I was thinking of saying it could be worse as I am stuck at home with a nasty bug, but changed my mind. Sounds awful, bad luck, Rob.
I'm trying to figure out what this exactly means. The EUREX website is awful: can't find what I'm looking for. For the futures instruments that I use (German bonds, EU equity index, DAX index etc.) it seems that besides quarterly contracts also weekly contracts will become available. Running a contract search via the API for IB symbol GBM (BOBL) I see that the quarterly contracts remain but that the so-called "local symbol" format is changing from e.g. "FGBM MAR 23" for the March contract to "FGBM 20230608 M" for the June contract (20230608 is the expiry date). I guess that the M means monthly. I haven't found examples for a weekly expiry yet. I don't know whether those weekly expiries will be listed under the same symbol, or that IB will assign a different symbol to those.
A pretty-painful day today (and yesterday as well), I'm short CHF, CGB and VIX and they're doing the opposite.. I suspect others are probably in the same boat, as the magnitude of the damage is high enough that usually when this happens it's not just me
Down 3.9% today. Losses come almost entirely from STIRs and short-dated bonds (twos and fives), with some extra losses in currencies and stocks/vol. Still up nicely on the year though.
You can just look at the various trend/CTA trackers. 40in20out: -1.71% DBMF: -2.91% CTA: -3.71% KMLM -2.30%
Yeah, I also don't understand what exactly I need to change (if anything?). When I'm placing an order or subscribing to prices I'm providing a contract object in which I populate the following fields (let's take BTP for example ): Symbol = 'BTP' SecType = 'FUT' Exchange = 'EUREX' Currency = 'EUR' LastTradeDateOrContractMonth = '202306' TradingClass - only needs to be populated for some futures, which have several contract types for the same instrument or something like that, not required for BTP. So which of these parameters will change exactly? It doesn't appear that 'Symbol' will change because I can still find the future contracts in TWS by typing 'BTP'., I don't believe we would now have to provide something like 'FBTP 20230907 M' here after the migration.. I can see that 'Local Name' property of newer contracts becomes different, e.g. 'FBTP 20230907 M', but I never populate this parameter in the Contract object anyway. 'Local Class'\TradingClass stays the same, in case of BTP it's 'FBTP' on the new contracts - same as before. https://misc.interactivebrokers.com/cstools/contract_info/v3.10/index.php?action=Conid Info&wlId=IB&conid=602234845&lang=en&ib_entity= Maybe, as it was suggested earlier, we don't need to change anything, even though IB says that we need?
Unless now with the introduction of weekly contracts populating LastTradeDateOrContractMonth with only year and month will not be enough to resolve the particular contracts, because several weekly contracts will be expiring in the same month? Maybe we will now be forced to always populate LocalSymbol ? which would be a huge pain, because my system doesn't currently know the exact exp dates of each contract, only year and month..
I'm not sure it's the same situation, but VIX futures have weekly and monthly expirations that overlap. This is handled by setting the "TradingClass," which you mentioned in the previous post.