Equity Index futures rollover

[ACM]

A friendly reminder that as of 8:30am CST on Thursday December 12th all Equity Index futures will rollover to March 2003 as front month (month/year code is H3).
Alex

[OneWay]

Code it..

You could hard program this into the Application to avoid having to reset symbols very simply...this is VB...I would assume ESig is programmed using C++...though the idea is the same...

'function to assign an expiry string if one is missing [optional]
'for index futures that subscribe to the second Thursday rule.

Public Function fxExpiry() As String
   
   Dim StartDate As Date
   Dim StartDateDay As VbDayOfWeek
   Dim RollDate As Date
   
   Dim strYear As String
   Dim strMonth As String
   
   Dim arrMonth(1 To 4)
   arrMonth(1) = "H": arrMonth(2) = "M"
   arrMonth(3) = "U": arrMonth(4) = "Z"
   
  
   Select Case DatePart("q", Date)
      Case 1:      StartDate = "3/1/" & Year(Now)
      Case 2:      StartDate = "6/1/" & Year(Now)
      Case 3:      StartDate = "9/1/" & Year(Now)
      Case 4:      StartDate = "12/1/" & Year(Now)
   End Select
   
   StartDateDay = Weekday(StartDate)
   
   If StartDateDay = vbThursday Then
      RollDate = StartDate + 7
   Else
      Do
         StartDate = StartDate + 1
      Loop Until Weekday(StartDate) = 5
      RollDate = StartDate + 7
   End If
   
   If Date < RollDate Then
      strMonth = arrMonth(DatePart("q", Date))
      strYear = Right$(Year(Date), 1)
   Else
      If DatePart("q", Date) < 4 Then
         strMonth = arrMonth(DatePart("q", Date) + 1)
         strYear = Right$(Year(Date), 1)
      Else
         strMonth = arrMonth(1)
         strYear = Right$(Year(Date) + 1, 1)
      End If
   End If
   
   fxExpiry = strMonth & strYear
   
End Function

[dloomis]

A very useful EFS script that converts eSignal names into Dynaorder functions parameters (doConvert).

http://www.dynaorder.com/esExamples/doConvert.asp

[ACM]

Re: Reply to post 'Equity Index futures rollover'

OneWay
Out of curiosity why would one want to do that? Just because a contract
rolls over does not mean that one would want all the charts switched over to
the front month. A lot of traders are still unwinding positions after
rollover.
That aside how would you reconcile those contracts where there is no fixed
rule (treasuries just to name one)? You then end up with the app behaving
differently with different symbols.
Just my two cents
Alex

[OneWay]

Reply

As is the case with any "optional property" one would simply elect to toggle "on/off" such a feature. Such a property could have multple states: Auto, Auto w/confirm, MsgBox, Off...

For intraday traders trading ES and NQ (who don't hold over), such a feature would (IMHO) be very handy...

As to other vehicles and rules, those too could be simply defined by the "rules of the street"...its not rocket science...

Just a suggestion...

Scott

[Atin]

Out of curiosity why would one want to do that? Just because a contract rolls over does not mean that one would want all the charts switched over to the front month. A lot of traders are still unwinding positions after rollover.

The trader who is unwinding positions after rollover would tend to be using the appropriate contract rather than the continuous contract as, whatever they do, they need to exit their current position and if they are rolling to the next contract, even they need to look at the continuous contract as it pertains to the next contract and so the continuous contract needs to rollover at the correct time for them too.

There are two ways to use continuous contracts, either when one is looking at longer term charts, or when one is doing short term charting soon after rollover when the new contract's price series hasn't been filled in enough to make the charts useful.

For the longer term charts, the point of the continuous contract is to reflect as closely as is reasonable the trading on the underlying contracts as the trader would actually trade them as well as for backtesting. If you look at the ZB #F contract, with volume, you will see that there is a period of two weeks at the time of rollover that the continuous contract becomes useless due to the lack of volume while the underlying next contracts continues to trade vigorously. For the actual trading to be reflected in the continuous contract, the continuous contract should have rolled over to the next contract at the same time that the street rolled to the next contract (usually one day before the First Notice Date). The same applies for the short term trader who just wants to look at a 10 minute chart of the ZB #F on roll date but wants to trade the ZB M3 while the continuous contract is incorrectly following ZB H3 even after the First Notice Date.

The method that eSignal is using for continuous contract rollover is not very well thought out - "... we ignore First Notice Date" is incorrect since the whole point of First Notice Date is to warn traders that they need to be out of positions before then if they do not want to take delivery. Traders can be notified of delivery if they hold a position across the First Notice Date and would need to make appropriate arrangements to get out, sometimes at a higher cost if they really didn't mean to take delivery. That is why most traders exit their positions before that date.

If it is hard to keep track of all the First Notice Dates for all contracts (and some don't have those printed anyway), one way to keep the continuous contract mostly correct is to watch the volume. When the volume flips from the current contract to a following contract, that's the date the continuous contract should flip to the following contract too. This wouldn't be perfect, but would be better than what we have where the treasury continuous contracts are off by a couple of weeks.

[JayF]

Originally posted by Atin
The method that eSignal is using for continuous contract rollover is not very well thought out - "... we ignore First Notice Date" is incorrect since ...

Atin,

I'll bring this to the attention of our QA Team for investigation.

Regards,
Jay F.
eSignal Community Support

[JayF]

Rollover FAQ

For further reference on the subject, please check out this FAQ.

[ACM]

Atin
I believe you have quoted my message out of context.
I was not referring to continuous contracts but was curious about the usefulness of a script that would automatically change the contracts in all the charts in a layout.
In fact my point was that traders who are still unwinding positions would not want charts of their specific contracts changed for the very same reasons you mention.
Continuous contracts were not the focus of the thread when I started it.
Alex

[Atin]

Jay, yes, I have seen the FAQ - it is what I was referencing when I said that it is incorrect about ignoring the First Notice Date for the contracts that list those. That is why the ZB, ZN, US, TN rollovers are incorrect on the continuous charts and the charts look wrong (they do not reflect real trading since most of the trading moves to the next contract near the First Notice Date and so the continuous contract is useless for backtesting or even trading with for the two weeks that it is out of sync). I am following this up on a different communication channel.

Alexis, sorry but when I saw that the title was "Equity Index futures rollover", I figured my comment about rollover techniques was appropriate (and it wasn't actually only directed at you - it was more directed at eSignal folks who monitor these threads and I am in communication with some to follow up on this).

Thanks,

-Atin

[ACM]

The usual friendly reminder that as of 8:30am CST on Thursday March 13th all Equity Index futures will rollover to June 2003 as front month (month/year code is M3).
Alex
Note: eSignal will be rolling the continuous "all sessions" contracts to the new front month on market reopen at 15:45 CST of Wednesday March 12th.

[Billmini]

Out of curiosity for the day trading situtation of e-mini's how does one handle the following situtation . I am looking at all-sessions Tick charts and see that my indicators are not much use this morning because of the limited data from the previous day . I am programming a trading strategy to work on these charts and it would appear I need to do the following for this roll-over day only . Run my strategy on a continous contract chart (to get a full data set in my indicators) and ensure my trades use the June contract specifics when I submit real orders . Is this the case or have I missed something . If it is the case would I be better off staying with #F charts all the time and using a piece of code as described earlier in the thread to automatically change the contract specifics for my orders when roll-overs occur . Is there any pitfalls to a strategy such as this such as the actual contract prices would be slightly out of step at any time during the trading period for the contract vs. the #F contract ? Thanks in advance