I am planning to run a strategy on daily resolution with an average holding period of 3-10 days.
From reading the forums, there can be two solutions to handle rollover:
1. Option A
Suppose I am long ES 06-18 in my IB account, and it is time to roll-it over to ES 09-18, I do the following steps:
(i) a manual rollover in my IB account from ES 06-18 to ES 09-18.
(ii) I stop the strategy currently running on ES 06-18 (say on the friday close)
(iii) I update the NT database under "Rollover Futures Instrument" from ES 06-18 to ES 09-18 (say on the weekend)
(iv) I re-start the strategy to run again on ES 09-18 (say on sunday evening)
2. Option B
Suppose I don't want to bother with the manual rollover of positions in my IB account like in Option A.
Here is a potential Option B is trying to avoid the manual rollover in the IB (or brokerage) account. Wanted to check if this is feasible?
Not sure if this is feasible, but potentially I run a live strategy (say the account is linked to a live IB account) on a continuous contract say ES ##-## from Kinetick (or @ES#C in the case of IQFeed), and the strategy also reads another database or a file, that contains contracts and dates for which they are valid such as:
ES 12-18, 20180907, 20181206
ES 09-18, 20180607, 20180906
ES 06-18, 20180308, 20180606
ES 03-18, 20171207, 20180307
...
...
Then the strategy code
(i) runs on the continuous contract, but the actual orders to IB are generated using ES 09-18 or ES 06-18 or similar specifications (not sure if this is possible)
(ii) I also write a rollover logic in the strategy itself, such that on the rollover date, the strategy also sends an order on two different maturities (or a spread) to do a rollover - one long and one short.
Would this be viable?
(a) Is it possible to run a live strategy on generic contract like ES ##-## from Kinetick (or @ES#C from IQ Feed)
(b) If yes, would it be possible to access within the strategy code, which particular expiry (like ES 09-18, or ES 06-19) does that ES ##-## access point in time?
(c) Also, would anyone know where can I see the current rollover policy used to back-adjust contracts like ES 09-18?
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