Reply To: Daylight Savings for Gas Futures rollover into Physical

Tom Graham

It is true that the Phys template needs to be set up with hourly notional volume in order to get the +-1 hour delivery volume on DLS change days.

The problem is that the gas Future does not have a corresponding hourly notional volume – you simply have to enter the total contract volume accounting for the actual number of hours in the delivery period of the contract.

The solution is to have the rollover script calculate the hourly volume to set on the phys trade, from the total volume on the Future and the total number of delivery hours for the Future. The latter can be obtained from JVS functions – I think computeTotalSecondsInGMTDateRange is one, but there may be better.

Download PDF version

This field is for validation purposes and should be left unchanged.