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»Forums Index »Product Support »Data and Content Support »Roll rule change for @3N#
Author Topic: Roll rule change for @3N# (3 messages, Page 1 of 1)

DTN_Stephen
-DTN Guru-
Posts: 314
Joined: Aug 22, 2014


Posted: Nov 12, 2020 03:43 PM          Msg. 1 of 3
After review of the US Treasury Note Future contracts on the CBOT and their expiration dates we have determined to improve consistency throughout the contracts by aligning the roll date of @3N# (3 Year Treasury Note) with the 2,5,10 and 30 year Treasury notes.
NOTE: This will not affect @3NH21 (March 2021)

Current Roll rule for @3N# has it rolling on 12/31/2020 (On Expiration)
Proposed Roll rule for @3N# 11/27/2020 (roll prior month minus one business day)

In a continued effort to provide outstanding service to our customers we welcome any feedback you would like to provide.

Please either reply to the forum post or contact us at support@iqfeed.net

Stephen Shockey
Senior Customer Support Representative and Product Support Specialist

DTN
800-779-7299
support@iqfeed.net

altmany
-Interested User-
Posts: 54
Joined: Jul 30, 2018

IQML - IQFeed-MATLAB connector


Posted: Nov 12, 2020 03:50 PM          Msg. 2 of 3
I think that many users would welcome the ability to have a roll rule based on the trading volume rather than a fixed date. For example, @3N# would continue to be date-based, whereas @3N@ would roll on the first day following a daily volume crossover between the near/next contracts.

Yair Altman
IQML - IQFeed-MATLAB connector
https://UndocumentedMatlab.com/IQML

I am not a DTN employee; my post reflects my personal opinion

DTN_Stephen
-DTN Guru-
Posts: 314
Joined: Aug 22, 2014


Posted: Nov 16, 2020 06:56 AM          Msg. 3 of 3
Thank you so much for your request for enhancement of the IQ Feed data & symbols.

We take all comments from our users seriously and have logged the idea for future consideration. 


Stephen Shockey
Senior Customer Support Representative and Product Support Specialist

DTN
800-779-7299
support@iqfeed.net

Edited by DTN_Stephen on Nov 16, 2020 at 06:56 AM
 

 

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