Rollover Day - Thursday 10th June

[Quercus]

It would appear that Skimbleshanks is well and truly "Burrowed Down", as she normally gives everyone a warning about this!
I believe that today is rollover day for June futures to the September contract. ie. from the M contract to the U contract.
The last trading day is the 3rd Friday of the expiration month; rollover day is the Thursday one week and one day before the last trading day.
Please correct me if this is not the case, as I don't want to put anyone wrong!

Also - if anyone can tell me how to continue my Sierra/MyTrack data to have a seemless changeover from M to U then I'll give them a Blue Peter Badge!
This is something which has confounded me for months now!
Cheers
Quercus

 

[JonnyT]

You can fake this. For example with ES

1) Delete the file ES`U if it exists
2) Disconnect Sierra from MyTrack
3) Delete any unwanted records in ES`M
4) Copy the file ES`M and rename it to ES`U.
5) Reconnect MyTrack.

Voila!

As to the changeover day I look at Volume on www.barchart.com

For the Globex products today is the day to start trading the Sept contract, but the Mini Dow is still thin for September.

JonnyT

 

[Quercus]

Cheers JT - I'll give that a go. I just wish I thought it was going to be as easy as you suggest!
Q

 

[Quercus]

Just thought I'd share this confusion with you all!
I have two copies of Sierra running concurrently - one with MyTrack and the other from IB as a data source. Right now the MyTrack source is showing very low volume on the June contract and good volume on the September contract. On the other hand my IB data feed is showing just the opposite! Good volume on the June contract and crappy volume on the September contract!

 

[oatman]

It would appear that Skimbleshanks is well and truly "Burrowed Down"
I'm waiting for the "dark" side animal stories with plenty of wabbits :cheesy:

 

[ChartMan]

Skim will be back soon......She's having a small break.

 

[oatman]

I'm running IB and Sierra. The vols are bigger in ES, YM and Eur/$ for Sep.
I'm leaving Ftse 'til next week.

 

[Sledgehammer]

I use Tenfore, and they have recently introduced a new feed. As well M4, U4 etc. they have Y0 which is identical data to the front contract. All the data is replicated, e.g. bid, ask, VWAP etc., etc.

I've only just adjusted my charts to it, so it will be interesting to see when they change over the FTSE. Will it be at 10.29 next Friday?

 

[oatman]

I used to have Tenfore. Too expensive.
Can't see the reasoning behind that "contract". The whole point is that they are providing data, not advice on which position to follow. How could they ever know when to switch?
Good luck

 

[Sledgehammer]

I understand what you are saying, but it is useful if you want the data to drive third-party software. Till now, I have to change my chart codes every three months.

I actually am using their M4 one minute chart and my VSA 5 minute chart, driven by 0Y data. Their chart shows me VWAP, and my VSA chart shows me the Pivots automatically based on yesterday's OHLC.

Sounds crazy, but it works for me!

----

Edit: On the cost issue, I suppose you are correct. But it's taken me a long time to get where I am and finally settle on a methodology. Their feed is very reliable; I have DDE links to a small Excel sheet which gives me a particular signal; their charts go back to the year dot; and so on ;so I'm reluctant to change.

It's £96 a month, so 10 FTSE points pay for that. But I'll keep on open mind and do occasionally look at other products.