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OK I wrote about this a few months ago. I was having trouble gettting the contract info for WTI Crude which trades on the ICE Exchange.
I just downloaded the new Esignal version 10.0 and I was thinking great, as this was supposed to fix this problem. Here is the problem: instead of rolling on say the 2 or 3rd or 4th friday and ANY specified number of days before those days (fridays) - WTI crude rolls on the 3rd or 4th buiseness day prior to the 25th day of the preceding month (since it trades all 12 months) l am going to attach here, a long article about WTI's rolling
procedures - but just to show you how in the heck I'm supposed to get accurate data, when you have a roll, and the next day crude is up $12, with nothing going on except the roll itself.
I will also attach some charts of what I am seeing. Here is this article I found:
The WTI Crude Oil futures contract included in the Index changes
each month because the contract included in the Index at any given time
is currently required to be the WTI Crude Oil futures contract traded
on the NYMEX with the closest expiration date (the ``front-month
contract''). The front-month contract expires each month on the third
business day prior to the 25th calendar day of the month. The Index
incorporates a methodology for rolling into the contract with the next
closest expiration date (the ``next-month contract'') each month. The
Index gradually reduces the weighting of the front-month contract and
increases the weighting of the next-month contract over a five business
day period commencing on the fifth business day of the month, so that
on the first day of the roll-over the front-month contract represents
80% and the next-month contract represents 20% of the Index, and on the
fifth day of the roll-over period (i.e., the ninth business day of the
month) the next-month contract represents 100% of the Index. Over time,
this monthly roll-over leads to the inclusion of many different
individual WTI Crude Oil futures contracts in the Index. The
commodities industry utilizes single-component indices because the
purpose of a commodities index is generally to reflect the current
market price of the index components by including the front-month
futures contract with respect to each component, necessitating a
continuous monthly roll-over to a new front-month contract. As the
underlying commodity is not static but rather is represented by
constantly changing contracts, a single commodity index actually
contains a changing series of components and is regarded by commodities
industry professionals as a valuable tool in tracking the change in the
value of the underlying commodity over time.\12\
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I just downloaded the new Esignal version 10.0 and I was thinking great, as this was supposed to fix this problem. Here is the problem: instead of rolling on say the 2 or 3rd or 4th friday and ANY specified number of days before those days (fridays) - WTI crude rolls on the 3rd or 4th buiseness day prior to the 25th day of the preceding month (since it trades all 12 months) l am going to attach here, a long article about WTI's rolling
procedures - but just to show you how in the heck I'm supposed to get accurate data, when you have a roll, and the next day crude is up $12, with nothing going on except the roll itself.
I will also attach some charts of what I am seeing. Here is this article I found:
The WTI Crude Oil futures contract included in the Index changes
each month because the contract included in the Index at any given time
is currently required to be the WTI Crude Oil futures contract traded
on the NYMEX with the closest expiration date (the ``front-month
contract''). The front-month contract expires each month on the third
business day prior to the 25th calendar day of the month. The Index
incorporates a methodology for rolling into the contract with the next
closest expiration date (the ``next-month contract'') each month. The
Index gradually reduces the weighting of the front-month contract and
increases the weighting of the next-month contract over a five business
day period commencing on the fifth business day of the month, so that
on the first day of the roll-over the front-month contract represents
80% and the next-month contract represents 20% of the Index, and on the
fifth day of the roll-over period (i.e., the ninth business day of the
month) the next-month contract represents 100% of the Index. Over time,
this monthly roll-over leads to the inclusion of many different
individual WTI Crude Oil futures contracts in the Index. The
commodities industry utilizes single-component indices because the
purpose of a commodities index is generally to reflect the current
market price of the index components by including the front-month
futures contract with respect to each component, necessitating a
continuous monthly roll-over to a new front-month contract. As the
underlying commodity is not static but rather is represented by
constantly changing contracts, a single commodity index actually
contains a changing series of components and is regarded by commodities
industry professionals as a valuable tool in tracking the change in the
value of the underlying commodity over time.\12\
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