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Direct MessagesDate/Time: Sun, 28 Apr 2024 11:01:04 +0000
Unable to accurately set rollover rule for ICE Gasoil
View Count: 1038
| [2015-04-16 22:58:15] |
| i960 - Posts: 360 |
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The closest thing is this: Number Of Business Days Before Business Calendar Day in Contract Month However that's not quite right. The official spec is this: LAST TRADING DAY Trading shall cease at 12:00 hours, 2 business days prior to the 14th calendar day of the delivery month. https://www.theice.com/products/34361119/Low-Sulphur-Gasoil-Futures/specs What is needed here is this: Number Of Business Days Before Number of Calendar Days in Contract Month The only thing similar to that now is: Number Of Business Days Before Number of Calendar Days Before Contract Month But that's obviously a month off. |
| [2015-04-17 09:45:40] |
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There is a difference between the last trading day, and the day that speculators rollover to the next contract month to avoid delivery. This is a commodity futures contract, so it does not make sense for the rollover to occur within the delivery month. The last trading day specifications do not apply. In this particular market, most likely the rollover is somewhere between 1 to 3 days at the end of the month before the delivery month. But that has to be confirmed by a volume-based rollover. 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 Date Time Of Last Edit: 2015-04-17 09:46:06
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| [2015-04-17 10:46:29] |
| i960 - Posts: 360 |
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I understand what you're saying as I also rollover to the next contract myself a few days before the actual expiration but my point here is the existing options won't work for this contract. Literally just taking the "before month" version and providing an "in this month" version would make it behave correctly.
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