last weekday rollover

[msua]

I can't seem to set up continuous contract roll-over templates to roll-over on the last weekday of a month... not necessarily being the 4th for the month.

The last trading day for "NIFTY 1!-NSF" is the last Thursday of every month. The default eSignal template has it rolled over on the 4th Thursday of June, when it should be the 5th Thursday.

I'm using version 10.6.

[eSignal_AveryH]

msua,

Within the Roll Templates there is a template for the Last Thursday of the Month called ESIGNALLastThurday (see attached). If you click the arrow on the right side to the roll template list and scroll to the bottom you should see it.



AveryH
eSignal Support.

[msua]

Yes, this is the template I was referring which NIFTY by default is setup with.

Noticed that its set to the 4th Thursday of each month. However you have months like June 2011 that has a 5th Thursday.

If you a look at NIFTY 1!-NSF 's daily chart and notice the volume trend for that particular month, you'll see that the roll-over was a 1 week too early.

[eSignal_AveryH]

Thanks for the post and the explanation. You are correct the NIFTY did roll on the forth Thursday. I Checked with our QA and Product Manager and to be consistant with the roll dates it was decided that the 4th week of the month would also be considered for the Last Week of the month roll template.

AveryH
eSignal Support

[msua]

I don't know but this doesn't sound logical at all - that the program assumes the last and 4th x-day of the month is one and the same.

We'll see a similar volume anomaly in NIFTY coming up this September which has 5 Thursdays again. There are probably other contracts that are affected by this inherent design flaw in some other months.

Perhaps your design team should consider allowing users the option of using either forward counting (e.g. 1st Monday, 2nd Monday) and backward counting (e.g. Last Thursday, 2nd to the Last Thursday of the month).

[ACM]

msua
Just set the roll date to the first Thursday of the next month and enter a negative offset of 6 or 7 calendar days [depending if you want to include the last trading day or not]
Alex

Originally posted by msua
I don't know but this doesn't sound logical at all - that the program assumes the last and 4th x-day of the month is one and the same.

We'll see a similar volume anomaly in NIFTY coming up this September which has 5 Thursdays again. There are probably other contracts that are affected by this inherent design flaw in some other months.

Perhaps your design team should consider allowing users the option of using either forward counting (e.g. 1st Monday, 2nd Monday) and backward counting (e.g. Last Thursday, 2nd to the Last Thursday of the month).