I might be getting this wrong, so correct me if this is the case:
I'm trying to get a sense of why - when I specify a contract rollover date - that date doesn't take effect at the start of that contract's session start for that day...even when the physical date precedes the actual date. I'll elaborate.
Take HO (heating oil). Yesterday during the 8/17 session (defined as 6PM EST on 8/16 to 5PM EST on 8/17), I set the rollover date to 8/18. To me, this means that rollover should occur on the 8/18 session start. That is, 6PM EST on 8/17. This does not appear to be what the behavior is. It seems as if rollover is set to occur on the actual date change from 8/17 to 8/18 (00:00:01 EST). Sessions are correctly set BTW (NYMEX Metals/Energy ETH default, EST).
Is this the case?
In my professional opinion, rollover dates should correspond to session dates and times, even when those sessions don't exactly correlate with actual dates and times.
Thoughts?
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