Futures Rollover dates

[dloomis]

Is there a definitve lisitng of the roll over dates for the various futures contracts?

Should there be?

Should there be an efs that provides and alert when the contract on the chart is about to roll?

If I could find the dates, I would make a stab at coding up the alerts. I am thinking the easy way to go is to look at the current symbol, find out todays month, then refer to to a table for the roll over date and compare today to that day. This would require some user intervention to keep the 'tables' updated. I really dont want to figure if today is 9 days before the third Thursday, do I?

cme, cbot, nymex, nybot, cbot, hkf - any others?

[dloomis]

I think I have the dates for the HSI, AB, ES, NQ and YM correct, so I coded up this EFS to alert for roll overs.


Basicall I have two arrays (one for this year, one for next) with expiry dates. I determine the root of the symbol and this tells me if the symbol root is 1, 2 or 3 characters - for this I deduce the symbol grouping for roll over purposes

Then I compare the current date with the date in the arrays for the current month. If they match we have a roll over.

Probably not as elegant as some other ways, but I think it works. At least it did for the dummy dates I put in during testing.

[Guest]

Hi Dave,

Nice idea, I like your first shot at this.

Thanks!