How is it currently done in JBT? Why not just use traded volume as a proxy? Usually on roll day the volume will be even and the day after it will be greater in the roll contract. That's probably what I would use. (It's what I do now.)
I've been MIA for a while but plan on getting back into JBT stuff in the next couple months. On Thu, Aug 22, 2013 at 7:49 AM, Eugene Kononov <[email protected]>wrote: > Thanks, Michael. Yes, it would be nice to have the functionality to > calculate most liquid contracts for these instruments. My only suggestion > is to make the implementation consistent with the way how the ES and the CL > are implemented in JBT (MostLiquidContract.java and CLNYMEXMostLiquid, > respectively). > > I was also looking at other alternatives, and specifically, some > third-party API (or perhaps web service) which returns the information > (including the most liquid contract) for a given instrument and exchange. > If such a service exists, that would eliminate the need to code all these > complex expiration and rollover rules by hand. > > > On Thu, Aug 22, 2013 at 6:08 AM, Mick O'Donnell > <[email protected]>wrote: > >> 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 >> >> -- >> You received this message because you are subscribed to the Google Groups >> "JBookTrader" group. >> To unsubscribe from this group and stop receiving emails from it, send an >> email to [email protected]. >> To post to this group, send email to [email protected]. >> Visit this group at http://groups.google.com/group/jbooktrader. >> For more options, visit https://groups.google.com/groups/opt_out. >> > > -- > You received this message because you are subscribed to the Google Groups > "JBookTrader" group. > To unsubscribe from this group and stop receiving emails from it, send an > email to [email protected]. > To post to this group, send email to [email protected]. > Visit this group at http://groups.google.com/group/jbooktrader. > For more options, visit https://groups.google.com/groups/opt_out. > -- You received this message because you are subscribed to the Google Groups "JBookTrader" group. To unsubscribe from this group and stop receiving emails from it, send an email to [email protected]. To post to this group, send email to [email protected]. Visit this group at http://groups.google.com/group/jbooktrader. For more options, visit https://groups.google.com/groups/opt_out.
