Contract Roll Over

[Mike_32]

Apparently is 8 days before expiry? Which makes it last Thursday.
Yet on 6E all the volume is still trading on the December contract, and the gaps and spread on the march 2012 contract are all over the place.
Clearly in the pictures you can see the difference old contract trading like normal new one is all over the place.
December contract

http://imageshack.us/photo/my-images/641/old6e.jpg/

March contract

http://imageshack.us/photo/my-images/545/new6e.jpg/

[NinjaTrader_Kyle]

Hi Mike,

The roll over date set is 12/8, that is correct. That said, these are set in advance (2nd Thursday of the expiration month as I recall) but are not based on current volume in any practical sense.

In terms of what you're seeing in the charts, can you tell me which data provider you use with NinjaTrader so that I can test with the same data set here?

[Mike_32]

Hi Mike,

The roll over date set is 12/8, that is correct. That said, these are set in advance (2nd Thursday of the expiration month as I recall) but are not based on current volume in any practical sense.

In terms of what you're seeing in the charts, can you tell me which data provider you use with NinjaTrader so that I can test with the same data set here?

Hi its with ZenFire this has happened the last 2 expiry's, before this it seemed everyone rolled over on the Thursday and new contract was normal.
But clearly this one is not normal and not tradeable due to gaps and spreads.
It would seem no one is rolling over around this date anymore and is doing it right up to near expiry which will be on Friday.

[NinjaTrader_Kyle]

Hi Mike.

Please open the Options menu's Data tab by clicking Tools > Options, then selecting the Data tab.

In that tab, what Merge Policy do you have in place?

[Mike_32]

Hi Mike.

Please open the Options menu's Data tab by clicking Tools > Options, then selecting the Data tab.

In that tab, what Merge Policy do you have in place?

Hi I have MergeBackAdjusted policy.
However this is the live data coming through since Thursday and it seems it is just because of the bid/ask still being so far apart that it gets huge gaps.

[NinjaTrader_Kyle]

Hi Mike,

What are you seeing as real-time bid/ask values at the moment?

[Mike_32]

Hi Mike,

What are you seeing as real-time bid/ask values at the moment?

Old is lower price, 1.3032-1.3035, new is higher price, 1.3051-1.3053.
Although both have 1-2 tick spread at times, the new one seems to have 2 tick more often.
Old one has 1 tick spread most of the time.
If you look at pictures you can see.

[Mike_32]

And there is always much more volume on old contract like new one has bid/ask 10-6, old one has 40-60.

[NinjaTrader_Kyle]

Hi Mike,

Just to be clear, are you saying that you suspect that this data is incorrect or that the roll over date being used is incorrect?

[Radical]

There's nothing wrong, the volume on 6E is still on the December contract. In other words rollover to the March contract hasn't happened yet.

[Mike_32]

There's nothing wrong, the volume on 6E is still on the December contract. In other words rollover to the March contract hasn't happened yet.

That is what im trying to say, roll over is 8 days before expiry? I don't think so, not any more.

[BigAAPL]

Mike,

I'm not sure if this answers your question, but...

It has always been my experiencce that the indexes achieve volume parity within a day or so of rollover, whereas currency futures tend to wait until just before expiry to eclipse.

[NinjaTrader_Cameron]

Hello Mike,

This is Cameron responding on behalf of Kyle.

There is no magical roll over date, only the expiry date which, in this case, is set by CME Group.
http://www.cmegroup.com/trading/fx/g...r_futures.html

Out Development Team is aware of certain contracts holding more volume than the currently defined roll over dates, and are looking into a solution for this.

As you may know, you do not have to rollover immediately, and you can manually set the Expiry when selecting the instrument from the Instrument Manager.

Please note that you can also manually define the rollover date.

• From the Control Center -> Tools -> Instrument Manager
• Search for the instrument
• Select and press 'Edit'
• Press the 'Misc' tab
• Scroll to the bottom and select 'Contract months' field
• Press the '...' button
• Select the Month-Year combo to see the Rollover date and change if you wish.
  

[poeds]

rollover is bs

as of now dec 6e has done ab 160k and march 60k

its a concept harking back to pits

[Mike_32]

Well the volume is still pumping on the December contract.
So maybe NT should stop the Rollover popup?
This is stupidity no one is even anywhere near using the new contract.
This is not the same with ES though, so maybe its only for certain things?