Support Board
Date/Time: Mon, 25 Nov 2024 04:40:04 +0000
Post From: Sierra keeps deleting some of the intraday chart files
| [2014-01-05 22:56:29] |
| Pawel_Szpak - Posts: 48 |
|
I'm using the continuous futures contract option - date rule rollover, back adjusted Hmm, think we're talking around each other a bit here. I can only find the contract spec's on the Eurex website, nothing about rollover. Now, specifically, taken from http://www.eurexchange.com/exchange-en/products/int/fix/14770/ ("trading" section, not "latest") Delivery Day The tenth calendar day of the respective quarterly month, if this day is an exchange day; otherwise, the exchange day immediately succeeding that day. Last Trading Day Two exchange days prior to the Delivery Day of the relevant maturity month. Close of trading in the maturing futures on the Last Trading Day is at 12:30 CET. So for FGBLZ3 (Dec contract) the delivery day was 10 December 2013, and the last trading day was Friday 6 December 2013. The last trading day is however, only a half day session with little volume. Now per IQFeed, they roll over the same contract 1 day before expiration day (taken from: http://www.iqfeed.net/symbolguide/index.cfm?symbolguide=guide&displayaction=support§ion=guide&web=iqfeed&guide=commod&web=IQFeed&symbolguide=guide&displayaction=support§ion=guide&type=eurex ) Symbol there is BDH14 for FGBLH4 So effectively, the last day with data for FGBLZ3 / BDZ13 is Thursday 05 December 2013, and from 06 December 2014 they will show FGBLH4 / BDH14 I'm a bit confused about where December 30 came from? |