# quantrocket.master.rollover.yml
#
# This file instructs the QuantRocket master service how
# to calculate rollover dates for futures.
#
# each top level key is an exchange code
NYMEX:
# each second-level key is an underlying symbol
CL:
# the rollrule key defines how to derive the rollover date
# from the expiry/LastTradeDate; the arguments will be passed
# to bdateutil.relativedelta. For valid args, see:
# https://dateutil.readthedocs.io/en/stable/relativedelta.html
# https://github.com/quantrocket-llc/python-bdateutil#documentation
rollrule:
# roll 10 business days before expiry
bdays: -10