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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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?