CL rolled to Dec12

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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CyTrend
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CL rolled to Dec12

Post by CyTrend » Tue Feb 14, 2012 2:36 am

It seems like my Oil contract rolled recently from Mar12 to Dec12. I have it rolling with open interest and looking at open interest data from CME it seems this is correct. However i feel there is something weird going on here. Usually my oil contracts roll to the immediate next month. Does anyone have any suggestions?

Chris67
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Post by Chris67 » Tue Feb 14, 2012 3:26 am


Chelonia
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Post by Chelonia » Tue Feb 14, 2012 4:12 am

Check roll setting in CSI. They have added more roll options and it could be you have to check OI & V as the default setting is now OI only. Check all your contracts

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