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CL rollover rule question
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CL rollover rule question

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Elite Member
South Jersey
 
Futures Experience: Advanced
Platform: Sierra
Broker/Data: IB
Favorite Futures: ES, CL
 
Posts: 98 since Apr 2011
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CL rollover rule question

Can the Nymex CL expiry rule be created correctly in SC under the 'global symbol settings' rollover rule section? I am trying to recreate the nymex expiry rule correctly and then have the rollover rule 3days prior to that date...It seems like the last sentence in the below nymex expiry rule is the problem for SC?

Trading in the current delivery month shall cease on the third business day prior to the twenty-fifth calendar day of the month preceding the delivery month. If the twenty-fifth calendar day of the month is a non-business day, trading shall cease on the third business day prior to the last business day preceding the twenty-fifth calendar day.

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