Here is the CBOE VIX schedule:
http://www.cboe.com/aboutcboe/xcal2017.pdf
The 30DaysBefore3rdFridayNextMonth rule returns the same expiration dates
Please provide a source of this information.for month that starts on wednesday calculation changes, and expiration is during 4th wednesday,
You can get the expiration date from the script using the ExpirationDate keyword: https://www.multicharts.com/trading-sof ... rationDate
- TJ
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Re: vix continuos custom futures problem
Hi Angelina,
there is some function like: 30DaysBefore3rdFridayNextMonth for powerlaunguage ?
Regards
No Erocla
If the expiration is on the 3rd Friday,
then all you need is to find the "30 Days Before".
Re: vix continuos custom futures problem
Hi TJ,
thank you for your response.
I've to count the third friday and then go back 30 days, and i can't do it using bars.
How can i count days diffently ?
Regards
No Erocla
thank you for your response.
I've to count the third friday and then go back 30 days, and i can't do it using bars.
How can i count days diffently ?
Regards
No Erocla
- TJ
- Posts: 7740
- Joined: 29 Aug 2006
- Location: Global Citizen
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Re: vix continuos custom futures problem
Hi TJ,
thank you for your response.
I've to count the third friday and then go back 30 days, and i can't do it using bars.
How can i count days diffently ?
Regards
No Erocla
What do you mean by 30 day?
30 calendar days? not 30 trading days?
What about long months and short months?
What if the 30 day prior is a holiday?
Why not 20 trading days?
Why not 4 Fridays ago?
If you can find the expiration date, which Angela already told you how, you can easily count back 30 days either way.
eg. if the May expiration date is the 3rd Friday, which is May the 19th,
then 30 days prior is April 19th.
If you have to be exact exact exact... then just add an adjustment to account for Feb and the 31 day months.