rollover days

[guy]

This article/note describes the best time to swtich from one contract to the other based on when the volume switches contracts and shows the ES charts (new and old) for the last 3 rollover days this year.

http://www.deltat1.com/Education/art...r/rollover.htm

[guy]

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Don't forget to rollover your contracts today!!

[mkundi]

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It would be nice to have NT do it automatically as does e-signal & some other charting tools do. Like in e-signal, there is,

ES #F -----> instead of ES H5. The #F takes care of automatic rollover.

Since so many of us trade the Emini S&P contract, it would be conveninent to have that option of automatically switching over to the next contract.

So e.g. we ought be able to just specify,

ES ......... and have NT rollover 4 times a year ...... automagically.

[guy]

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It's a bit dangerous just having the contract rolled on you without warning. What would be cool is if, when you started NT, it said "Today is rollover day, Would you like me to automatically switch to the next contract for you?"

I cases where you're carry a position from the previous trading session you obviously wouldn't want to do that.

[mkundi]

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Was it not last friday ? 3rd friday of JUNE.

I agree, but my recommendation was to have an option to either rollover,

automatically or (for those of us who do automatic trading).

prompt you for it.

As a matter of fact, the rollover ought happen a week before the actual rollover day. Thats what the pros recommend cuz the liquidity starts to transfers to the next contract.

NT could have an option to rollover on what exact date by marking it on the calendar.

[guy]

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Read the article that I posted at the beginning of this thread. It shows how liquidity changes on rollover day and if you are day trading you are better off switching to the new contract on rollover day.

Also depending on how long you plan on carrying a position for you might be better off switching a swing/long term position on rollover day as well.

Expiry day = 3rd Friday of each quarter.

Rollover day = 8 days before Expiry day.

[mkundi]

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Thanks that was very helpful.

I am doing day-trading.

So, switching the 2nd thursday of the quarter (Mar,Jun,Sep,Dec) would be good.

Starting that 2nd thursday morning .......... right ?

[mkundi]

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I realized, 8-days prior to 3rd-friday of Quarter .... does not necessarily mean the 2nd thursday of the Quarter.

Basically doing the math to get the 8th day prior to the 3rd friday .... is whats needed.

[guy]

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Correct - 8 days before 3rd Friday is not necessarily the 2nd Thursday.

Do you need an algorithm to calculate the rollover day? If so what language?

[guy]

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Here is the psuedo code to calculate if a given date object is expiry Friday:

if:

(day < 22) AND (day > 14) AND (dayOfWeek==friday) AND (month % 3 == 0)

so once you've isolated the Expiry Friday you can take off 8 days and that will give you rollover day.

[elliot5]

Interupting a strategy that is running by rolling over

Hi guys, everytime I roll my contract I have to stop my existing strategy in the control center and then start another one for the new expiry month. This prevents me getting a continuous idea of the robots performance and I have to piece together the results. Any ideas how to keep a strategy running without having to stop it to rollover contracts?

Regs

F Everington

[NinjaTrader_Bertrand]

Hi everington_f,

You could let your strategy run on a continuous contract, eSignal for example has predefined ones - please also see this thread here - http://www.ninjatrader-support2.com/...ead.php?t=2352

[elliot5]

thx - I use AMP data feed so I guess that wont be an option. Thx for the help anyway Monsieur.