Continous Contracts for NSE (India ) based Futures

[Jose5048]

I am trying to create continuous continuous contracts for NSE based futures. The problem according to more knowlelgable persons is that :

Continuous contracts do not perfectly work for the NSE symbols, as there is no provision for rollover on the last Thursday of each month (also if Thursday is a trading holiday it needs to be accommodated). These issues are known to their (ESignals) development teams, and I believe they are working to a solution.


I am a bit inexperienced but looking at the specifications for USER Configured Contarcts" it seems flexible enough to accomodate that.

Or phrasing it a bit differently: Can User Configured Contracts work when the dates of the future rollover dates are flexible?

I am initially trying with NIFTY Index Futures ( Symbol: Nifty F0-NSF ). Any suggestions would be appreciated.

Jose

[shortandlong]

In theory, the last Thursday could be accomodated as:

Type of Roll date base: Next Month

Roll Date Base: 1st Thursday

Offset: -7 Calendar Days

This wouldn't account for the last Thursday being a holiday, though.

However, in general, I've had a lot of problems with custom continuous contracts. See Click Here.

BTW, where did you get that quote from?

[Jose5048]

Thank you shortlong.

Let me experiment a bit with NIFTY F0-nsf.

Jose

Originally posted by shortandlong
In theory, the last Thursday could be accomodated as:

Type of Roll date base: Next Month

Roll Date Base: 1st Thursday

Offset: -7 Calendar Days

This wouldn't account for the last Thursday being a holiday, though.

However, in general, I've had a lot of problems with custom continuous contracts. See Click Here.

BTW, where did you get that quote from?