Symbol Specific Rollover Dates

[futurenets]

It can be useful during strategy design/backtest to include rollover dates (or any other dates come to that) for specific symbols when using continuous contracts ...

1) Create a text file SymbolRollOverDates.txt in \FormulaOutput with each line starting with a unique symbol name followed by the sequence year,month,day,hour,minute

e.g. GB 1!-DT,2005,8,31,17,30,2005,11,30,17,30 ... etc

2) Execute the following function once say on each BARSTATE_ALLBARS to load the data corresponding to the current chart symbol:

function readRollOverDates() {

    var fstr = "SymbolRollOverDates.txt";
    var fptr = new File(fstr); 
    var str = "";  
    var sets = 0;
    var setlen = 5;
    
    if(fptr.exists() ){
        fptr.open("rt"); 
        while(!fptr.eof()) {  
            str = fptr.readln();
            var strarray = str.split(",");
            if (strarray[0] == getSymbol()) {
                sets = Math.floor((strarray.length - 1)/setlen);
                break; 
            }
            str = "";
        }
        fptr.close();  
    }  
    
    if (str != "" && sets > 0) {
        RollOverTime = new Array(sets);
        for (i=0; i<RollOverTime.length; ++i) {
            RollOverTime[i] = new Array(setlen);
        }
        var strarray = str.split(",");
        var k = 1;
        for (var i=0; i<sets; ++i) {
            for (j=0; j<setlen; ++j) RollOverTime[i][j] = strarray[k+j];
            k += setlen;
        }
    }
    else {
        RollOverTime = new Array(1);
        RollOverTime[0] = new Array(setlen);
    }

    return;
} 

3) Execute the following function say on each BARSTATE_NEWBAR and if true, close all open positions. Note that this only works with Daily & Intraday charts and hour & minute are only tested with Intraday charts:

function isRollOver() {
    for (i=0; i<RollOverTime.length; ++i) {
        if (getYear() == RollOverTime[i][0] && getMonth() == RollOverTime[i][1] && getDay() == RollOverTime[i][2]) {
            if (isDaily()) return true;
            else if (isIntraday() && getHour() >= RollOverTime[i][3] && getMinute() >= RollOverTime[i][4]) return true;
        }
    }
    return false;
} 

[futurenets]

slightly more sophisticated version of isRollOver() to avoid problems with varying time intervals.

function isRollOver() {
    var vYear = getYear();
    var vMonth = getMonth();
    var vDay = getDay();
    if (isDaily()) {
        for (i=0; i<vRollOverTime.length; ++i) {
            if (vYear == vRollOverTime[i][0] && vMonth == vRollOverTime[i][1] && vDay == vRollOverTime[i][2]) return true;
        }
    }
    else if (isIntraday()) {
        var vHour = getHour();
        var vMinute = getMinute();
        for (i=0; i<vRollOverTime.length; ++i) {
            var rolloverdate = new Date(vRollOverTime[i][0],vRollOverTime[i][1]-1,vRollOverTime[i][2],vRollOverTime[i][3],vRollOverTime[i][4]);
            var rolloverms = rolloverdate.valueOf();
            var bardate = new Date(vYear,vMonth-1,vDay,vHour,vMinute);
            var barstartms = bardate.valueOf();
            var barfinishms = barstartms + (getInterval()*60000);
            if (rolloverms >= barstartms && rolloverms < barfinishms) return true;
        }
    }
    return false;
} 

[futurenets]

... and a more generalized version requiring SymbolDates.txt file in \FormulaOutput folder with each line starting with a unique symbol name followed by the sequence datetype,year,month,day,hour,minute

e.g. GB 1!-DT,1,2005,8,31,17,30,1,2005,11,30,17,30 ... etc

here datetype = 1 is assumed to be a rollover date type. create your own defintions of datetype = 2,3,4, etc.

Execute the following function once say on each BARSTATE_ALLBARS to load the data corresponding to the current chart symbol

var vSymbolDates;

function readSymbolDates() {

    var fstr = "SymbolDates.txt";
    var fptr = new File(fstr); 
    var str = "";  
    var sets = 0;
    var setlen = 6;
    
    if(fptr.exists() ){
        fptr.open("rt"); 
        while(!fptr.eof()) {  
            str = fptr.readln();
            var strarray = str.split(",");
            if (strarray[0] == getSymbol()) {
                sets = Math.floor((strarray.length - 1)/setlen);
                break; 
            }
            str = "";
        }
        fptr.close();  
    }  
    
    if (str != "" && sets > 0) {    
        vSymbolDates = new Array(sets);
        for (i=0; i<vSymbolDates.length; ++i) {
            vSymbolDates[i] = new Array(setlen);
        }
        var strarray = str.split(",");
        var k = 1;
        for (var i=0; i<sets; ++i) {
            for (j=0; j<setlen; ++j) vSymbolDates[i][j] = strarray[k+j];
            k += setlen;
        }
    }
    else {
        vSymbolDates = new Array(1);
        vSymbolDates[0] = new Array(setlen);
    }

    return;
} 

Execute the following function say on each BARSTATE_NEWBAR e.g. isSymbolDate(1)) and if true, close all open positions since this is a rollover date type.

function isSymbolDate(datetype) {
    //datetype = 1 is a rollover date
    var vYear = getYear();
    var vMonth = getMonth();
    var vDay = getDay();
    if (isDaily()) {
        for (i=0; i<vSymbolDates.length; ++i) {
            if (vSymbolDates[i][0] == datetype) {
                if (vYear == vSymbolDates[i][1] && vMonth == vSymbolDates[i][2] && vDay == vSymbolDates[i][3]) return true;
            }
        }
    }
    else if (isIntraday()) {
        var vHour = getHour();
        var vMinute = getMinute();
        for (i=0; i<vSymbolDates.length; ++i) {
            if (vSymbolDates[i][0] == datetype) {
                var vSymdate = new Date(vSymbolDates[i][1],vSymbolDates[i][2]-1,vSymbolDates[i][3],vSymbolDates[i][4],vSymbolDates[i][5]);
                var vSymdatems = vSymdate.valueOf();
                var vBardate = new Date(vYear,vMonth-1,vDay,vHour,vMinute);
                var vBarstartms = vBardate.valueOf();
                var vBarfinishms = vBarstartms + (getInterval()*60000);
                if (vSymdatems >= vBarstartms && vSymdatems < vBarfinishms) return true;
            }
        }
    }
    return false;
}