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robcarver17 / pysystemtrade

Systematic Trading in python
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rollconfig.csv COPPER roll HNUZ vs HMUZ #340

Closed rorymac closed 3 years ago

rorymac commented 3 years ago

In the csv file with the roll config, all other on the quarterly roll are HMUZ corresponding to MAR/JUN/SEP/DEC I notice COPPER is not (HNUZ) I assume a typo?

What are the consequences of changing that?

Also as an aside I picked this up while setting up the COPPER mini contract, any reason you are not introducing that too?

robcarver17 commented 3 years ago

Thanks for spotting that. Fixed. No consequences if fixed quickly enough!

As for mini copper, volume is <100 contracts a day as spotted here: https://www.elitetrader.com/et/threads/fully-automated-futures-trading.289589/page-272#post-5382448

I added this additional volume filter to my new markets post after the comment by 'chris' https://qoppac.blogspot.com/2021/05/adding-new-instruments-or-how-i-learned.html#comment-form

tgibson11 commented 3 years ago

I disagree with this. If you look at the data for copper, the volume is actually in the July contract. IMO, HNUZ was correct. You could possibly throw May in there too, but the June contract seems to be lightly traded.

https://www.cmegroup.com/trading/metals/base/copper_quotes_globex.html

robcarver17 commented 3 years ago

Thanks Todd. You're right, I assumed this was an error I had introduced, but looking at the roll calendar I've always had HNUZ

Now reversed.

rorymac commented 3 years ago

Right, Thanks Todd .

Makes sense.