Support Board
Date/Time: Sat, 11 Jan 2025 05:55:39 +0000
Post From: HSI and HHI.HK contracts do not work with volume based rollover correctly
| [2016-09-09 22:05:21] |
| i960 - Posts: 360 |
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Okay well no rollover rules on your side is a problem in it's own right, but I'm using the exchange defined rules: Number of business days before last business day of contract month: 1 (method11) Regardless of the rollover rule being used, why is time resetting or going backwards in any situation? It's like the rollover engine is being confused by the fact that volume goes back and forth between the contracts. Aside from that if you look at the chart and you see that both August and July have twice the width of any of the other months (and their days reset in the middle) and other months have scenarios where a contract rollover didn't even occur (e.g. May/Jun/July), it's clear there's something going on. This is not a hard to handle contract, it rolls monthly and on a very specific timeline. https://www.hkex.com.hk/eng/prod/drprod/hkifo/fut.htm https://www.hkex.com.hk/eng/prod/drprod/hshares/hhifut.htm https://www.hkex.com.hk/eng/prod/drprod/mhsifo/minif.htm https://www.hkex.com.hk/eng/prod/drprod/mchfut/mchfut.htm Considering SC just started offering real time data on this exchange we probably want to be making sure the contracts rollover correctly. Date Time Of Last Edit: 2016-09-09 22:07:14
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