Support Board
Date/Time: Mon, 10 Mar 2025 22:15:26 +0000
Post From: Continuous futures contract issue with RB
| [2022-04-06 15:39:08] |
| User987654 - Posts: 69 |
|
Hi, I am using "Continuous Futures Contract - Volume Based Rollover, Back Adjusted" for RB futures (CME). I have noticed that it is not prompting me to roll when the next month contract has more volume than the current month. For example, the May contract (RBK22) had daily volume of 29.687k on April 5th and the June contract(RBM22) had volume of 32.658k on the same day but the message to roll is not showing up today. I noticed this happening last month as well. The volume based roll works for other contracts I look at, like CL. The only thing I can think of is that the change in volume between contracts is happening so early in the month for RB relative to its date rollover rule? |