Support Board

Date/Time: Fri, 10 May 2024 13:55:52 +0000

Post From: Rollover rule for NG-NYMEX has wrong number of business days

[2015-04-17 10:52:57] Link To Thread - Link To Post [Go To First Post]
i960 - Posts: 360
I understand what you're saying but that really doesnt have much to do with the formal definition of the contract expiring. The value used for rollover should be accurate to the contract spec itself. What algorithm you use to do automatic rollover and/or notification of "symbol needs rollover" is something else entirely and should not be directly dependent on this rollover computation which should be dead on accurate to the exchange contract definition. Either use a separate value or some other formula for the auto rollover stuff but I think it's pretty much a no brainer that the data used to describe expiration is accurate to the day of actual expiration.