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Futures view: roll on CME's Monday before the third Friday - #20
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The front contract switched on the Thursday 8 days before expiry (Dec 10 for Dec 2026). CME's customary equity index roll is the Monday before the third Friday (Dec 14). New test checks all 16 rows of CME's published table. Co-Authored-By: Claude Opus 5.5 <noreply@anthropic.com>
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What changed
The futures view moved to the next quarterly contract on the Thursday 8 calendar days before the third Friday. For December 2026 that is Dec 10. CME's customary U.S. equity index roll is the Monday before the third Friday, Dec 14 (CME roll dates). From Dec 10 to Dec 13 the panel showed March levels while CME still listed December as the lead month.
FUTURES_ROLL_DAYSgoes from 8 to 4, counted from the third Friday, so a holiday that moves the expiry to Thursday (Juneteenth, June 2026) leaves the roll on Monday.futures.pydocstring describe the new rule.roll_datefrom the API, so the UI needs no change.Tests
test_roll_date_matches_cme_table: all 16 rows of CME's published table, 2025 to 2028, for /ES and /MNQ.No release with this PR.
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