hi,
How do i create a custom futures that rollover AFTER expiration ?
I tried, setting Rollover Condition base on TIME, but setting to 0 the custom future will rollover ON expiration date itself.
thanks
Custom Futures Rollover
- Henry MultiСharts
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Re: Custom Futures Rollover
Hello Aljafp,
[Edited]
When Rollover Condition is based on Time - 0 trading days prior to expiration date, next contract will be plotted from the next trading session. So if ESM2 expires on 6/15/12 and rollover condition is 0 trading days, that means custom futures will start using ESU2 contract from 17:00 am 6/17/12.
[Edited]
When Rollover Condition is based on Time - 0 trading days prior to expiration date, next contract will be plotted from the next trading session. So if ESM2 expires on 6/15/12 and rollover condition is 0 trading days, that means custom futures will start using ESU2 contract from 17:00 am 6/17/12.
Last edited by Henry MultiСharts on 13 Jun 2012, edited 2 times in total.
Re: Custom Futures Rollover
henry,Hello Aljafp,
There is no way to do that.
some of us still wants to trade the nearest contract on the expiration day itself.
We only want to rollover to the next contract on the next business day after expiration.
- JoshM
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Re: Custom Futures Rollover
Might changing the expiration rules solve this? Say the contract expires on the third Friday (with new contracts coming in zero business days before that). Changing the expiration rule to fourth Monday (with new contracts coming in zero business days) then, from my understanding, the contract will then roll-over on Monday morning following Friday the third.some of us still wants to trade the nearest contract on the expiration day itself.
We only want to rollover to the next contract on the next business day after expiration.
Don't know if this will work in practice, but perhaps worth trying.
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Re: Custom Futures Rollover
thanks joshm, i thought of this too.Might changing the expiration rules solve this? Say the contract expires on the third Friday (with new contracts coming in zero business days before that). Changing the expiration rule to fourth Monday (with new contracts coming in zero business days) then, from my understanding, the contract will then roll-over on Monday morning following Friday the third.some of us still wants to trade the nearest contract on the expiration day itself.
We only want to rollover to the next contract on the next business day after expiration.
Don't know if this will work in practice, but perhaps worth trying.
But this would make things messy, since the contract would have different expiration rule from what is official from the exchange.
And i dunno if it will cause other problems when expirationDate is now 1 day late.