HI everyone, I have been trying to put together afl code for computing rollover on index and stock futures using near, next and far month data. I plan to use it to scan for rollovers above or below 3 month averages, highest/lowest rollovers. If anyone has done this, could you share the same? Many thanks
There is no standard formula for rollover. Because the symbols keep changing every expiry.
Example logic of code:
- If current date is date of expiry
- If there is Long position in current month future
- Using buy-sell conditions and Foreign(), create Sell in current month future, and create Buy in next month future.
There is a generic logic to the symbols in my data feed- for example - Nifty-I, Nifty-II, Nifty-III for the 1st, 2nd and 3rd month futures. Similarly for other symbols. While I could write code for Nifty, I couldnt figure out how to make it generic so that it could be applied to ANY symbol. Grateful if you could suggest, thanks.