Hi Everyone,
I'm working with another developer on new schedules for GE, GC, NG, ZC, ZW
& ZS. I don't think the current version of JBT includes these, please
correct us if we're wrong. I've included our spec for the trading schedules
below and I'll be happy to share the code when we're finished. If there's
anything you think we've missed, or any other facet of the program that
needs to be adapted to data mine and trade these contracts correctly, would
you mind letting us know please? Here are the specs according to
http://www.cmegroup.com/trading/products/:
- GE (Eurodollar Futures):
- Last Trading day:
- The second London bank business day prior to the third Wednesday
of the contract expiry month. Trading in the expiring contract closes
at
11:00 a.m. London Time on the last trading day.
- Contract Months:
- March, June, September & December
- Most liquid contract:
- given a date the most liquid contract corresponds to the month
of the next 3rd Wednesday of a contract month at 11:00 a.m. London Time
- examples:
- Wed 21st August 2013 at 09:35 a.m. -> September 2013
- Wed 18th September 2013 at 09:35 a.m. -> September 2013
- Wed 18th September 2013 at 11:35 a.m. -> December 2013
- GC (Gold Futures):
- Termination of Trading
- Trading terminates on the third last business day of the
delivery month.
- Contract Months:
- All months
- Most liquid contract:
- for a given date the most liquid contract corresponds to that
date's month if the date is before the end of the third to last
business
day of the month, the next month otherwise
- examples:
- Wed 21st August 2013 at 09:35 a.m. -> August 2013
- Wed 28th August 2013 at 09:35 a.m. -> August 2013
- Wed 28th August 2013 at 05:35 p.m. -> September 2013
- NG (Natural Gas Futures):
- Termination of Trading
- Trading of any delivery month shall cease three (3) business
days prior to the first day of the delivery month. In the event that
the
official Exchange holiday schedule changes subsequent to the listing
of a
Natural Gas futures, the originally listed expiration date shall
remain in
effect. In the event that the originally listed expiration day is
declared
a holiday, expiration will move to the business day immediately prior.
- Contract Months:
- All months
- Most liquid contract:
- for a given date the most liquid contract corresponds to the
month following that date's month if the date is before the third to
last
business day of the month, the next month otherwise
- examples:
- Wed 21st August 2013 at 09:35 a.m. -> September 2013
- Wed 27th August 2013 at 09:35 a.m. -> September 2013
- Wed 27th August 2013 at 05:35 p.m. -> October 2013
- ZC & ZW (Corn & Wheat Futures):
- Last Trade Date
- The business day prior to the 15th calendar day of the contract
month.
- Contract months:
- March, May, July, September & December
- Most liquid contract:
- given a date the most liquid contract corresponds to the month
of the next business day prior the 15th calendar day of a contract
month
- examples:
- Wed 21st August 2013 at 09:35 a.m. -> September 2013
- Fri 13th September 2013 at 09:35 a.m. -> September 2013
- Fri 13th September 2013 at 01:35 p.m. -> October 2013
- ZS (Soybean Futures):
- Last Trade Date:
- The business day prior to the 15th calendar day of the contract
month.
- Contract months:
- January, March, May, July, August, September & November
- Most liquid contract:
- given a date the most liquid contract corresponds to the month
of the next business day prior the 15th calendar day of a contract
month
- examples:
- Wed 21st August 2013 at 09:35 a.m. -> September 2013
- Fri 13th September 2013 at 09:35 a.m. -> September 2013
- Fri 13th September 2013 at 01:35 p.m. -> October 2013
Best regards,
Michael
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