I created this script to be able to visualize the entire curve of the EuroDollar futures contract. If you are not interested in the Implied fed funds rate calculation, you have the option in settings to de-activate that and plot instead the price of each contract. You can also choose which contracts to activate or not.
Each contract is plotted along with a signal line which is a 5 period moving average. If the line is below the signal it will show in Blue. If above the signal line it will be colored green. Feel free to change those colors in settings.
It is best to attach the script in a 1H timeframe or less. The reason behind it, is because in order to create/plot the entire curve, the earliest contract's price used is 20 candles ago and each contract thereafter 1 day ahead so the Dec 2025 contract uses the latest close candle. Not sure if that explains it. Basically if you use the Daily chart you will be using futures prices from 20 day ago which will not reflect the most recent changes. By using 1 Hour or less you will be plotting the entire curve based on latest data.
Also look at the data window as you will see all the rates there for easy reading
If you have a better idea on how to craft the curve or any other things you would like the script to have, please feel free to leave a comment.
Informacje o Wersji
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UPDATE 03/21/22: Expired contracts have been removed and new contracts have been added. Curve now plots from Aril 2022 until March 2027
Informacje o Wersji
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06/19/22 ~ The script has been updated to reflect recent contracts that have been expired and prevented the script from working
Very nice. I have been trying to find a way to plot the curve on the TV charts, but this makes it simple. Thank you.
shamscom
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I am missing this now that the Eurodollar futures are dead. Would you be kind enough to provide the source code for the white line in the above? I am only able to do multiple SOFR futs, but not the current curve. Thank you :)
dacolmanfx
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This is amazing work. I am wondering if you can do a customizable futures curve....For example....say we want to see the oil futures curve today and compare to where it was for various lookup periods! I am trying to learn how to code, maybe one day I could do it, but not yet! Anyways! Thank you
theodorewakefield
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It works! Thanks so much for this.
Yelian
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Awesome looking script! It doesn't seem to load or work though...am I doing anything wrong??
FX_Baba
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@Yelian, I literally just updated it. Delete and add again and should update. Previous expired contracts needed to be removed for it to work. Sometimes I forget
Yelian
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@FX_Baba, Good timing!!! Thank you greatly and wish to repay you in kind some day! :)
Great work. How do you asses the time scale? Looks like there is a small inversion and trying to tell which contracts that is based on your chart. Cheers.