continuous contracts using 1! and #F

[shaner]

As an example for my question, I have entered Tools...Continuous Contracts Settings, changed the Contracts field to S (for Soybeans), changed Roll templates to *Esignal Default, unchecked the Back Adjustment field, and checked Months to include F,H,K,N,Q,U,X. I then added a Weekly chart for S #F and another chart for S 1!. My expectation was that the 2 charts would be identical, but they are not. I am setting up a system where I need the 2 charts to be identical (although I will then check back adjustment for S 1!) and the only thing I can think of is that using a roll template of *Esignal Default (which defaults to ESIGNAL10thBusDay when I bring this window back up) is not the same template as used by S #F. Can you help me with this? Is there a place to go to see what templates are used for #F? Is there some other reason why there is this difference? Thanks.

[ACM]

Re: continuous contracts using 1! and #F

shaner
You can find an exaplanation of how eSignal rolls the #F contracts in this article in the eSignal KnowledgeBase
Alex

Originally posted by shaner
As an example for my question, I have entered Tools...Continuous Contracts Settings, changed the Contracts field to S (for Soybeans), changed Roll templates to *Esignal Default, unchecked the Back Adjustment field, and checked Months to include F,H,K,N,Q,U,X. I then added a Weekly chart for S #F and another chart for S 1!. My expectation was that the 2 charts would be identical, but they are not. I am setting up a system where I need the 2 charts to be identical (although I will then check back adjustment for S 1!) and the only thing I can think of is that using a roll template of *Esignal Default (which defaults to ESIGNAL10thBusDay when I bring this window back up) is not the same template as used by S #F. Can you help me with this? Is there a place to go to see what templates are used for #F? Is there some other reason why there is this difference? Thanks.

[shaner]

The file you referred me to suggests that the grains should rollover 2 weeks before expiration. However, when I look at the rollprefs.tab file, the grains (C,W,S,KW) are all set to rollid="ESIGNAL1BusPrior15th".
This does not seem to be consistent. I can see that 2 weeks prior to expiration would be a good time to roll, however 1 business day prior to the 15th would make the rollovers happen only a day or 2 before expiration (and occasionally even after expiration). Are the defaults in rollprefs.tab correct??

[ACM]

shaner
To my knowledge the defaults for the 1! user configured continuous contracts are set based on the expirations of the contracts and are not necessarily set to replicate the rollover methods used for the server based #F continuous contracts.
Anyhow the whole point of the 1! continuous contracts is that they are "user configurable" and can be modified to your preferences and requirements
Alex

Originally posted by shaner
The file you referred me to suggests that the grains should rollover 2 weeks before expiration. However, when I look at the rollprefs.tab file, the grains (C,W,S,KW) are all set to rollid="ESIGNAL1BusPrior15th".
This does not seem to be consistent. I can see that 2 weeks prior to expiration would be a good time to roll, however 1 business day prior to the 15th would make the rollovers happen only a day or 2 before expiration (and occasionally even after expiration). Are the defaults in rollprefs.tab correct??