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Direct MessagesDate/Time: Wed, 24 Apr 2024 13:54:56 +0000
Continuous Futures Date Rule Setup
View Count: 1485
| [2014-02-26 07:37:22] |
| cazeek - Posts: 33 |
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Hello, Can you please confirm that I am entering the parameters for the OJ symbol's rollover correctly? The product rule from the exchange states: Last Trading Day 14th business day prior to the last business day of the month https://www.theice.com/productguide/ProductSpec.shtml?specId=30 I am using "Number of Business Days Before Specific Business Day Before Contract Month". I'm entering 14 as Number of Business Days and 1 as Specific Business Day Before Contract Month. Thanks, Steven |
| [2014-02-26 09:19:16] |
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The question we have is what does the ICE mean by "last business day of the month". Do they mean the contract month or the month before the contract month?
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: 2014-02-26 09:19:33
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| [2014-02-26 15:04:48] |
| cazeek - Posts: 33 |
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Good point. I just verified it is the 14th day prior to the last business day of the contract month. For example March will be 3/11. I'm not sure how to replicate this with the rollover rules. First Notice Day First business day of contract month Last Trading Day 14th business day prior to the last business day of the month Last Notice Day Fifth business day prior to the last business day of the contract month |
| [2014-02-26 18:20:21] |
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You would want to set the rollover rule to be about 2 to 3 days before the contract month because you do not want to be rolling over within the contract month for a commodity futures contract.
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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