Hello Patrick,
unfortunately I do not have a good source for the rollover dates in advance. As described below from my point of view the following situation is valid:
There are more or less common market practices when to roll over which contract. They are more common for financial futures but less common for commodity futures. The exchange only sets the last trading days, first notice days, expiration days and so on. Dependent on the needs of each trader he chooses a different rollover strategy. The most common strategy of course is simply volume based. Whereby in some cases also the day when the volume shifts changes from time to time in a specific market based on market practices (for reasons I do not know).
Last but not least every trader chooses its own rollover strategy and in result it can be useful e.g. to roll over always on a Monday if the position is closed over the weekend anyway. Many scenarios are possible.
Therefore I asked already (SFT-2048) for some kind of a "rollover wizard" which allows each trader to define its own rollover strategy. Also it would make the maintenance of the rollover data in the instruments by NT obsolete.
Regarding the charts I mentioned yesterday the following rollover dates for
NYD and NYK should be wrong:
12-16
09-17
12-17
03-18
06-18
09-18
12-18
They all are set around the 15th of the month whereby the contracts end trading on Thursday prior to the second Friday of the contract month:
I do not know the "exact" roll dates as described above but the other dates are set around the 10th of the month which made the chart looking much better.
For 6L the contract cycle is not correct since it is a Globex currency future which rolls every month and the instrument shows only dates for the regular quarterly cycle (which is correct for the most other Globex currency futures).
Many thanks again,
Joerg
unfortunately I do not have a good source for the rollover dates in advance. As described below from my point of view the following situation is valid:
There are more or less common market practices when to roll over which contract. They are more common for financial futures but less common for commodity futures. The exchange only sets the last trading days, first notice days, expiration days and so on. Dependent on the needs of each trader he chooses a different rollover strategy. The most common strategy of course is simply volume based. Whereby in some cases also the day when the volume shifts changes from time to time in a specific market based on market practices (for reasons I do not know).
Last but not least every trader chooses its own rollover strategy and in result it can be useful e.g. to roll over always on a Monday if the position is closed over the weekend anyway. Many scenarios are possible.
Therefore I asked already (SFT-2048) for some kind of a "rollover wizard" which allows each trader to define its own rollover strategy. Also it would make the maintenance of the rollover data in the instruments by NT obsolete.
Regarding the charts I mentioned yesterday the following rollover dates for
NYD and NYK should be wrong:
12-16
09-17
12-17
03-18
06-18
09-18
12-18
They all are set around the 15th of the month whereby the contracts end trading on Thursday prior to the second Friday of the contract month:
I do not know the "exact" roll dates as described above but the other dates are set around the 10th of the month which made the chart looking much better.
For 6L the contract cycle is not correct since it is a Globex currency future which rolls every month and the instrument shows only dates for the regular quarterly cycle (which is correct for the most other Globex currency futures).
Many thanks again,
Joerg
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