Continous contracts and rollover dates

[trader12345]

Hello,

1. How are the rollover dates of futures contracts in NT8 determined? Is there an algo for each commodity? Something like x days prior to last trade day?

2. Some rollover dates seem to be quite early. For example the date for ZW (Chicago Wheat) 03-20 is on 2019-11-19. But open interest on this date is only 175k. The OI peaks on 2020-01-21 at 224k. On rollover date of ZW 03-20 the next contract ZW 05-20 has an OI of only 51k. On 2020-01-21 it is at 85k and is still growing.
So why does NT roll ZW 03-20 so early?

Thanks.

[NinjaTrader_Clayton]

Hello trader12345,
Thank you for the question.

1. We are currently looking into how the rollover dates are chosen specifically:

• In general, they are based on when the majority of the volume of traders went from an expiring contract to the next contract the previous year.
• I am looking into how a rollover date can be chosen and set for an expiry that is further than 1 year away

2. If you do not like what date the rollovers have been set to, you are more than welcome to go into the Instrument Settings and specify the date that you would like to have NinjaTrader rollover to the next contract

• Go to the Control Center > Tools > Instruments
• Search for the desired instrument and double-click the appropriate result
• Scroll to the very bottom of the Instrument Properties window and expand "Contract months(expirations and rollover dates)
• Click the box next to "Contract months" where you see "## Rollovers". The ## can be any number.
• Click on each expiry/contract within the list on the left and then set the rollover date as desired
• Click OK when finished

You are always welcome to reference the NinjaTrader Trade Desk Calander or reach out to your broker directly for more information on when the last day a specific Instrument/Contract will be traded before it is officially expired and no longer trading.

• https://ninjatrader.com/blog/trade-desk-calendar/

[trader12345]

Hello Clayton,

2. If you do not like what date the rollovers have been set to, you are more than welcome to go into the Instrument Settings and specify the date that you would like to have NinjaTrader rollover to the next contract

Of course.
But for now I have to do a bunch of backtests on some futures. The backtests have to be run with R. This is why I need the historical rollover dates in R, either by algo or by exporting them from NT e.g. as csv.

[NinjaTrader_Clayton]

Hello trader12345,
Thank you for the message.

To add more information as to when the rollover date is chosen:

• The Rollover date will be at least 2 days before the final date a contract is traded
• Some more common instruments are a week before

In general, there is no exact formula to follow to know when the rollover date will be for future contracts for all of the different instruments.

• The rollover dates are a suggestion as you are welcome to trade any of the active contracts when you desire if your broker supports it
• If you need to know the Rollover dates of each Instrument and Expiry within the NinjaTrader platform, you can refer to the NinjaTrader Trade Desk Calendar or look up the Instrument within the Instruments window and look at each of the Expiration Dates for each of the contracts.
  • https://ninjatrader.com/blog/trade-desk-calendar/

As well, we are not sure by what you mean by the letter R.

• "The backtests have to be run with R"
  • What is R?
  • We would need more information on what you are referring to with this to be able to provide more information

[trader12345]

Hello Clayton,

• The Rollover date will be at least 2 days before the final date a contract is traded
• Some more common instruments are a week before

This is not correct for GC (CME Gold). NT's Rollover dates there are ~61 trading days prior to last trade day.

In general, there is no exact formula to follow to know when the rollover date will be for future contracts for all of the different instruments.

What or who determines NT's Rollover dates? Does one of your customer support members type them in by hand when the contracts are created by the exchanges? How does he choose the dates? Seriously, I doubt he will flip a coin.

The rollover dates are a suggestion

Yes. Every trader can roll at individual dates.

I like to run backtests with _your_ suggested rollover dates with an external software (see below). I like to test ~25 commodities from 2009 on or earlier. To build the continous contracts it would result in 7 contracts (approx per year per commodity) * 13 years * 25 commodities ~ 2275 rollover dates. This amount of data nobody wants to type in manually.

So, if there is no algo/formula to determine the rollover dates can I export your suggested rollover dates from NT to a file, e.g. as CSV?

"The backtests have to be run with R"

• What is R?

R is a programming language, especially for statistical puropse. I'm familiar with R but not with NT's backtesting capabilities. This is why I do not want to run the backtests with NT but like to export your suggested rollover dates for import in the R software.

[NinjaTrader_Clayton]

Hello trader12345,
Thank you for the update.

When it comes to how the Rollover Dates are chosen, there is a formula but it's not one that we have documented publicly.

• What we may share publicly is that the last trade date is compared against historical volatility to determine the roll date, so it is dynamic and changes based on historical volume

As for downloading or pulling a list of rollover dates from the platform, there is no default way to export them from the NinjaTrader platform, but you could look into creating a NinjaScript that pulls them from the platform.

Here is an example of another user that was wanting to pull the expiration dates from the platform using a NinjaScript:

• https://ninjatrader.com/support/foru...-rollover-date

[brucerobinson]

Well it’s good to know NT is looking at this.
That dates are based on last year’s volume is surprising to hear. There is a thread I started some years ago in which NT declared RO dates are taken from Exchange-published dates, and rejected/refused to consider any arguments for a volume-based approach.