vix continuos custom futures problem  [SOLVED]

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no erocla
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vix continuos custom futures problem

Postby no erocla » 25 Apr 2017

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.

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No Erocla

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Angelina MultiСharts
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Re: vix continuos custom futures problem

Postby Angelina MultiСharts » 25 Apr 2017

Hello No Erocla,

We have included the expiration rule for VIX futures in the latest release, although, it is 30DaysBefore3rdFridayNextMonth. Please check it.

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Re: vix continuos custom futures problem

Postby no erocla » 24 May 2017

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 ?

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Angelina MultiСharts
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Re: vix continuos custom futures problem  [SOLVED]

Postby Angelina MultiСharts » 24 May 2017

Sir,

Here is the CBOE VIX schedule:
http://www.cboe.com/aboutcboe/xcal2017.pdf
The 30DaysBefore3rdFridayNextMonth rule returns the same expiration dates
for month that starts on wednesday calculation changes, and expiration is during 4th wednesday,
Please provide a source of this information.

You can get the expiration date from the script using the ExpirationDate keyword: https://www.multicharts.com/trading-sof ... rationDate

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Re: vix continuos custom futures problem

Postby no erocla » 29 May 2017

Hi Angelina,

there is some function like: 30DaysBefore3rdFridayNextMonth for powerlaunguage ?

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TJ
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Re: vix continuos custom futures problem

Postby TJ » 29 May 2017

Hi Angelina,

there is some function like: 30DaysBefore3rdFridayNextMonth for powerlaunguage ?

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No Erocla

If the expiration is on the 3rd Friday,
then all you need is to find the "30 Days Before".

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Re: vix continuos custom futures problem

Postby no erocla » 29 May 2017

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 ?

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Re: vix continuos custom futures problem

Postby TJ » 29 May 2017

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 ?

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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.

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Re: vix continuos custom futures problem

Postby no erocla » 30 May 2017

The mission is to calculate VIX Expiration date, so of course, should be exact exact exact :D
I've just to count 30 days before third friday of the next month.


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