Futures bonding - finding seams - page 2

 
vito333:

I suppose you could just exclude the 14th to the 17th of the 3rd, 6th, 9th and 12th months

You wrote it yourself:

 
Aleksey Vyazmikin:

You yourself write:



Exactly - completion of the circulation on the 21st, but in reality all gluing and switching en masse to new contracts takes place on the 14th-15th

 
vito333:

Exactly - completion of the circulation on the 21st, but in reality all gluing and switching en masse to new contracts takes place on the 14th-15th

Yeah, it's a bit perverse...

My understanding is that if 15th falls on a day off, then the gluing goes on the next working day - for example on 16.03.2015.

 

The timetable is as follows

15.03.2013
17.06.2013
16.09.2013
16.12.2013
17.03.2014
16.06.2014
15.09.2014
15.12.2014
16.03.2015
15.06.2015
15.09.2015
15.12.2015
15.03.2016
15.06.2016
15.09.2016
15.12.2016
16.03.2017
15.06.2017
 
Aleksey Vyazmikin:

How to find old futures - they are not in the instruments.
Right button in the market overview. Symbols-Moex-Forts-Expired are at BCS
 
pivomoe:
Right button in the market overview. Symbols-Moex-Forts-Expired is at BCS

And what period are the symbols for? I only have the current period.
 
Aleksey Vyazmikin:

In order to test the EA, we need to get rid of the seams on the futures glues, particularly on Si.

How do I know the dates of the stitches to eliminate them?

The idea is the expiry day - but where is the list of all expiry days? Maybe there is a programmatic way to find this, so you do not need to gather information.



Your approach to testing the Expert Advisor is wrong from the very beginning.

There is no endless futures in real, so you test on specific futures (history)

From the ACTIVE day (19-05 day of expiration of the previous futures), to 18-44 day of expiration of the current futures.

 
prostotrader:

Initially, you are not approaching the testing of the EA correctly.

There is no endless futures in real, so test on specific futures (history)

From the ACTIVE day (19-05 day of expiration of the previous futures), to 18-44 day of expiration of the current futures.

I do not understand you - please, explain better.

I will clarify my position:

1. futures are actively traded from the expiration of the previous futures till the expiration of the next one.

2. The positions on the expiration day are not opened; those that are opened are closed, so there is no position rollover to another future in the glue.

3. I have no old futures - where do you propose to get them?

 
Aleksey Vyazmikin:

I don't understand you - please make it clearer.

Let me clarify my position:

1. the futures are actively traded from the expiry of the previous futures until the expiry of the next futures.

2. The positions on the expiration day are not opened; those that are opened are closed, so there is no position rollover to another future in the glue.

3. I have no old futures - where do you propose to get them?

1. the current futures is traded (actively) from 19-05 on the expiration date of the previous futures, and until 18-45 the day of its expiration

2. You can open a position until 18-45 and the expiration day

3. Old futures from 2013 are in the terminal

added


 
prostotrader:

1. the current futures are traded (actively) from 19-05 on the expiry day of the previous futures until 18-45 on its expiry day

2. You can open a position until 18-45 and on the expiration day

3. Old futures from 2013 are available in the terminal (Expiried folder)

1-2. This is understandable, but one day is not much of a solution - but the use of stacking makes it possible to find a solution over a longer period.

3. hm... do you have Opening? I'm not looking for such a tool.