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trendmanagement / tmqrexo_alexveden

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Currency rolling. 6E only loaded so far #160

Open spickering-git opened 7 years ago

spickering-git commented 7 years ago

The CME currencies have been modified. There are quarterly expiring futures and monthly expiring futures. The options are on the quarterly expiring options The quarterly expiring options have an optioncode of ' ' The monthly expiring options have an optioncode of 'EUU' The weeklys, which we won't be using at this point have an option code of '1EU,2EU,3EU,4EU,5EU'

So on the serial months we will be in 'EUU' options and at the quarter we will be in ' '.

I also think there is a problem because of this " " and "" space and no space garbage in the optioncode which I will try and address tomorrow.

alexveden commented 7 years ago

I believe that issue should be fixed in current framework release. @spickering-git could you check that?