Support Board
Date/Time: Fri, 27 Dec 2024 03:24:59 +0000
Post From: CME equity index futures roll - SC recommends/auto rolls too early?
| [2015-12-10 16:14:52] |
| T44 - Posts: 363 |
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For CME equity index futures products ES YM NQ Charts for the Dec 2015 expiry display "Symbol needs Rollover. Click to Rollover" Charts which have "Automatically Rollover Futures Symbol" checked in Chart Settings | Main Settings window have rolled to Mar 2016. According to the CME the roll continues through December 18. Today, ES Dec has traded 936,000 lots against 383,000 ES March. Would it make sense for Sierra software to only roll when March volume is either greater than or within a few percept of December volume? Can this please be added? Otherwise, can you please advise on the current roll method and where this is documented. It doesn't seem to appear under http://www.sierrachart.com/index.php?page=doc/doc_ChangingFuturesContract.html Thank you. |