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R&W MasterSsuite did that on Supercharts and TS. It rolled over the
25th of the month before expiration, but any algorithym could be coded,
I would think. It took into account different number of days per month,
holidays, etc.
Jim Allen
clydelee wrote:
> Please lets go back a few years and do something that
> SystemWriter did very well so we can stop worrying about
> perpetual contracts and get a little closer to reality.
>
> Let me make up a list of contracts that I want to trade in
> a commodity (or just specify all of them) and then have a set of
> ROLLOVER RULES which define the manner in which we switch from
> one contract to the other and at that point in time generate
> a trade that closes the old and opens in the new contract.
>
> I never did understand why this was dropped.
>
> Clyde Lee
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