Contracts and rollover schedules

[Harry]

I have already modified my settings for GC. If you follow the standard bimonthly cycle for GC, that's fine. Traders don't. Problem here is that you might get a false cumulated offset.

The chart below shows that the GC 12-09 already has 15 times the volume of GC 10-09 in the beginning of August. The decision is yours.

Harry, thanks for spotting the memorial day roll will be fixed.

For the expiry cycle we follow the standard bi-monthly cycle, you could for example confirm by checking into eSignal standard rolls.

If you like to build you own contracts according to your volume observations you could always override the rolldates in the misc section of the master instrument to your liking, just keep regular DB backups as those would be stored there.

[Big D]

So what is Ninja's official response on this issue? Will it roll GC from Aug to Oct or will it roll GC from Aug to Dec?

[Harry]

Difficult Decision?

That is your chance to beat E-Signal. Think about it: As long as interest rates stay positive and there is physical arbitrage, Gold is a contango market. The basis of the Gold futures contracts only depends on the yield curve, if (low) cost of physical storage is not taken into account.

So whether you roll August to October and then to December, or whether you roll July to December should give similar offsets.

These are the three reasons to roll August directly to December.

(1) The October contract is not traded by professionals.
(2) Low liquidity of October contract may cause a Gaussian error at the close prior to rollover date.
(3) The volume of the continuous contract will be completely distorted, as it will drop by a factor 15 during August and September.

Is it that difficult to make a decision on the correct default setting?

[NinjaTrader_Bertrand]

Guys, we appreciate your feedback and input, I checked into volumes and open interest to compare - we changed the default rollovers to roll from August into December directly skipping October.

[Big D]

Thank you for listening.