Support Board
Date/Time: Mon, 25 Nov 2024 11:45:04 +0000
Post From: Gaps in NQ after rollover despite being backadjusted
| [2024-03-14 11:48:20] |
| binaryduke - Posts: 369 |
|
People's rollover issues on CME equity index futures/continuous contract - date rule are being caused by the default date rule in SC still being 1 calendar day prior to the 3rd Friday of the month rather than 4 calendar days (Monday) prior to the 3rd Friday of the month which the CME brought into effect in December 2022. 15 March 2024 is the 3rd Friday of the month as the month started on a Friday, so, the current rollover date (Monday 11th - when the volume shifted) is occurring before the legacy rollover date (Thursday 14th) hence the gaps that people are experiencing. Changing the rollover date rule in symbol settings for the CME equity index futures contracts to the current CME rule (4 days prior to 3rd Friday) resolves this. |