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DX Rollover Day?


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DX Rollover Day?

  #11 (permalink)
 
GridKing's Avatar
 GridKing 
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Fat Tails View Post
Sorry, I am sometimes outspoken and love to argue.....



Settlement for DX is Wednesday, 03/21/2012, last trading is Monday, 03/19/2012. The response for the rollover date did not match the question, as it was not a response for DX but for ES.

The front month of DX has about 25,000 trades per day. This is less than the top 20 futures contracts, but not illiquid. You can trade it, although it is certainly not suited for scalpers.

Beg you pardon for my comments.

Nope, I was just digging back , Thanks, but now I am confused







Barchart exp calendar
https://www.barchart.com/futures/expirations.php?view=futures




Barchart
First Notice Dates By Market
Futures - Expiration Calender

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  #12 (permalink)
 
trendisyourfriend's Avatar
 trendisyourfriend 
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Regarding the offset, can we trust Ninja or do you suggest we make a visual check?

How to be sure the value is correct?


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  #13 (permalink)
 
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 Fat Tails 
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trendisyourfriend View Post
Regarding the offset, can we trust Ninja or do you suggest we make a visual check?

How to be sure the value is correct?



If you select the preset rollover date, NinjaTrader will load the offset directly from their servers. I you change the preset rollover date, then NinjaTrader will calculate the offset from your daily data. If you do not have daily data, NinjaTrader may calculate the offset from intraday data. But if you do not have daily data, it is essentially your fault.

I do not trust in any preset rollover dates. Usually NinjaTrader has false rollover dates and you should check them every time. Only exception are index futures.

Once you have checked rollover dates, you need to delete the offset (EMTPY FIELD) to make sure that they are correctly repopulated by NinjaTrader.

A visual check for a rollover date will never help. What you can do is

-> determine the rollover date based on your preferences (volume crossover, open interest crossover, a combination thereof, etc.)
-> then write down the settlement price for the old contract month on the day prior to rollover date
-> then write down the settlement price for the new contract month on the day prior to rollover date

Now subtract the settlement price of the old contract from the settlement price of the new contract. This is the offset used to backadjust the old contract starting from rollover date. Simple, isn't it?

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  #14 (permalink)
 
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 Fat Tails 
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GridKing View Post
Nope, I was just digging back , Thanks, but now I am confused

@ GridKing:

It is all here:

https://www.ice.com/productguide/ProductDetails.shtml?specId=194

"Last Trading Day
Trading ceases at 10:16 Eastern time two days prior to settlement (see next entry).
"

"Final Settlement
The US Dollar Index is physically settled on the third Wednesday of the expiration month against six component currencies (euro, Japanese yen, British pound, Canadian dollar, Swedish krona and Swiss franc) in their respective percentage weights in the Index. Settlement rates may be quoted to three decimal places."

Why do you want to collect your information from a charting service, a bucketshop website or a forum, where everybody is allowed to post nonsense?

Please go to the website of the exchange and look under product specifications. That is where the truth is.

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  #15 (permalink)
 
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 GridKing 
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Fat Tails View Post
@ GridKing:

It is all here:

https://www.ice.com/productguide/ProductDetails.shtml?specId=194

"Last Trading Day
Trading ceases at 10:16 Eastern time two days prior to settlement (see next entry).
"

"Final Settlement
The US Dollar Index is physically settled on the third Wednesday of the expiration month against six component currencies (euro, Japanese yen, British pound, Canadian dollar, Swedish krona and Swiss franc) in their respective percentage weights in the Index. Settlement rates may be quoted to three decimal places."

Why do you want to collect your information from a charting service, a bucketshop website or a forum, where everybody is allowed to post nonsense?

Please go to the website of the exchange and look under product specifications. That is where the truth is.

My sources are valid and correct, as I stated I am getting the date directly from my quoteboard provided through Nybot/Ice

upon further research it appears that there is an addition to the settlement process you quoted partially which states and I quote...


Rule 15.05. Last Trading Day
(a) The Last Trading Day in USDX Futures Contracts deliverable in the current contract
month shall be the second (2
nd
) Business Day prior to the third (3
rd
) Wednesday of that month. If
that day is a bank holiday in New York, New York or, if the following Business Day (i.e., the
first (1
st
) Business Day prior to the third (3
rd
) Wednesday) is a bank holiday in one of the
countries whose currency is in the USDX, then the Last Trading Day in USDX Futures Contracts
deliverable in the current delivery month shall be the preceding Business Day


Here are the world Bank Holidays

Holiday Calendar | Bank Holiday Calendar

Japan is a part of the DX and has a Bank holiday the day prior to the original date

soooo , perhaps that is why the final trade date is the 16th IMO

https://www.ice.com/publicdocs/rulebooks/futures_us/15_USDX.pdf


Probably a good idea to double check with Ice as well , and if it was me , I would just roll with eveyone else cause you never know when something obscure can ruin your day especially if you have a big giant head



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  #16 (permalink)
 
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 Fat Tails 
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@ GridKing: You are absolutely right. I found an exchange notice from January 12, explaining the issue. Have attached it below. Glad you beat me on this one!

But this also proves that you reallyneed to look at the exchange for proper information. Barchart had got it wrong. And so did I, but as I said:

"Why do you want to collect your information from a charting service, a bucketshop website or a forum, where everybody is allowed to post nonsense?"

You did not listen to me but searched the website, that is how you got the correct information ......

DX Rollover Day?-exchange-notice.pdf

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  #17 (permalink)
 
GridKing's Avatar
 GridKing 
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  #18 (permalink)
 
GridKing's Avatar
 GridKing 
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I should have gone with my first thought and place a friendly bet


https://www.barchart.com/about/Corporate_Brochure_2011.pdf

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  #19 (permalink)
 
GridKing's Avatar
 GridKing 
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GridKing View Post
I should have gone with my first thought and place a friendly bet


https://www.barchart.com/about/Corporate_Brochure_2011.pdf

In the pursuit of "correctness" , barchart has it correct as well, expiration is the 19th, settlement has been moved due to bank holiday

first notice is correct as well

Futures - Expiration Calender

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  #20 (permalink)
 
Fat Tails's Avatar
 Fat Tails 
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GridKing View Post
In the pursuit of "correctness" , barchart has it correct as well, expiration is the 19th, settlement has been moved due to bank holiday

first notice is correct as well

Futures - Expiration Calender

In my understanding the last trade date (which is the expiry date) is March 16th. The settlement date has not been moved. Please correct me, if I am wrong.

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Last Updated on September 14, 2013


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