Continous Contract - DTB/ERUEX

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lantama
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Continous Contract - DTB/ERUEX

Postby lantama » 18 Jun 2010

Hi, cc function is very helpfull. However I am missing the Symbol roots for non american futures in the Custom Futures Builder. How to setup up the DAX Future for example?

Cheers
lantama

NiC72
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Postby NiC72 » 18 Jun 2010

I'm also looking for a solution to setup Custom Futures.. Did try it for OMX, Swedish index, future.
Did use "How build a continuos future for ZQ (fed fund future)" (great thread and answer), But I didnt get it to work.

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Anastassia
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Postby Anastassia » 25 Jun 2010

Hi NiC72 and Lantama,

Can you please tell me what are the data providers that you use? In order to provide you guys with the detailed instructions we need to know from which data vendor you want to plot OMX and DAX.

Thank you in advance

NiC72
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Postby NiC72 » 26 Jun 2010

Hi Anastassia,

I use IB.

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Anastassia
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Postby Anastassia » 29 Jun 2010

Hi NiC72,

Can you please tell me what is the symbol underlying? If it is OMXS30 then Custom Futures cannot be constructed as OMXS30 symbol format is not supported. Please see the information below for more details:

=========Definitions:=========
<Root> - all symbols

<AbbrMonth> - letters F, G, H, J, K, M, N, Q, U, V, X, Z, or abbreviations JAN, FEB, MAR, APR, MAY, JUN, JUL, AUG, SEP, OKT, NOV, DEC

<Year> - 1, 2 or 4 digits of the year

<empty space> - any quantity of empty spaces.

<suffix> - any sequence of two or more symbols, starting from ñ '/' or '-'

[] – you can omit everything that is in the [] brackets.

=========CF can be created only if the futures name in the QM database consist of==========

<Root>[<space>]<AbbrMonth>[<space>]<Year>[<suffix>]

========Examples of the futures names which cannot be used to create CF=========

OMXS300G (OMXS30 Jul10 futures) –because month is indicated in the end, letter G does not stand for February(!)

OMXS300H (OMXS30 Aug10 futures) –same reason.

FTI100618 (EOE Jun 10 Futures) – because month is indicated by numbers.

|15|1|4|0|35004|10005|0| (AUD Aug08 AP Futures) – same reason.

======== Examples of the futures names which can be used to create CF=======================

In the descending order of priority when searching for the symbol name in the database

Priority is used, if there are several symbol names suitable for the rollover.

<*> - symbol name root is not empty sequence of the symbols(Symbol Name field in the dialogue)

ES U 2009

ES U2009

ESU 2009

ESU2009

ES U 09

ES U09

ESU 09

ESU09

ES U 9

ES U9

ESU 9

ESU9

ES SEP 2009

ES SEP2009

ESSEP 2009

ESSEP2009

ES SEP 09

ES SEP09

ESSEP 09

ESSEP09

ES SEP 9

ES SEP9

ESSEP 9

ESSEP9

ES U 2009-DT

ES U2009-DT

ESU 2009-DT

ESU2009-DT

ES U 09-DT

ES U09-DT

ESU 09-DT

ESU09-DT

ES U 9-DT

ES U9-DT

ESU 9-DT

ESU9-DT

ES SEP 2009-DT

ES SEP2009-DT

ESSEP 2009-DT

ESSEP2009-DT

ES SEP 09-DT

ES SEP09-DT

ESSEP 09-DT

ESSEP09-DT

ES SEP 9-DT

ES SEP9-DT

ESSEP 9-DT

ESSEP9-DT

<*> U 2009

<*> U2009

<*>U 2009

<*>U2009

<*> U 09

<*> U09

<*>U 09

<*>U09

<*> U 9

<*> U9

<*>U 9

<*>U9

<*> SEP 2009

<*> SEP2009

<*>SEP 2009

<*>SEP2009

<*> SEP 09

<*> SEP09

<*>SEP 09

<*>SEP09

<*> SEP 9

<*> SEP9

<*>SEP 9

<*>SEP9

<*> U 2009-DT

<*> U2009-DT

<*>U 2009-DT

<*>U2009-DT

<*> U 09-DT

<*> U09-DT

<*>U 09-DT

<*>U09-DT

<*> U 9-DT

<*> U9-DT

<*>U 9-DT

<*>U9-DT

<*> SEP 2009-DT

<*> SEP2009-DT

<*>SEP 2009-DT

<*>SEP2009-DT

<*> SEP 09-DT

<*> SEP09-DT

<*>SEP 09-DT

<*>SEP09-DT

<*> SEP 9-DT

<*> SEP9-DT

<*>SEP 9-DT

<*>SEP9-DT

Have a nice day

NiC72
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Postby NiC72 » 29 Jun 2010

Hi Anastassia;

I have prioritized Custom Futures, but can drop it now that you clarified the situation.
Find it strange that OMX have names that are different for other exchanges. May hope this will become an amendment, now that the Nasdaq owns OMX.

Thanks for all your time you spend. It is appreciated by all!


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