CSI Futures roll Aligned with Data or Nex Day

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Tomaso
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CSI Futures roll Aligned with Data or Nex Day

Post by Tomaso » Mon Dec 03, 2012 12:46 pm

Given the delay in getting Open Interest Data and the possible inaccuracy of Volumes until day +2. In which occasion would any of you roll CSI futures with the Aligned with data or Next day settings ?
Is seems the only option is rolling Lagged (2nd Day) ?

rdh2f
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Roll

Post by rdh2f » Mon Dec 03, 2012 3:38 pm

Given OI and Volume data varies and is inconsistent over time, I prefer to select a fixed day of the month that OI and Volume typically flip for each asset you plan to trade (roll TY on the 27th day of the month and ES on the 12th etc...). As long as you're consistent, it should all come out in the wash as they say unless you are attempting to make money on your rolls as part of your strategy.

As for the CSI setting, if you'd roll your contracts in real time on the same day, I believe you should build your contracts accordingly.

Close old, close new, same day etc...

Tomaso
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Post by Tomaso » Tue Dec 04, 2012 11:23 am

Yes I see your point for fixed rolls.
If one wanted to go the OI Vol trigger I was wondering what usee are the settings other that the 2 day lagged one.
Why are they even there if they cannot simulate real trading ? If they are there for a reason I'd be interested to know when do people use them if anybody does.

Tomaso
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Post by Tomaso » Tue Dec 04, 2012 11:32 am

By the way what do you think about the new representative prices option: Close New - Close Old Same Day, Roll Adjusted ?

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