Automatic Rollover of Future Contracts in Realtime Trading

[unter821]

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

[NinjaTrader_RyanM1]

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/helpGuides/nt7/historical_data.htm

[unter821]

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

[NinjaTrader_RyanM1]

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.php#NinjaScript-Consultants

[dnokes]

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

[NinjaTrader_RyanM1]

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.

[Joerg]

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