The documentation speaks of policy but doesn't seem to describe any.
What is the roll trigger?
- volume (my preference);
- open interest; or,
- volume and open interest?
Does the roll occur on the first trigger or a subsequent one?
Does the roll occur basis intraday or daily data?
If the roll occurs basis intraday data is the same signal used for rolling daily data?
What is the adjustment?
Is the adjustment made:
- close to close;
- open to open; or,
- open to close with gap reintroduced (if so which one)?
I look forward to your response.
Regards
Comment