Page 1 of 1

CSI roll by days before expiration

Posted: Wed Feb 25, 2009 2:26 pm
by 7432
I couldn't find this so I thought I would post it for future reference and searches.
when using CSI the 'roll by days before expiration' option under edit file in portfolio does not work for real time trading.
csi does not know the actual date of expiration, say 3rd friday of month or 3 business days prior to first calender day of delivery month, until after it occurs.
so while it works for backtesting, in real time your data will not roll until days after the actual contract expired.
this seems to be more of an issue lately with cash settled future contracts where OI and/or volume will be high until the final bell rings. so either keep a calender handy or use the date option.