Rank: Newbie
Groups: Registered, Registered Users
Joined: 5/1/2006(UTC)
Posts: 3
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Is there a way to define continuous contracts using specific dates (eg N days prior to expiry, ... etc)
Rollover at expiration is simply not viable for actual trading.
Thanks
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Rank: Newbie
Groups: Registered, Registered Users
Joined: 4/29/2006(UTC)
Posts: 3
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Two suggestions to choose when to rollover (1) look at historical data and see when volume starts to dwindle on a particular expiry month and use an average of the data to rollover, i.e. if June t-note volume ususally contracts 10-15 days before the last trading day, use 10-15 days to rollover, or (2) look at the all the nearby contracts and choose the one with the highest open interest as the lead/front month. When I used to work on a trading floor, the dealers use the second method to define the lead month i.e. should rollover to that month. Hope this helps.
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Rank: Newbie
Groups: Registered, Registered Users
Joined: 5/1/2006(UTC)
Posts: 3
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Thanks for your response.
Let me be a little bit clearer.
The downloader software for Reuters Datalink only allows contract linking via rollover at expiration. This is obviously not a viable methodology for long-term testing and actual trading. (My preference is to create contracts using an "N days prior to expiry" method or a specific calendar date as the folks at Pinnacle do.)
The Reuters database looks to be pretty extensive compared to others but this is a pretty big deficiency in the software. Has anyone seen a solution for this using Reuters data??
Thanks in advance.
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