Hello,
I want to construct a custom future on the future cac40 (the french index future) but the custom don't rollover exactly as I want.
The CAC 40 future (Symbol FCE) expire every third Friday of every month so I want the custom future to rollover every friday at the openning of the session.
For that on the Symbol dictionnary on the "expiration rule" setting I tried different solution and it didn't work.
Please tell whitch epiration rule I should chose to let him rollover just like I want. (Last day,lastbusinessday,.......).
Rgds,
CAC 40 CUSTOM FUTUR
Re: CAC 40 CUSTOM FUTUR
Hi
You first need to check the expiration rule of the future contract (Edit Symbol). For CAC it should be by default "3rdFriday".
Then edit the custom future and define the Rollover Condition there. I think you want to have Time: 1 Trading Days Prior to Expiration Date. I personally use Event: 1 Days of Higher Volume (which in the case of CAC is often the day prior to expiration).
Back Adjustment Mode: I use "Difference".
Cheers.
You first need to check the expiration rule of the future contract (Edit Symbol). For CAC it should be by default "3rdFriday".
Then edit the custom future and define the Rollover Condition there. I think you want to have Time: 1 Trading Days Prior to Expiration Date. I personally use Event: 1 Days of Higher Volume (which in the case of CAC is often the day prior to expiration).
Back Adjustment Mode: I use "Difference".
Cheers.