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"Successful trading is one long journey, not a destination" Peter Borish Former Head of Research for Paul Tudor Jones speaking on conversations with John F. Carter
If you select the preset rollover date, NinjaTrader will load the offset directly from their servers. I you change the preset rollover date, then NinjaTrader will calculate the offset from your daily data. If you do not have daily data, NinjaTrader may calculate the offset from intraday data. But if you do not have daily data, it is essentially your fault.
I do not trust in any preset rollover dates. Usually NinjaTrader has false rollover dates and you should check them every time. Only exception are index futures.
Once you have checked rollover dates, you need to delete the offset (EMTPY FIELD) to make sure that they are correctly repopulated by NinjaTrader.
A visual check for a rollover date will never help. What you can do is
-> determine the rollover date based on your preferences (volume crossover, open interest crossover, a combination thereof, etc.)
-> then write down the settlement price for the old contract month on the day prior to rollover date
-> then write down the settlement price for the new contract month on the day prior to rollover date
Now subtract the settlement price of the old contract from the settlement price of the new contract. This is the offset used to backadjust the old contract starting from rollover date. Simple, isn't it?
"Last Trading Day
Trading ceases at 10:16 Eastern time two days prior to settlement (see next entry)."
"Final SettlementThe US Dollar Index is physically settled on the third Wednesday of the expiration month against six component currencies (euro, Japanese yen, British pound, Canadian dollar, Swedish krona and Swiss franc) in their respective percentage weights in the Index. Settlement rates may be quoted to three decimal places."
Why do you want to collect your information from a charting service, a bucketshop website or a forum, where everybody is allowed to post nonsense?
Please go to the website of the exchange and look under product specifications. That is where the truth is.
My sources are valid and correct, as I stated I am getting the date directly from my quoteboard provided through Nybot/Ice
upon further research it appears that there is an addition to the settlement process you quoted partially which states and I quote...
Rule 15.05. Last Trading Day
(a) The Last Trading Day in USDX Futures Contracts deliverable in the current contract
month shall be the second (2
nd
) Business Day prior to the third (3
rd
) Wednesday of that month. If
that day is a bank holiday in New York, New York or, if the following Business Day (i.e., the
first (1
st
) Business Day prior to the third (3
rd
) Wednesday) is a bank holiday in one of the
countries whose currency is in the USDX, then the Last Trading Day in USDX Futures Contracts
deliverable in the current delivery month shall be the preceding Business Day
Probably a good idea to double check with Ice as well , and if it was me , I would just roll with eveyone else cause you never know when something obscure can ruin your day especially if you have a big giant head
"Successful trading is one long journey, not a destination" Peter Borish Former Head of Research for Paul Tudor Jones speaking on conversations with John F. Carter
@GridKing: You are absolutely right. I found an exchange notice from January 12, explaining the issue. Have attached it below. Glad you beat me on this one!
But this also proves that you reallyneed to look at the exchange for proper information. Barchart had got it wrong. And so did I, but as I said:
"Why do you want to collect your information from a charting service, a bucketshop website or a forum, where everybody is allowed to post nonsense?"
You did not listen to me but searched the website, that is how you got the correct information ......
"Successful trading is one long journey, not a destination" Peter Borish Former Head of Research for Paul Tudor Jones speaking on conversations with John F. Carter
"Successful trading is one long journey, not a destination" Peter Borish Former Head of Research for Paul Tudor Jones speaking on conversations with John F. Carter
"Successful trading is one long journey, not a destination" Peter Borish Former Head of Research for Paul Tudor Jones speaking on conversations with John F. Carter
In my understanding the last trade date (which is the expiry date) is March 16th. The settlement date has not been moved. Please correct me, if I am wrong.