Support Board
Date/Time: Sat, 10 May 2025 22:24:58 +0000
Post From: Problems with ICE London Cocoa or ICE Robusta rollover logic
| [2016-02-09 04:58:33] |
| i960 - Posts: 360 |
|
For some reason I cannot get these contracts to work correctly with any typical rollover rule without a month-wide gap showing up at contract rollover. Even when switching between volume and date based rollover rules, both show gaps. The only thing that works is a daily chart, no intraday chart (either volume or time based) works without a gap at contract rollover. I've deleted and redownloaded the intraday data multiple times. Here's the specs: London Cocoa, https://www.theice.com/products/37089076/London-Cocoa-Futures FIRST NOTICE DAY The business day immediately following the last trading day LAST TRADING DAY Eleven business days immediately prior to the last business day of the delivery month at 12:00 For London Cocoa, I use "Number of business days before last business day of contract month" with a days setting of 11. Robusta, https://www.theice.com/products/37089079/Robusta-Coffee-Futures FIRST NOTICE DAY First business day of the delivery month LAST TRADING DAY Last business day of the delivery month at 12:30 LAST NOTICE DAY Last business day of the delivery month For Robusta I use "Number of business days before first business day of contract month" with a days setting of 0. |