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Direct MessagesDate/Time: Thu, 02 May 2024 17:34:01 +0000
CME equity index futures roll - SC recommends/auto rolls too early?
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| [2015-12-10 16:14:52] |
| T44 - Posts: 363 |
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For CME equity index futures products ES YM NQ Charts for the Dec 2015 expiry display "Symbol needs Rollover. Click to Rollover" Charts which have "Automatically Rollover Futures Symbol" checked in Chart Settings | Main Settings window have rolled to Mar 2016. According to the CME the roll continues through December 18. Today, ES Dec has traded 936,000 lots against 383,000 ES March. Would it make sense for Sierra software to only roll when March volume is either greater than or within a few percept of December volume? Can this please be added? Otherwise, can you please advise on the current roll method and where this is documented. It doesn't seem to appear under http://www.sierrachart.com/index.php?page=doc/doc_ChangingFuturesContract.html Thank you. |
| [2015-12-11 09:50:45] |
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The rollover rules for the CME stock index futures are correct. The documentation here explains everything about this subject: https://www.sierrachart.com/index.php?page=doc/doc_ChartSettings.html#AutomaticallyRollover 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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