Historic Rollover Rates

Discussions about the testing and simulation of mechanical trading systems using historical data and other methods. Trading Blox Customers should post Trading Blox specific questions in the Customer Support forum.
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Chris67
Roundtable Knight
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Historic Rollover Rates

Post by Chris67 » Mon Feb 13, 2012 12:36 pm

Is it possible to see the rates at which teh system "actually " rolled contracts i.e. teh Buy (sell) of teh previous month fill and teh sell (buy) rate of teh new month ? just so I can compare what Im doing to teh system ? Is it a print statement of some sort as these rates are not shown in any trade logs ?

Thanks for any help
C

Jake Carriker
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Post by Jake Carriker » Mon Feb 13, 2012 1:31 pm

You are correct that rollovers are not recorded in the trade log or accounted for as separate trades. Rather, when the value in the contract month field of your data file changes, Blox debits a roll expense if the instrument currently has a long or short position.

You can check in scripting for a rollover day and print out anything you like, such as a custom message detailing each leg of the roll trade. It may not be trivial to report the simultaneous price of the old month and the new month given a continuous contract input. You might need to set up two different continuous series that roll on different dates to have access to the prices of both deliveries.

Chris67
Roundtable Knight
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Joined: Tue Dec 16, 2003 2:12 pm
Location: London

Post by Chris67 » Mon Feb 13, 2012 1:57 pm

Jake - thanks VM for your comments / Help
C

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