UA Roll Trigger Bug
Posted: Wed Jul 13, 2011 7:00 pm
This is a general roll trigger bug.
BL2 Milling Wheat is just an easy to follow example, but you can look for your own.
Nature of bug:
Contract Expiry override does not work consistently.
Wheat settings:
Roll Tigger=Open Int
Confirmation=Roll on 1st Trigger
Roll by Days Before Expiry=10
Contract Expiry=15th day of Month One Month Prior
This would mean that a 2004-MAY contract would have to roll on or before 2004-APRIL-5.
Contract failed to roll April 5th, actually rolled on April 19th. This is a bit of a hick up since the Exchange rule states that trading be halted on afternoon of the 15th.
Had you a lot of contracts, could cost a pretty penny.
See data...
20040415 57.75000000 57.75000000 56.25000000 56.50000000 543 5781 200405
20040416 55.75000000 55.75000000 55.50000000 55.50000000 596 3707 200405
20040419 55.75000000 55.75000000 55.25000000 55.25000000 95 3739 200411
20040420 55.25000000 56.25000000 55.25000000 56.25000000 28 3286 200411
The bug is quite general.
Lot of contracts show same bug, that is roll occurs AFTER contract goes off the board even when "Roll by Days before Expiry" is set correctly.
Bogus data = bogus back test result...
BL2 Milling Wheat is just an easy to follow example, but you can look for your own.
Nature of bug:
Contract Expiry override does not work consistently.
Wheat settings:
Roll Tigger=Open Int
Confirmation=Roll on 1st Trigger
Roll by Days Before Expiry=10
Contract Expiry=15th day of Month One Month Prior
This would mean that a 2004-MAY contract would have to roll on or before 2004-APRIL-5.
Contract failed to roll April 5th, actually rolled on April 19th. This is a bit of a hick up since the Exchange rule states that trading be halted on afternoon of the 15th.
Had you a lot of contracts, could cost a pretty penny.
See data...
20040415 57.75000000 57.75000000 56.25000000 56.50000000 543 5781 200405
20040416 55.75000000 55.75000000 55.50000000 55.50000000 596 3707 200405
20040419 55.75000000 55.75000000 55.25000000 55.25000000 95 3739 200411
20040420 55.25000000 56.25000000 55.25000000 56.25000000 28 3286 200411
The bug is quite general.
Lot of contracts show same bug, that is roll occurs AFTER contract goes off the board even when "Roll by Days before Expiry" is set correctly.
Bogus data = bogus back test result...