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Date/Time: Mon, 25 Nov 2024 06:36:29 +0000

Post From: Very Impressive!: New Continuous Futures Contract Feature

[2013-12-25 22:53:50] Link To Thread - Link To Post [Go To First Post]
eagle - Posts: 92
I believe the following rollover rules match the exchanges and/or convention. ES, NQ, R2000 and YM Number of Calendar Days Before Friday Count Within Contract Month Number Of Calendar Days: 8 Friday Count Within Contract Month: 3 6B, 6E, 6J and US Dollar Index Number Of Business Days Before Wednesday Count Within Contract Month Number Of Business Days: 7 Wednesday Count Within Contract Month: 3 ZB, ZF, ZN and ZT Number Of Business Days Before Contract Month Number Of Business Days: 1