Problems with custom futures

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Xyzzy
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Problems with custom futures

Postby Xyzzy » 18 Feb 2012

I've created a custom continuous-contract futures symbol for EMD (S&P Midcap 400 e-mini) based on data for individual contracts from Interactive Brokers, which I'm attempting to use for minute-based charts. I'm having two problems.

First, I can't get the rollover dates to work correctly. The most recent rollover date is for the December 2011/March 2012 contracts, which have an "official" rollover date of December 8, 2011.

http://www.cmegroup.com/trading/equity-index/files/Rollover_Dates.pdf

When I use the setting "Rollover Condition: 8 trading days prior to expiration date," Multicharts seems to use a rollover date of November 25, 2011. I've attached a screenshot, which shows really low volume for the custom future between November 25 and December 8, which indicates that it's using the lower-volume March 2012 contract for these dates. (Note that November 24 also shows low volume, but that's because November 24 was the Thanksgiving holiday.)

Alternatively, when I use the setting "Rollover Condition: 1 day of higher volume," it seems to roll over prematurely on December 7. Note in the second screenshot that the volume for December 7 is low, with unusual gaps in the data.

According to the daily bars, the EMD March 2012 contract did not actually have higher volume until December 9. Specifically, they show the following volumes for the December 2011 and March 2012 contracts:

December 6: 24,472 (EMDZ1), 430 (EMDH2)
December 7: 31,114 (EMDZ1), 1,267 (EMDH2)
December 8: 21,182 (EMDZ1), 11,910 (EMDH2)
December 9: 9,086 (EMDZ1), 21,899 (EMDH2)

Using this setting, it seems that the contract should not roll over on a "higher volume" condition until December 9 at the earliest, but it's rolling over on December 7 instead, when the EMDH2 contract still has very low volume.

Second, when I use the setting "Rollover Condition: 8 trading days prior to expiration date," I also receive warning messages that "to construct Custom Futures please add the following: U contract for EMD root for 2009, M contract for EMD root for 2009, H contract for MD root for 2009, Z contract for EMD root for 2009." This is shown in the second screenshot.

In the chart, I've only set the instrument to show data for "200 days back" -- i.e., starting with data from early 2011. I don't understand why I should need contracts for 2009 for this purpose. I don't believe that Interactive Brokers even provides minute data going back that far, so I'm not able to add these contracts regardless. Is this a bug?

Note that EMD doesn't come pre-configured in the symbol directory for Interactive Brokers, so I had to add that as a custom symbol root myself. I've attached screenshots that show the settings in my "symbol directory" and "custom futures" dialog boxes for reference.

Can anyone suggest a solution to these problems? Many thanks in advance.
Attachments
EMD screenshots.zip
Zip of four screenshots
(537.75 KiB) Downloaded 29 times

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Henry MultiСharts
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Re: Problems with custom futures

Postby Henry MultiСharts » 21 Feb 2012

Hello Xyzzy,

Please send us the workspace you are using and export of the custom futures symbol for further investigation.
Make a right click on the symbol in the Quote manager->Export instrument.
If the file is too big for upload to the forum-please upload it to any file sharing hosting and send me the link using PM on the forum.

SP
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Re: Problems with custom futures

Postby SP » 21 Feb 2012

Xyzzy,
as the EMD has the same rollover conditions as the ES/NQ change at the "Edit Root Settings" the expiration rule to 3rd Friday and under "Edit Custom Futures" the rollover condition to time-> 6 trading days prior to expiration days.
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