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well when i first noticed something wrong i went to barchart.com to look up the date and saw the 17th so i put that in in place of the 14th.. made it a little better but it got me what you saw above. well i just now switched it back to the 14th, reloaded data, and now its gotten worse lol..
dont believe anything you hear and only half of what you see
Speaking of barchart.com, I wrote this indicator to get the contract front month with highest volume from the site, so I can Rollover all my contracts based on volume, instead of taxing NT with multiple contracts in market analyzer, and having to update the list in every month.
I believe so, I made a recent update, it is now called BarchartDotComVolume. I wrote a couple of these, one uses NT Market Analyzer, and one uses Barchart.com. I personally use the one that gets the data on demand from Barchart.com. I just have to push a button once a month around rollovever time.
(1) For index futures there are official rollover dates. Everything observes the date so there is no discussion required. The rollover date was Thursday, December 13 and the volume of index futures shifted to the new contract.
(2) For currency futures there are also quarterly roll dates published by the exchange, but they are ignored by everybody. You can find them via the link below:
The official roll date was Monday, December 10, and so what? Nobody deemed it necessary to observe that date.
The offset for currency futures does not depend on physical demand and supply or dividend payments, as it does for commodity or index futures. It is just the result of a simple calculation of the impact of expected interest rates over the 3 month period between the expiry of the front month and back month contract. Nothing exciting, and unless there is a surprise change in interest rates which hits close to rollover date, you can calculate your offset from any day you like. For example for 6E you would have got
rollover date Dec 10 -> offset = + 0.13
rollover date Dec 11 -> offset = + 0.13
rollover date Dec 12 -> offset = + 0.12
rollover date Dec 13 -> offset = + 0.11
rollover date Dec 14 -> offset = + 0.11
rollover date Dec 17 -> offset = + 0.11
Volume shifted to the new contract on Friday, 14 December, so that is what I used as roll date.
@Daytrader999: The rollover date December 13 does only apply to index futures, but neither to currency, nor interest rate nor commodity futures.