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Rollover Days - some Quick Facts about


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Rollover Days - some Quick Facts about

  #21 (permalink)
 
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 madLyfe 
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Daytrader999 View Post
Hmm, that sounds strange...you may try to change the Merge Policy parameter to 'DoNotMerge', this was also a Rollover problem on CL recently...

well i did change this rollover date to the 17th from the 14th, should i change that back? or is the offset number off?


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  #22 (permalink)
 
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 Daytrader999 
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madLyfe View Post
well i did change this rollover date to the 17th from the 14th, should i change that back? or is the offset number off?

Rollover date was 2012/12/13, last trade date was 2012/12/17...my settings show the same offset number, but date is the 14th.

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  #23 (permalink)
 
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 madLyfe 
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Daytrader999 View Post
Rollover date was 2012/12/13, last trade date was 2012/12/17...my settings show the same offset number, but date is the 14th.

well when i first noticed something wrong i went to barchart.com to look up the date and saw the 17th so i put that in in place of the 14th.. made it a little better but it got me what you saw above. well i just now switched it back to the 14th, reloaded data, and now its gotten worse lol..




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  #24 (permalink)
 
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 monpere 
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madLyfe View Post
well when i first noticed something wrong i went to barchart.com to look up the date and saw the 17th so i put that in in place of the 14th.. made it a little better but it got me what you saw above. well i just now switched it back to the 14th, reloaded data, and now its gotten worse lol..

Speaking of barchart.com, I wrote this indicator to get the contract front month with highest volume from the site, so I can Rollover all my contracts based on volume, instead of taxing NT with multiple contracts in market analyzer, and having to update the list in every month.


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  #25 (permalink)
 
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monpere View Post
Speaking of barchart.com, I wrote this indicator to get the contract front month with highest volume from the site, so I can Rollover based on volume.


@monpere ya ive been using one like that called 'a1RolloverVolume.cs' is the one above an updated version?

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  #26 (permalink)
 
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 monpere 
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madLyfe View Post
@monpere ya ive been using one like that called 'a1RolloverVolume.cs' is the one above an updated version?

I believe so, I made a recent update, it is now called BarchartDotComVolume. I wrote a couple of these, one uses NT Market Analyzer, and one uses Barchart.com. I personally use the one that gets the data on demand from Barchart.com. I just have to push a button once a month around rollovever time.

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 Daytrader999 
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madLyfe View Post
well when i first noticed something wrong i went to barchart.com to look up the date and saw the 17th so i put that in in place of the 14th.. made it a little better but it got me what you saw above. well i just now switched it back to the 14th, reloaded data, and now its gotten worse lol..

Oops...

So, did you try to change the Merge policy to 'DoNotMerge' yet ?
This resolved the issues with CL Rollover recently.

And if that doesn't work too, maybe @Fat Tails can give a helping hand...

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  #28 (permalink)
 
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Daytrader999 View Post
Oops...

So, did you try to change the Merge policy to 'DoNotMerge' yet ?

This resolved the issues with CL Rollover recently...

i have not yet because im not sure if its going to mess up my other charts/instruments as they are functioning properly(as far as i know lol)..

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  #29 (permalink)
 
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 Fat Tails 
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The rollover story is not so easy.

(1) For index futures there are official rollover dates. Everything observes the date so there is no discussion required. The rollover date was Thursday, December 13 and the volume of index futures shifted to the new contract.

(2) For currency futures there are also quarterly roll dates published by the exchange, but they are ignored by everybody. You can find them via the link below:

FX Quarterly Roll Dates

The official roll date was Monday, December 10, and so what? Nobody deemed it necessary to observe that date.

The offset for currency futures does not depend on physical demand and supply or dividend payments, as it does for commodity or index futures. It is just the result of a simple calculation of the impact of expected interest rates over the 3 month period between the expiry of the front month and back month contract. Nothing exciting, and unless there is a surprise change in interest rates which hits close to rollover date, you can calculate your offset from any day you like. For example for 6E you would have got

rollover date Dec 10 -> offset = + 0.13
rollover date Dec 11 -> offset = + 0.13
rollover date Dec 12 -> offset = + 0.12
rollover date Dec 13 -> offset = + 0.11
rollover date Dec 14 -> offset = + 0.11
rollover date Dec 17 -> offset = + 0.11

Volume shifted to the new contract on Friday, 14 December, so that is what I used as roll date.

@Daytrader999: The rollover date December 13 does only apply to index futures, but neither to currency, nor interest rate nor commodity futures.

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  #30 (permalink)
 
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 Daytrader999 
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Fat Tails View Post
@Daytrader999: The rollover date December 13 does only apply to index futures, but neither to currency, nor interest rate nor commodity futures.

Thanks @Fat Tails, I referenced the Rollover date from Mirus calendar: Calendar | Mirus Futures

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Last Updated on December 20, 2012


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