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CSI Symbol LGO Expiration & Notice/Delivery Question

Posted: Fri Apr 23, 2010 2:36 pm
by jklatt
I've been building a pretty extensive futures dictionary logging delivery/first notice dates and expiration date structures.

A little confused with this one on when first notice might occur and when expiration occurs.

So this one looks like expiration is 2 business days prior to the 14th calendar day of the delivery month.

Delivery can only occur on the 16th calendar day of the month or later so there wouldn't be a first notice date to worry about.

Right? ... specId=909

Posted: Sun Apr 25, 2010 5:43 pm
by sluggo
If you temporarily tell CSI to make a goofball backadjusted continuous contract which rolls over on calendar date = (31st calendar day of 0 months prior to delivery month) then the resulting continuous contract will have an interesting property: rollover day will be expiration day, every time. You can analyze this set of historical dates and fit some kind of a "rule" or function to them, if you wish. Just include the letter code "N" in the "ASCII field layout" (N = month number of contract) and observe when it changes.

I wouldn't suggest _trading_ the goofball contract; it's just a means to an end. Namely: extracting the expiration dates of all historical front month contracts. Once you've got the list of dates, delete the goofball.

Posted: Sun Apr 25, 2010 10:33 pm
by jklatt
Yeah... I had kind of figured that out from the data but I was confused about the delivery method so I decided to include expiration in there as well.

The good news is that the Dictionary is almost complete! About 30 more instruments left to look through then troubleshooting the ones I've flagged.

Thanks again for all of your wonderful help!