Custom Futures - can't get June ES contract

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tozwp
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Custom Futures - can't get June ES contract

Postby tozwp » 21 May 2011

I've been trying to create a custom futures symbol in QuoteManager for ES using IB data. The data fills back a couple of years but it won't add the front month (June). It stops at March 2011. On the Edit Custom Future page, I have March, June, September and December checked. I've set rollover to 8 trading days prior to exp. Under the settings tab I've tried a few things. Currently its set to 'Use Custom Settings" at 1/100, 10000, 25 and 50 for the fields on that page. Sessions I've left at the top setting 'Use Symbol Dictionary Sessions'. I'm out of ideas and can't figure this one out. Any ideas?

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TJ
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Re: Custom Futures - can't get June ES contract

Postby TJ » 21 May 2011

Custom futures are virtue symbols; it has no data of its own.

Custom futures get its data from the base symbol... in this case, ES.

Places you can check:

1. Make sure your June 2011 ES contract is set up properly.

2. Make sure there is data in your June 2011 ES contract.
Go to QuoteManager,
highlight the symbol ESM1,
right click on symbol
select Edit data

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JoshM
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Re: Custom Futures - can't get June ES contract

Postby JoshM » 09 Dec 2011

I've set rollover to 8 trading days prior to exp.
What is the "best" roll-over setting for day traders?

Currently, I have my contracts set to roll-over on the day before the actual expiration, but noticed today that the ES March 2012 is already doing 1,3million contracts, while I still have the December 2011 contract plotted.

Would roll-over based on volume be better, or do I then run the risk that a small, accidental, difference in volume would cause the future to roll-over prematurely?

Regards,
Josh

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TJ
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Re: Custom Futures - can't get June ES contract

Postby TJ » 09 Dec 2011

I've set rollover to 8 trading days prior to exp.
What is the "best" roll-over setting for day traders?

Currently, I have my contracts set to roll-over on the day before the actual expiration, but noticed today that the ES March 2012 is already doing 1,3million contracts, while I still have the December 2011 contract plotted.

Would roll-over based on volume be better, or do I then run the risk that a small, accidental, difference in volume would cause the future to roll-over prematurely?

Regards,
Josh
For ES, the roll-over is 8 days before expiry.
Most traders would start trading the new contract on this day.
After this day, the front month contract volume gets thin and the oscillation becomes erratic.
See this for explanation:
http://www.mypivots.com/articles/articl ... ?artnum=10

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JoshM
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Re: Custom Futures - can't get June ES contract

Postby JoshM » 09 Dec 2011

For ES, the roll-over is 8 days before expiry.
Most traders would start trading the new contract on this day.
After this day, the front month contract volume gets thin and the oscillation becomes erratic.
See this for explanation:
http://www.mypivots.com/articles/articl ... ?artnum=10
Thanks TJ, again. :)

Edit: If you allow me a second newbie question, should I then enter 6 trading days or 5 trading days in the Custom Future settings in the QuoteManager? It says "trading days prior to expiration date". If the expiration date is next Friday, does that Friday also count as a "trading day", or as a "trading day prior"?


Have a nice weekend,

Josh

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TJ
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Re: Custom Futures - can't get June ES contract

Postby TJ » 09 Dec 2011

For ES, the roll-over is 8 days before expiry.
Most traders would start trading the new contract on this day.
After this day, the front month contract volume gets thin and the oscillation becomes erratic.
See this for explanation:
http://www.mypivots.com/articles/articl ... ?artnum=10
Thanks TJ, again. :)

Edit: If you allow me a second newbie question, should I then enter 6 trading days or 5 trading days in the Custom Future settings in the QuoteManager? It says "trading days prior to expiration date". If the expiration date is next Friday, does that Friday also count as a "trading day", or as a "trading day prior"?


Have a nice weekend,

Josh
I have mine set to 6 trading days.
I found that I do have to adjust it (1 day ahead or behind) for some months due to the placement of weekends.

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Re: Custom Futures - can't get June ES contract

Postby hilbert » 12 Feb 2013

For ES, the roll-over is 8 days before expiry.
Most traders would start trading the new contract on this day.
After this day, the front month contract volume gets thin and the oscillation becomes erratic.
See this for explanation:
http://www.mypivots.com/articles/articl ... ?artnum=10
Thanks TJ, again. :)

Edit: If you allow me a second newbie question, should I then enter 6 trading days or 5 trading days in the Custom Future settings in the QuoteManager? It says "trading days prior to expiration date". If the expiration date is next Friday, does that Friday also count as a "trading day", or as a "trading day prior"?


Have a nice weekend,

Josh
Exchange convention in equity index futures is that rollover happens 8 calendar days before expiration. However, Multicharts doesn't has a calendar day option, rather it only has trading day option for the rollover condition. What happens if there are 2 holidays in the expiration week? Does the word "trading day" in Multicharts uses bars on charts to compute trading days? If so, then it means it ignores holidays, so rollover condition on the charts will not reflect reality of rollover in the markets. Since in markets rollover will happen on Thursday preceding the week of expiration. But multicharts will push back the rollover by 2 days to account for 2 holidays.

http://www.cmegroup.com/trading/equity- ... dates.html

I think having a calendar day rollover option along with trading day rollover condition while creating custom futures will be a good addition.

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Henry MultiСharts
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Re: Custom Futures - can't get June ES contract

Postby Henry MultiСharts » 13 Feb 2013

What happens if there are 2 holidays in the expiration week? Does the word "trading day" in Multicharts uses bars on charts to compute trading days?
Hello Hilbert,

"Trading day" logic excludes weekends (Saturday, Sunday) and holidays (QuoteManager->Tools->Holidays).
However, Multicharts doesn't has a calendar day option, rather it only has trading day option for the rollover condition.
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QuoteManager->Tools->Expiration rules. Screenshot was done with MultiCharts 8.5 Release Candidate.
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