Rollover Dates for ES, NQ, RTY, YM one day too early

[laszlonagy]

This has been a repeating issue with many instruments, today it is ES, NQ, RTY and YM.
Ninjatrader 8 say today is rollover day for these instruments.
I think people from Ninja should look at historical dates of when these instruments (and all instruments for that matter, there are many more examples like these) are actually rolled over so the volume is greater than the previous contract month's volume.
For example, if we look at ES at barchart.com:

https://www.barchart.com/futures/quotes/es*0/all-futures

we can see that there are way more contracts for September than for December. So market participants are still trading mainly on September. Based on my experience, Rollover for these 4 instruments is always on a Friday. Friday is the first day when more people trade on the new contract month than on the previous contract month.

I always have to manually modify the rollover days from those Thursdays to Fridays.

Could this be optimized so the rollover days are based on actual volume data for the various instruments and not some other method?

[koganam]

This has been a repeating issue with many instruments, today it is ES, NQ, RTY and YM.
Ninjatrader 8 say today is rollover day for these instruments.
I think people from Ninja should look at historical dates of when these instruments (and all instruments for that matter, there are many more examples like these) are actually rolled over so the volume is greater than the previous contract month's volume.
For example, if we look at ES at barchart.com:

https://www.barchart.com/futures/quotes/es*0/all-futures

we can see that there are way more contracts for September than for December. So market participants are still trading mainly on September. Based on my experience, Rollover for these 4 instruments is always on a Friday. Friday is the first day when more people trade on the new contract month than on the previous contract month.

I always have to manually modify the rollover days from those Thursdays to Fridays.

Could this be optimized so the rollover days are based on actual volume data for the various instruments and not some other method?

Rollover days are based on when the exchange says there is a rollover. What traders are doing has nothing to do with the matter.

[laszlonagy]

Well, they should be.
So I guess I will just keep adjusting those dates...

[koganam]

Well, they should be.
So I guess I will just keep adjusting those dates...

When you choose to switch contracts is up to you, but you may have been putting the cart before the horse.

Traders move to the new contract because of the roll over, as the rollover notice means that the old contract will soon expire, and no longer be traded at all. The rollover does not happen because more traders start trading the new contract.

[NinjaTrader_RyanM]

Hello,
Rollover dates are a suggestion on when a trader can rollover to the upcoming expiry. A trader may decide when they would like to rollover at anytime. The rollover date is commonly set to a week before the settlement date within NinjaTrader. Any user can trade the current contract until the settlement date.

[koganam]

Hello,
Rollover dates are a suggestion on when a trader can rollover to the upcoming expiry. A trader may decide when they would like to rollover at anytime. The rollover date is commonly set to a week before the settlement date within NinjaTrader. Any user can trade the current contract until the settlement date.

Not to quibble, but given that the exchange publishes a calendar with definite dates specifed as "roll" date, it is debatable if the roll date is just a suggestion, rather than a scheduled event.

ref: http://www.cmegroup.com/trading/equi...rolldates.html directly from the CME.

[ShatteredX]

I agree with the OP. NT's rollover dates ought to be the first day that volume is higher on the new contract than on the old contract. In many cases, this date and the NT date are the same.

There are certain futures where they can be different by weeks (lean hogs is one).

Obviously, every trader is responsible for setting the rollover date to whatever is proper for his or her trading needs.

My wildly speculative guess is that most NT traders are interested in rolling over to the next contract on the day that the next contract surpasses the old in volume.

Ideally, there would be an option to select our own rules for rollover date, either by days to expiry, days to first position or highest traded volume.

[sk_future]

Is there way for me to switch the chart between Sept and Dec contract for ES once I rollover to dec contract? This is NT8. I remember being able to do it before, however I can't do that anymore. Any help would be greatful. Thank you.

[reach4thelasers]

I agree with this also. I rolled over way too soon. The message Ninjatrader gave me was that Contract Rollover was on Thursday. I rolled over and missed a whole morning of trading because Globex volume was super thin. And it wasn't until later in the day I realised that the old contract had much higher volume and started using that again.

I also checked the contract specs and rollover isn't actually for another week.

Either the wording of the message needs to be fixed or it needs to be delivered later because I rolled over way too soon and missed half a days trading.

[koganam]

Well, they should be.
So I guess I will just keep adjusting those dates...

Thank goodness, you have taken responsibility for your own trading decsions, instead of insisting that NinjaTrader do it for you, as a number of those who have posted after you insist should be done.

[AndyM]

What I normally do around rollover days is in market analyzer I place both the front month and back month contracts in there with the volume. Once the volume becomes greater on the next month contract I start trading that

[NinjaTrader_RyanM]

Hello Everyone,
Thank you all for the feedback. I have submitted this feedback to our Product Development team. At this time NinjaTrader's Rollover dates are traditionally the start of when volume rolls over to the next contract. As I mentioned in my last post Rollover dates within NinjaTrader are a suggestion and it is up to the trader to decide the correct time for them to rollover. If you would like to see the Rollover dates in advanced within NinjaTrader you may use the calendar within the NinjaTrader Blog below:
http://ninjatrader.com/blog/trade-desk-calendar/