Support Board
Date/Time: Mon, 27 Jan 2025 11:19:34 +0000
Post From: Back adjustment malfunction on rollover
| [2021-03-19 11:35:21] |
| Oceans - Posts: 12 |
|
Hello, today the stock indexes Eurex futures' rollover is due (3rd Friday of the contract month, as correctly stated in the Symbol Settings). So I performed the rollover on the following contracts: - FDAXH21-EUREX[M] ---> FDAXM21-EUREX[M] - FESXH21-EUREX[M] ---> FESXM21-EUREX[M] Everything is fine with FDAX, both using volume based and date based back-adjusted criteria. With FESX there is a problem: - if I choose volume based back-adjusted criteria there is no rollover gap but the rollover is performed on March 18 instead of March 19 - if I choose date based back-adjusted criteria the rollover date is fine (March 19) but there is a rollover gap (no back-adjustement) I guess the problem is related to the one I signaled in my previous post. I look forward to your kind response Thanks |