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Direct MessagesDate/Time: Sat, 27 Apr 2024 20:01:30 +0000
Rollover rule for NG-NYMEX has wrong number of business days
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| [2015-04-16 23:00:18] |
| i960 - Posts: 360 |
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I'm not sure if this is burned into some default list somewhere but when I opened up the global symbol it was set to 5 business days when it should be 3 business days per the CME spec. http://www.cmegroup.com/trading/energy/natural-gas/natural-gas_contract_specifications.html |
| [2015-04-17 00:14:15] |
| i960 - Posts: 360 |
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Sure enough this is on the Sierra side as updating from server just overwrites it back to 5 days. Per CME: Trading of any delivery month shall cease three (3) business days prior to the first day of the delivery month. In the event that the official Exchange holiday schedule changes subsequent to the listing of a Natural Gas futures, the originally listed expiration date shall remain in effect. In the event that the originally listed expiration day is declared a holiday, expiration will move to the business day immediately prior.
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| [2015-04-17 09:06:57] |
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The question is though when the trading actually shifts to the next contract month. Does it occur 3 business days prior to the first day of the delivery month or about 5 days prior? Most likely when we looked at this we noticed that typically it occurs around 5 days prior.
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| [2015-04-17 10:52:57] |
| i960 - Posts: 360 |
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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.
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