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Open Feature request MC-1106

Rollover Condition for Backadjusted Futures

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Description

For the futures that do not have "official" rollover dates, I usually roll at the close prior to the day, when liquidity switches to the new front month contract. Example: Volume for CL 09-12 was 113 K on Friday, August 17, volume for CL 10-12 was 69 K for the same day. As the new front month volume already exceeded 60% of the old front month volume, I knew that volume would shift to the new contract on Monday, August 20. Therefore I rolled by selecting Monday at rollover day and calculated my offset from Friday's settlement data for CL 10-12 minus CL 09-12.
Problem 1: There is no rule allowing me to select the appropriate rollover date.
Problem 2: The offsets cannot be calculated from the settlement price.
1) Selecting the approriate rollover date:
Solution 1a: I would be already happy to enter a condition which would allows me to roll, if the new contract has attained X% of the volume of the old contract.
Solution 1b: I would love to be able to select rollover dates individually for each contract. This would allow me to override the rule-based rollover dates. I am currently doing this with another software package.
I am aware that solution 1b requires additional master data for futures and would not be easy to implement. However, solution 1a should be relatively easy.
2) Entering the appropriate offset:
For futures I would love to be able to select between the last price traded (close, which is not published by all futures exchanges, for example CME does not publish it) and the settlement price, which is VWAP of a short period at the end of the regular session (published by all exchanges and used by professional data providers as daily close)
Solution 2a: It would be already nice to be able to select between the close of the daily bar (which would be the settlement) and the close as supplied by intraday data (last contract traded for the trading day).
Solution 2b: I would love to override the offset manually, if for whatever reason it is not correct. I am currently doing this with another software package.
Again solution 2a is the simpler solution, where solution 2b would require to extend the data base for the master data of the instruments.

Steps to reproduce this issue

Try to find a rule for CL (crude oil futures), which allows to roll to the new contract just prior
to volume switching to the new contract. The old front month contract for CL can be very volatile prior to expiry, which is due to constraints for physical delivery at Cushing. Therefore I already want to roll when volume is about to switch, and not when it has switched.

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History
Issue basics
  • Type of issue
    Feature request
  • Category
    Usability
  • Targeted for
    Not determined
  • Status
    Not Reviewed
User pain
  • Type of bug
    Not triaged
  • Likelihood
    Not triaged
  • Effect
    Not triaged
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  • Severity
    Normal
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