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09-14 Rollover date offset value
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09-14 Rollover date offset value

  #11 (permalink)
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Great explanation Fatails.

I am fairly new to this, can anyone tell me how is the offset value calculated from the settlement price?

And how to know all the historic settlement prices for last few years. Because i think i will have to rectify the rollovers for all the contracts one by one.

Am using CQG data.

Regards,
TM

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  #12 (permalink)
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trademaniac View Post
Great explanation Fatails.

I am fairly new to this, can anyone tell me how is the offset value calculated from the settlement price?

And how to know all the historic settlement prices for last few years. Because i think i will have to rectify the rollovers for all the contracts one by one.

Am using CQG data.

Regards,
TM


To calculate the offset you first need to select a rollover day. For index futures there is an "official" rollover day, but for many commodity futures the choice of the rollover day is not obvious. Anyhow, you should roll latest when volume has shifted to the new contract.

Now let us assume that the rollover day is known. For example, the rollover day from the old contract ES 06-14 to the new contract ES 09-14 was on Thursday, June 12 2014. In that case you take the settlement prices for both the old and the new front month contracts for the day prior to rollover day and calculate the differential. In our example you would therefore take the settlement price from Wednesday, June 11 2014.

Offset = settlement price new front month - settlement price old front month (both taken from the day prior to rollover day)

The calculation becomes obvious, when you understand what it is used for. The offset is NOT applied to the new contract data (all data after rollover), but it is applied to ALL old contracts in order to eliminate the rollover gap. When the settlement price for the new contract is higher than the settlement price for the old contract, then you need to add a positive offset to all old data points to shift them higher and make disappear the gap. When the settlement price for the new contract is lower than the settlement price for the old contract, then you need to add a negative offset to all old data points to shift them downward in order to make disappear the gap.

This explains the formula above.

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  #13 (permalink)
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Fat Tails View Post
To calculate the offset you first need to select a rollover day. For index futures there is an "official" rollover day, but for many commodity futures the choice of the rollover day is not obvious. Anyhow, you should roll latest when volume has shifted to the new contract.

Now let us assume that the rollover day is known. For example, the rollover day from the old contract ES 06-14 to the new contract ES 09-14 was on Thursday, June 12 2014. In that case you take the settlement prices for both the old and the new front month contracts for the day prior to rollover day and calculate the differential. In our example you would therefore take the settlement price from Wednesday, June 11 2014.

Offset = settlement price new front month - settlement price old front month (both taken from the day prior to rollover day)

The calculation becomes obvious, when you understand what it is used for. The offset is NOT applied to the new contract data (all data after rollover), but it is applied to ALL old contracts in order to eliminate the rollover gap. When the settlement price for the new contract is higher than the settlement price for the old contract, then you need to add a positive offset to all old data points to shift them higher and make disappear the gap. When the settlement price for the new contract is lower than the settlement price for the old contract, then you need to add a negative offset to all old data points to shift them downward in order to make disappear the gap.

This explains the formula above.

Thanks a lot fat tails, very vivid explanation.

I am currently using barchart excel files to calculate when the volume rolled over for all the previous contracts.

From where do i get all the historical settlement values for ES & CL for the last 6 to 7 contracts? A link would be much appreciated.

CME has a DataMine service which is subscription based.

Also how do you calculate the volume roll over date for the previous contracts? I use barchart.com historical data excel files, & manually compare it with the previous contract month volume using the '>' function. Its a bit time consuming. Am i doing it right?

I am not able to plot the Continuous contract ##-## with CQG demo. Its the data feed issue?


Thanks for your help,
TM

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  #14 (permalink)
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trademaniac View Post
Thanks a lot fat tails, very vivid explanation.

I am currently using barchart excel files to calculate when the volume rolled over for all the previous contracts.

From where do i get all the historical settlement values for ES & CL for the last 6 to 7 contracts? A link would be much appreciated.

CME has a DataMine service which is subscription based.

Also how do you calculate the volume roll over date for the previous contracts? I use barchart.com historical data excel files, & manually compare it with the previous contract month volume using the '>' function. Its a bit time consuming. Am i doing it right?

I am not able to plot the Continuous contract ##-## with CQG demo. Its the data feed issue?


Thanks for your help,
TM


The free Kinetick data feed comes with settlement prices for all futures contracts (bar close on daily charts). All you need to do is to connect NinjaTrader to Kinetick and then open a daily chart, maybe reload the daily chart to replace old data in your historical data base if applicable.

It is necessary to select Tools -> Options -> Data -> Merge Policy = DoNotMerge, before you open the chart. This way NinjaTrader will not display merged or adjusted data, but display settlement prices and volume of a single contract.

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