CL rollover with IB

Questions about MultiCharts and user contributed studies.
ilt000
Posts: 52
Joined: 06 Apr 2010
Location: Italy
Has thanked: 6 times
Been thanked: 2 times

CL rollover with IB

Postby ilt000 » 20 Sep 2010

Dear Support,

I've noticed form the quote manager that CLV0 has 22/09/2010 like expiration day but the correct date is 21/09/2010 (from IB website).
I don't konw if it is the cause of my problem, but as you can see from the attachment, the custom future that i created doesn't display in the correct way the CL series, plotting two times the period from 19/09/2010 to 20/09/2010 ,the first period refers to the prices of CLV0 and the second to the prices of CLX0.

In the chart i need to see prices of CLV0 until 17/09/2010 and then, from 19/09/2010 the prices of CLX0. (The expiration rules i've setted in the quote manager have been met on 17/09/2010, where CLX0 had 122785 volume versus 119095 CLV0 volume).

Where is the problem?
Thank you
Attachments
CL-ROLLOVER.jpg
CL-ROLLOVER.jpg (255.44 KiB) Viewed 1006 times

templ
Posts: 86
Joined: 19 Nov 2006
Has thanked: 2 times
Been thanked: 2 times

Re: CL rollover with IB

Postby templ » 23 Sep 2010

Hello,

since the 6Version of MC something is wrong in "Database" or elsewhere (Instrument and Description show not the same month).

E.g. if I type in CLX I get futures for October AND November! Or CLG, you get Jan and Feb futures...
See screenshot:
Attachments
MC_CLx.jpg
MC_CLx.jpg (43.03 KiB) Viewed 2245 times

User avatar
Dave Masalov
Posts: 1712
Joined: 16 Apr 2010
Has thanked: 51 times
Been thanked: 485 times

Re: CL rollover with IB

Postby Dave Masalov » 24 Sep 2010

Dear Support,

I've noticed form the quote manager that CLV0 has 22/09/2010 like expiration day but the correct date is 21/09/2010 (from IB website).
I don't konw if it is the cause of my problem, but as you can see from the attachment, the custom future that i created doesn't display in the correct way the CL series, plotting two times the period from 19/09/2010 to 20/09/2010 ,the first period refers to the prices of CLV0 and the second to the prices of CLX0.

In the chart i need to see prices of CLV0 until 17/09/2010 and then, from 19/09/2010 the prices of CLX0. (The expiration rules i've setted in the quote manager have been met on 17/09/2010, where CLX0 had 122785 volume versus 119095 CLV0 volume).

Where is the problem?
Thank you


Dear ilt000,

The engineers are in the process of investigation of the issue. We will get back to you as soon as possible.

Hello,

since the 6Version of MC something is wrong in "Database" or elsewhere (Instrument and Description show not the same month).

E.g. if I type in CLX I get futures for October AND November! Or CLG, you get Jan and Feb futures...
See screenshot:


Dear templ,

IB API does not provide Description and this line is made by МС. It is used to not to request the data which is not needed, as CLX0 (November contract) for example, expires in October. The data for this symbol in MC is the same as in TWS.

templ
Posts: 86
Joined: 19 Nov 2006
Has thanked: 2 times
Been thanked: 2 times

Re: CL rollover with IB

Postby templ » 24 Sep 2010

Dave Masalov wrote:Dear templ,

IB API does not provide Description and this line is made by МС. It is used to not to request the data which is not needed, as CLX0 (November contract) for example, expires in October. The data for this symbol in MC is the same as in TWS.


I dont understand well.
Please take a look at my screenshot, I do not have the same in MC and TWS,
CLZ0 in TWS-Description is called December Future, but in MC Chart-Description CLZ0 is called November Future.

Thanks
MC_CLZ.jpg
MC_CLZ.jpg (66.78 KiB) Viewed 1034 times

fcetrader
Posts: 10
Joined: 18 Mar 2010
Location: Toulouse (France)
Has thanked: 1 time

Re: CL rollover with IB

Postby fcetrader » 24 Sep 2010

Hello templ,

You are fully right. Crude Oil futures DEC 2010 contract is CLZ0. TWS is ok, but not Quotemanager. You have to open Quotemabager, then edit the symbol CLZ0 and change NOV 10 to DEC10.
Then, CLZ0 will be DEC 2010 contract in MC.

Best regards,
Fcetrader

ilt000
Posts: 52
Joined: 06 Apr 2010
Location: Italy
Has thanked: 6 times
Been thanked: 2 times

Re: CL rollover with IB

Postby ilt000 » 24 Sep 2010

Thank you Dave

User avatar
Dave Masalov
Posts: 1712
Joined: 16 Apr 2010
Has thanked: 51 times
Been thanked: 485 times

Re: CL rollover with IB

Postby Dave Masalov » 29 Sep 2010

Dear ilt000,

The engineers have confirmed that it is a bug. It has been added to our fix list.

ilt000
Posts: 52
Joined: 06 Apr 2010
Location: Italy
Has thanked: 6 times
Been thanked: 2 times

Re: CL rollover with IB

Postby ilt000 » 29 Sep 2010

Ok, so...thank you

User avatar
Dave Masalov
Posts: 1712
Joined: 16 Apr 2010
Has thanked: 51 times
Been thanked: 485 times

Re: CL rollover with IB

Postby Dave Masalov » 01 Oct 2010

Dear templ and fcetrader,

1)MultiCharts Version 4.0 Release (Build 1724) behaves the same way with respect to CL description as it does in 6.0. For example, for CLX8, "USD OCT08 CL Futures CLX8" description is formed. So the behaviour has not changed in 6.0. Moreover, it was always the same.

2) MC itself forms the line for description from the currency, name of the symbol, and expiration date. It is done this way because it is not possible to recognize the description reflected by TWS thru API IB Description.

МС cannot "know" that November contract expires in October. To do so MC should recognize contract month in the symbol name when the symbol is added (для CLX8 это "X"). Basically, it is not possible because IB supports multiple symbologies.

For example:
OMXS300G (OMXS30 Jul10 futures) - as month is indicared after year, G does not mean Febrary.
FTI100618 (EOE Jun 10 Futures) - because month is indicated by numbers.
NIFTY10SEPFUT (NIFTY50 SEP10 Futures )- there is no divider between month and category

We understand, that it can cause inconveniences. Please post your suggestions and we will take them into consideration.

templ
Posts: 86
Joined: 19 Nov 2006
Has thanked: 2 times
Been thanked: 2 times

Re: CL rollover with IB, ticker symbol for Light Sweet Crude

Postby templ » 01 Oct 2010

Dave Masalov wrote:Dear templ and fcetrader,

1)MultiCharts Version 4.0 Release (Build 1724) behaves the same way with respect to CL description as it does in 6.0. For example, for CLX8, "USD OCT08 CL Futures CLX8" description is formed. So the behaviour has not changed in 6.0. Moreover, it was always the same.

1. This is not correct as you see in my screenshot Image
The years 2008 and 2009 (added with MC Version 4 or 5 have the correct relation between ticker symbol and description! X = November not October.
V = October not September and so on...

Please take a look at Nymex/cmegroup Contract Month and Product Code:
http://www.cmegroup.com/trading/energy/ ... =undefined

Code: Select all

Product Calendar for Light Sweet Crude Oil Futures       
Contract Month     Product Code
OCT 2010            CLV10       
NOV 2010            CLX10       
DEC 2010            CLZ10       
JAN 2011            CLF11       
FEB 2011            CLG11 
and so on...     


Could somebody help please, why does Dave misunderstand me?

Thanks

User avatar
Dave Masalov
Posts: 1712
Joined: 16 Apr 2010
Has thanked: 51 times
Been thanked: 485 times

Re: CL rollover with IB

Postby Dave Masalov » 13 Oct 2010

The question was answered here: viewtopic.php?f=1&t=7661


Return to “MultiCharts”