Future's Contract Expiration

[chewie76]

Is there a way to create a label that shows the number of days that a futures contract expires? Like in this example, to display "13 Days" to expiration?

 

[Joshua]

Not directly, not dynamically on an all-cases basis. Certain aspects would have to be hard coded to specific contracts. You can't parse out the market name space, (SYMBOL:XCME), and the day of the month varies from contract to contract.

You can, however, assemble possible symbols in a fold on the fly, checking each against GetSymbol() until it matches. You can get the year and the month this way, then work out the rest based on the contract's more specific rules.

Which contracts do you trade?

 

[chewie76]

Not directly, not dynamically on an all-cases basis. Certain aspects would have to be hard coded to specific contracts. You can't parse out the market name space, (SYMBOL:XCME), and the day of the month varies from contract to contract.

You can, however, assemble possible symbols in a fold on the fly, checking each against GetSymbol() until it matches. You can get the year and the month this way, then work out the rest based on the contract's more specific rules.

Which contracts do you trade?

I trade /MGC and /MNQ.

 

[Joshua]

Ok, I've got most of it worked out. H is March, I'll have it check both contracts, and work in the day of month rules.

 

[Joshua]

MNQ is basically working.

Apparently, The CountTradingDays() function doesn't really work. It still counts market closures and holidays, only ignoring weekends. It seems to simply count Mondays through Fridays within the date range.

Holidays push the expiration a day early when they both coincide. Without CountTradingDays() functioning as assumed, this might take a bit longer than I thought.

Juneteenth is throwing it off, but that's a fixed date and easy to adjust for. Good Friday is also potentially problematic, but that requires some really weird moon-math. I'll update it when I have some free time.

Also note that thinkscript sees the date at the most recent bar. Some of the really forward dated contracts might not have traded today, and that throws off the perceived date. It also can't detect when it's Saturday. Plus, with futures, it is already tomorrow's pre-market after maintenance, so the date rolls to tomorrow's calendar date at 6:00 PM today, differing by contract. Sunday's trading is Monday.

I am also not sure, as of yet, if the counter in the trade tab is accurate either. At least in terms of how it counts holidays, and whether or not the final day is one day remaining, or if it works more like 0-DTE.

I've somehow managed to match my results to the the trade tab for the current front month -- but I know that's wrong, because expiration date for that contract is the wrong date due to Juneteenth.

Unfinished, but this is what I've got so far. Only mostly works with MNQ*** for now.

declare Once_Per_Bar;

def Date =
    GetYYYYMMDD();
def FindExp =
    fold index = 1 to 25
    with data = -1 while data < 0 do
    if GetSymbol() ==
        "/MNQ"
        + (
                if index % 12 == 01 then "F"
           else if index % 12 == 02 then "G"
           else if index % 12 == 03 then "H"
           else if index % 12 == 04 then "J"
           else if index % 12 == 05 then "K"
           else if index % 12 == 06 then "M"
           else if index % 12 == 07 then "N"
           else if index % 12 == 08 then "Q"
           else if index % 12 == 09 then "U"
           else if index % 12 == 10 then "V"
           else if index % 12 == 11 then "X"
           else                          "Z"
        )
        + (
            if index <= 12
            then (GetYear() % 100)
            else (GetYear() % 100 + 1)
        )
        +  ":XCME"           
    then index else -1;
def ExpYear =
    if FindExp > 12
    then (GetYear() % 100) + 1
    else (GetYear() % 100);
def ExpMonth =
    if FindExp > 12
    then FindExp - 12
    else FindExp;
def FoM =
    ((2000 + ExpYear) * 10000)
    + (ExpMonth * 100) + 1;
def WkD; def FRI; def DTE;
    if FindExp > 0 then {
        WkD = GetDayOfWeek(FoM);
        FRI = 5 - WkD + 14 + FoM;
        DTE = DaysTillDate(FRI);
    } else {
        WkD = 0;
        FRI = 0;
        DTE = 0;
    }
Def AggCheck =
    GetaggregationPeriod() <=
    AggregationPeriod.DAY;

AddLabel(FindExp > 0 and AggCheck, " " +
    "MNQ | " + "DTE: " + DTE
    + " | " + asPrice(Fri)
+ " " , Color.LIGHT_GREEN, 0, 2);