LIBOR transition, ED and SOFR Futures

[fmair]

ED has a very high RollOffset and LIBOR will cease to exist in its current form in June 2023 - see: https://www.cmegroup.com/articles/faqs/transitioning-from-eurodollar-futures-and-options-to-sofr-faq.html

I assume you are going to switch to SOFR futures instead. The contracts you currently hold will become "illiquid" (for ED standards) at some point. Is there a way to configure that switch within the system already?

[fmair]

the current lumber futures (LBS) are going to be delisted too, see https://www.cmegroup.com/content/dam/cmegroup/notices/ser/2022/07/SER-9017.pdf, and replaced by LBR whereas 4 LBR = 1 LBS in size.

[robcarver17]

Easiest way to do these changes is to keep everything the same (changing instrument codes is an absolute nightmare) but just change the configuration in the IB file. A multiplier change will also require a change in the instrument configuration.

[robcarver17]

I normally wait until the change happens and stuff starts to break, and then do the change. Changing too early will result in other problems.

[robcarver17]

Converted to discussion