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CBOT interest rate futures (continuous contract, symbols ZN and ZB) last rollover from March to June contract has taken place at a pretty strange time – that is 12:55 NY time on Monday, 3rd March 2008. (image http://mb1.live.hot.ee/rps/d/362048/4)
I understand that rollovers usually occur overnight, not in the middle of the day and the above contracts should be rolled by the exchange automatically, usually at the last business day of the previous month (KB article 1412).
Also, I am not able to use the user defined settings for ZN. If the rollover date is defined as 2 business days before the expiring month, symbol ZN 1! will upload data only after the rollover date, that is 28th of February. (image http://mb3.live.hot.ee/rps/d/362109/4)
I understand that rollovers usually occur overnight, not in the middle of the day and the above contracts should be rolled by the exchange automatically, usually at the last business day of the previous month (KB article 1412).
Also, I am not able to use the user defined settings for ZN. If the rollover date is defined as 2 business days before the expiring month, symbol ZN 1! will upload data only after the rollover date, that is 28th of February. (image http://mb3.live.hot.ee/rps/d/362109/4)