Expiry date and rules.

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Splint
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Expiry date and rules.

Postby Splint » 07 May 2012

Any reason why the expiry date on all of my currency futures is listed as 1/1/2038 and I can't seem to apply any expiry rules to them?

Thanks
David

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Henry MultiСharts
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Re: Expiry date and rules.

Postby Henry MultiСharts » 07 May 2012

Hello David,

Please let me know who is your data feed and what instruments you are using.
Attach a screenshot of your QuoteManager instruments.

Splint
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Re: Expiry date and rules.

Postby Splint » 07 May 2012

Hi Henry,

Live data is from IB, historical ASCII data is from Pinnacle Data. See the attached screen shots which show all instruments sorted by expiration date. I didn't realise at first, but is more than just the currency futures.

2038 expiry 1.jpg
2038 expiry 1.jpg (170.77 KiB) Viewed 159 times

2038 expiry 2.jpg
2038 expiry 2.jpg (158.09 KiB) Viewed 156 times

2038 expiry 3.jpg
2038 expiry 3.jpg (163.97 KiB) Viewed 146 times

2038 expiry 4.jpg
2038 expiry 4.jpg (210.26 KiB) Viewed 138 times

2038 expiry edit symbol.jpg
2038 expiry edit symbol.jpg (42.03 KiB) Viewed 148 times


Thanks
David

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Henry MultiСharts
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Re: Expiry date and rules.

Postby Henry MultiСharts » 08 May 2012

That is expected behavior for IB instruments.
If the symbol has been added from the data source-correct expiration date is stored in the data base and can be seen in the Symbol Mapping (MultiCharts->File->Broker profiles->Symbol mapping->IB->Edit broker instrument).

Splint
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Re: Expiry date and rules.

Postby Splint » 08 May 2012

Thanks Henry,

Is there any documentation regarding expriation dates and rules? I'm not really clear on how or why or if I need expiration dates. Is this used for autotrading to roll over the contracts automatically prior to expiration?

Thanks
David

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Re: Expiry date and rules.

Postby escamillo » 08 May 2012

Splint wrote:Thanks Henry,

Is there any documentation regarding expriation dates and rules? I'm not really clear on how or why or if I need expiration dates. Is this used for autotrading to roll over the contracts automatically prior to expiration?

Thanks
David


It is different for each Instrument and each exchange. For example:

http://www.cmegroup.com/trading/interes ... tions.html

http://www.eurexchange.com/trading/prod ... BL_en.html

Splint
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Re: Expiry date and rules.

Postby Splint » 08 May 2012

So does the expiry rule do anything other than provide expiry information to the trader? Does it, for example, update the contract in symbol mapping, or automatically place a trade to roll from an expiring contract into the next month? If it does actually do this, the actual rollover date could be a week or so prior to expiry, how is this managed?

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TJ
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Re: Expiry date and rules.

Postby TJ » 08 May 2012

Splint wrote:So does the expiry rule do anything other than provide expiry information to the trader? Does it, for example, update the contract in symbol mapping, or automatically place a trade to roll from an expiring contract into the next month? If it does actually do this, the actual rollover date could be a week or so prior to expiry, how is this managed?


It is your trade, your money, your decision... unless someone can read your mind on when you want to trade which contract, you have to do the dance yourself.



ps. look up Custom Futures. You can create a continuous contract for charting purposes.
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Splint

Splint
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Re: Expiry date and rules.

Postby Splint » 08 May 2012

Thanks TJ, I just thought there may be a way of managing expiring contracts in a purely mechanical fashion, for example placing an automated trade to roll over x days prior to expiry. The same approch could be quiet useful in symbol mapping. Rather than have one contract matched to historical data, a series of contracts which switch over according to expiry/rollover dates. This would be quet appealing to people who prefer "hands free" trading.

escamillo
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Re: Expiry date and rules.

Postby escamillo » 08 May 2012

If you have not, open QuoteManager and go to:

Tools-->Symbol Dictionary--> your data provider -->the symbol you want (or add new)

AND

Instrument-->Add Custom Futures

You choose your own rollover date. Everyone does something a bit different and it can take some trial and error to best define the expiration/rollover day that works best for the contract you are trading and how you want to trade it around rollover.

Good luck.

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Henry MultiСharts
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Re: Expiry date and rules.

Postby Henry MultiСharts » 09 May 2012

Splint wrote:So does the expiry rule do anything other than provide expiry information to the trader? Does it, for example, update the contract in symbol mapping, or automatically place a trade to roll from an expiring contract into the next month? If it does actually do this, the actual rollover date could be a week or so prior to expiry, how is this managed?

Individual contracts do not rollover automatically unless you are using a Custom Futuresinstrument or a continuous contract is provided by your datafeed. Expiration date is to tell you when you need to rollover to the next contract.
You can find more info regarding expiration date here and here.

Splint
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Re: Expiry date and rules.

Postby Splint » 09 May 2012

Thanks, that's very usefull information. I will investigate further.


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