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Automatic Rollover of Future Contracts in Realtime Trading

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    Automatic Rollover of Future Contracts in Realtime Trading

    Hi,

    Do I have any chance of trading a long-term futures strategy, where I can automize rollovers into new contracts in NT. What I have read so far this can only be done manually, right?

    Is there somebody out there, who has programmed a Ninjascripts doing exactly that? I would like to address NT consultants with that questions as well.

    Is there anything planned for future versions of NT where automatic rollover could be included?

    Thx, Peter

    #2
    Hi Peter,

    Yes, this is a new feature available with version 7. Prior contracts are automatically rolled into the front month according to merge policy set in Tools > options > Data. You can view rollover definitions per instrument in the Instrument manager. Edit an instrument, click Misc, and the rollover definitions are at the bottom of this window.

    http://www.ninjatrader.com/support/h...rical_data.htm
    Ryan M.NinjaTrader Customer Service

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      #3
      Sounds very good, but does this also work, when I have a real-time position on in e.g. ES 3-11 (let's assume 3 lots) and the rollover date for the next contract ES 6-11 is reached. Does NT then automatically roll me over into ES 6-11 by selling 3 lots of ES 3-11 and buying 3 lots of ES 6-11??

      Thx, Peter

      Comment


        #4
        I see what you're looking for. Unfortunately this is not available with the default strategy framework. Strategies are applied to the instrument at run time, so rolling over to a new contract requires disabling on one instrument and enabling on another.

        It should be possible to custom code this into a multiseries strategy. All order submission and strategy logic would take place on added series. You can't read the rollover definitions from NinjaScript directly, but these are available in file:
        C:\Program Files\NinjaTrader 7\db\Instruments.txt

        Above is provided as a hint to how you might develop this, although we can't assist with the exact implementation. For this, a NinjaScript consultant is your best bet.
        http://www.ninjatrader.com/partners....pt-Consultants
        Last edited by NinjaTrader_RyanM1; 01-05-2011, 11:14 AM.
        Ryan M.NinjaTrader Customer Service

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          #5
          Can one run a strategy on a continuous contract like 6E ##-##? Which contract would orders be routed to when using these ##-## continuous contracts?

          Comment


            #6
            No, this ##- ## convention for continuous contracts is not offered for live trading by any of our broker partners. It's only possible with our "data only" providers on simulated basis.
            Ryan M.NinjaTrader Customer Service

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              #7
              deleted.....
              Last edited by Joerg; 01-13-2011, 07:46 AM.

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