TF expiration calculation

[dloomis]

Has anyone seen any other code to determine the expiry code for futures?

I made this up and wonder if I have it close to right. I looked up the Thursday before the 3rd Friday for each expiration month, made and array, and then figured out if this month is expiration and then is it before or after expiration.

Comments appreciated, thanks.

// 2009 expiry 1 2 3 4 5 6 7 8 9 10 11 12
var MM = new Array( 3, 3, 3, 6, 6, 6, 9, 9, 9,12,12,12,13)
var DD = new Array(12,12,12,11,11,11,10,10,10,11,11,11,99)
var init = 0.0;
var d = new Date();
debugClear();
var exp = "";

function main() {

if ( init == 0 ) {
exp = ""+d.getFullYear()+MM[d.getMonth()];//basic logic
if ( d.getMonth() == MM[d.getMonth()] && d.getDate() < MM[d.getMonth()] )//before expiry
exp = ""+d.getFullYear()+MM[d.getMonth()];
if ( d.getMonth() == MM[d.getMonth()] && d.getDate() >= MM[d.getMonth()] )//after expiry
exp = ""+d.getFullYear()+MM[d.getMonth()+1];
if ( d.getMonth() == 12 && d.getDate() >= MM[d.getMonth()] )//december rule
exp = ""+(d.getFullYear()+1)+MM[0];
debugPrintln(exp)
init = 1;
}
return;}

[waynecd]

I found this interesting and a way to learn to code with dates.
Here is my attempt. As far as my testing goes it works fine.
The efs assumes that futures roll over on the third Thursday of every quarter as defined by your MM array.

[dloomis]

Here is some really fancy code that doesnt need the DD array that i found in TWSLink sample for eSignal
var d = new Date();
var MM = new Array( 3, 3, 3, 6, 6, 6, 9, 9, 9,12,12,12,13)
var expiry_date = 0 ;

function main{
get_expiry_date(Month-1, d.getFullYear())
debugPrintln(MM[d.getMonth()]+"/" + Third_Friday + "/"+d.getFullYear())
return;}


function get_expiry_date(month,year) {
First_day_of_Month = new Date(year,month,01);
Weekday = First_day_of_Month.getDay();
if (5 - Weekday >= 0)
Third_Friday = 20 - Weekday - 8;// - 8 from the third friday is thursday roll over
else
Third_Friday = 21 - 8;
expiry_date = new Date(year,month,Third_Friday);
return Third_Friday;
}

[waynecd]

Based on your new code Futures Expiration is the Thursday a week before the third Friday of a quarterly expiration month. So I modified my code to reflect that. See attached.

Note: fwiw, the code you posted is a sketch of the idea. Variables and logic are not defined. Neither uses the DD array.

If you tell me how or where you want the output (i.e., to a file, output window, etc.) I'll try to add it to the code.

[dloomis]

waynecd

What i was trying to do was write a standa lone rountine to calculate the rollover date, which is the 2nd Thursday before the Thrid Friday.

I would then use this expiration date to fill in the order i send to the broker.

The only flaw I saw last night was how the routine handles dates after the rollover in December,

if ( d.getDate() > Third_Friday && d.getMonth() == 11 ){// after dec expiry
get_expiry_date(3, d.getFullYear()+1); }//next years March expiry

seems to take of that, will do some testing over the weekend tho.

[waynecd]

Just curious,

Standalone using partial efs code?

Where would the standalone code work?

[dloomis]

waynecd

When I write code I try and get sections working before I add them into the main program.

This way I can better control mistakes.

Once I get the code to generate the rollover date, I add the code in to the main program.

Then it is on to the next section.

[dloomis]

waynecd

x=(Math.floor((d.getMonth()-0.1)/3)+1)*3;

Will generate the month of the next expiration, still needs some help for the last half of an expiry month, but does away with the MM array.

[waynecd]

try this.
it outputs to output window when menu item "debug" is true
for real time instead of entering dates in menu just comment out the line
"d.setFullYear(DateY,(DateM-1),DateD);"

[dloomis]

Thisi s what I ended with, seems to work in the past just fine and I ran it for every day of 2008 and it looks good there too....

if(getBarState()==BARSTATE_NEWBAR){
YY = year(0); MM = month(0); DD = day(0);
Month=(Math.floor((MM-0.1)/3)+1)*3;//0-11 ==> 3, 6, 9 or 12

get_expiry_date(Month, YY);//basic logic to find Rollover Thursday

if ( DD > Third_Friday && MM == Month ) //after expiry in Mar Jun and Sept
Month = Month + 3;//Increment Month to next expiry

if ( Month <= 9 ) MM = "0" + Month; else MM = Month;

if ( DD > Third_Friday && MM == 11 ){// after Dec expiry
MM = "03"; //next March
YY = YY + 1 ; }//next year

exp = YY + "" + MM ;
}

function get_expiry_date( Month, Year ) {
First_day_of_Month = new Date( Year, Month - 1, 01 );
Weekday = First_day_of_Month.getDay();
if ( 5 - Weekday >= 0 )
Third_Friday = 20 - Weekday - 8;
else
Third_Friday = 21 - 8;
return Third_Friday;
}