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Rougth Rice Roll
Posted: Mon Mar 29, 2010 9:55 am
by marriot
I have tried differents roll settings, with out luck.
RR roll to 2011.
Posted: Mon Mar 29, 2010 10:43 am
by sluggo
Perhaps if you experiment with the rollover settings used by CSI's esteemed competitor, Pinnacle, you might decide that you can tolerate them. Here is part of the rollover list on their website
(ref)
Posted: Mon Mar 29, 2010 11:17 am
by marriot
With this setting RR (flor trading only) roll as we need, but it has an average volume of 69 contracts.
RR2(floor + electronic) goes straigth to march 2011.
Open interest is correct, with 176 contracts for mar 2011 and 10.000 on may 2010, so this rollover is a mystery.
Anyway, with your example i have learn how to use that pinnacle dates.
Thank you
Update : removing "generate forward" solve the problem on RR2
Posted: Mon Mar 29, 2010 2:21 pm
by AFJ Garner
marriot wrote:
Update : removing "generate forward" solve the problem on RR2
And in the fullness of time you will no doubt encounter problems “generating backwardsâ€
Posted: Mon Mar 29, 2010 2:57 pm
by 7432
you could also test out the confirmation signals for low volume contracts. rolling on the 2nd 3rd or 4th consecutive trigger can fix a data error that causes an unwanted roll.
Posted: Mon Mar 29, 2010 3:10 pm
by AFJ Garner
Been down that route. Certainly would not have helped in one or other of the cases I highlighted.