Support Board
Date/Time: Fri, 01 Nov 2024 00:03:40 +0000
Nymex CL rollover rule addition?
View Count: 1350
| [2014-03-29 16:27:30] |
| User22396 - Posts: 191 |
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How can the Nymex CL expiry rule be replicated as SC does not account for the second sentence in the following: "Trading in the current delivery month shall cease on the third business day prior to the twenty-fifth calendar day of the month preceding the delivery month. If the twenty-fifth calendar day of the month is a non-business day, trading shall cease on the third business day prior to the last business day preceding the twenty-fifth calendar day. " I was wanted to create a rollover rule to roll 3days prior to expiry....can a new rule be created to replicate the nymex expiry rules? thanks Date Time Of Last Edit: 2014-03-29 17:37:46
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| [2014-03-29 20:09:38] |
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Sierra Chart does account for the following if the following is a weekend. However, there is no consideration of holidays. If the twenty-fifth calendar day of the month is a non-business day, trading shall cease on the third business day prior to the last business day preceding the twenty-fifth calendar day.
You just have to look at the various rollover rules available and determine what will work best for you. Sierra Chart Support - Engineering Level Your definitive source for support. Other responses are from users. Try to keep your questions brief and to the point. Be aware of support policy: https://www.sierrachart.com/index.php?l=PostingInformation.php#GeneralInformation For the most reliable, advanced, and zero cost futures order routing, *change* to the Teton service: Sierra Chart Teton Futures Order Routing |
| [2014-03-30 14:23:50] |
| User22396 - Posts: 191 |
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In trying to replicate the nymex rule would "Number Of Business Days Before Specific Business Day Before Contract Month" be the closest match? or would "Number Of Business Days Before Specific Calendar Days Before Contract Month" ? or do we need a new rollover rule like "Number Of Business Days Before Specific Calendar Day Before Contract Month"? |
| [2014-03-30 14:53:50] |
| User22396 - Posts: 191 |
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Just noticed an additional option in the rollover choices that is not listed in the SC documentation which could be modified for nymex expiry... "Number of business days before business calendar day in contract month" Date Time Of Last Edit: 2014-03-30 14:54:08
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| [2014-03-30 17:43:11] |
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"Number Of Business Days Before Specific Business Day Before Contract Month" is the correct one.
Sierra Chart Support - Engineering Level Your definitive source for support. Other responses are from users. Try to keep your questions brief and to the point. Be aware of support policy: https://www.sierrachart.com/index.php?l=PostingInformation.php#GeneralInformation For the most reliable, advanced, and zero cost futures order routing, *change* to the Teton service: Sierra Chart Teton Futures Order Routing |
| [2014-04-22 17:16:31] |
| User22396 - Posts: 191 |
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"Number Of Business Days Before Specific Business Day Before Contract Month" is the correct one.
how can you replicate the nymex expiry using that rule? |
| [2014-04-23 02:46:40] |
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This rule works except it does not consider holidays. But it does make the necessary adjustment for weekend days.
Sierra Chart Support - Engineering Level Your definitive source for support. Other responses are from users. Try to keep your questions brief and to the point. Be aware of support policy: https://www.sierrachart.com/index.php?l=PostingInformation.php#GeneralInformation For the most reliable, advanced, and zero cost futures order routing, *change* to the Teton service: Sierra Chart Teton Futures Order Routing |
| [2014-04-24 01:26:11] |
| User22396 - Posts: 191 |
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in replicating the nymex rule under symbol settings i can understand the "number of business days" box would be filled with "3" but "specific business day before contract month" box would that be "25" ?...the wording could be interpreted differently it seems like business calendar day would be better since there is not 25 business days in a month? take for example this April only has 22 weekdays and 21 business days due to good friday sorry for the confusion just trying to understand the wording and how SC understands business day, calendar day, and business calendar day etc |
| [2014-04-24 02:13:50] |
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Yes. It would be 25. The wording is not necessarily the best because it really is hard to come up with good terminology in a short sentence to describe these complex exchange rules. We will see about rewording it. Sierra Chart Support - Engineering Level Your definitive source for support. Other responses are from users. Try to keep your questions brief and to the point. Be aware of support policy: https://www.sierrachart.com/index.php?l=PostingInformation.php#GeneralInformation For the most reliable, advanced, and zero cost futures order routing, *change* to the Teton service: Sierra Chart Teton Futures Order Routing |
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