> It has one setting that is important, the VOLUME_CROSSOVER_BEFORE_EXP. > This controls when the system will switch to the next months contract. > Currently, for my test, this is set to 8 business days. I think this might > be slightly too early to switch over, I'll need to collect some data before > I'll know for sure. > > Marcus, I did some digging, and came up with this:
"Rollover will be the morning of the 4th business day prior to the 25th calendar day of the month preceding the delivery month. If the 25th calendar day of the month is a non-business day, the rollover will be the morning of the 4th business day prior to the business day preceding the 25th calendar day" As I am planning to add CL to my portfolio, it would be good to know definitively the "volume rollover" rules. This month, according to the rule above, the volume rollover is Monday, January 21, so I'll watch it for confirmation. -- You received this message because you are subscribed to the Google Groups "JBookTrader" group. To view this discussion on the web visit https://groups.google.com/d/msg/jbooktrader/-/wkC5qxaaA_sJ. To post to this group, send email to [email protected]. To unsubscribe from this group, send email to [email protected]. For more options, visit this group at http://groups.google.com/group/jbooktrader?hl=en.
