Keyword Description
When this value changes, Mechanica levies rollover charges for commission and slippage
Class
Directive
Where Legal
Resources |
Entry Logic |
Exit Logic |
Initial Size |
Resize (Pre-Category) |
Resize (Category-Level) |
l |
|
|
|
|
|
Syntax
ROLLFLAG
Example
Sample code
COL1 = EXTRA[1]
ROLLFLAG = COL1[1] ' look at yesterday's value to avoid postdictive error
|
Many data vendors allow for their futures price files to have a column containing the contract delivery year and month. Mechanica expects to find this information in a field somewhere beyond 'Other Data Fields' as specified in Page Properties of symbol manager. You would reference the first such column as EXTRA[1], the second EXTRA[2], etc. If while processing day-by-day down the data file Mechanica sees that a value of ROLLFLAG has changed, for instance when the delivery date 199703 changes to 199706, the rollover is noted and charges for commission and slippage are levied. This is also how Mechanica knows to create rollover orders for actual trading (OM operations). |
See also: