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Futures Rollover Wizard

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    #16
    Hello Patrick,

    unfortunately I do not have a good source for the rollover dates in advance. As described below from my point of view the following situation is valid:

    There are more or less common market practices when to roll over which contract. They are more common for financial futures but less common for commodity futures. The exchange only sets the last trading days, first notice days, expiration days and so on. Dependent on the needs of each trader he chooses a different rollover strategy. The most common strategy of course is simply volume based. Whereby in some cases also the day when the volume shifts changes from time to time in a specific market based on market practices (for reasons I do not know).

    Last but not least every trader chooses its own rollover strategy and in result it can be useful e.g. to roll over always on a Monday if the position is closed over the weekend anyway. Many scenarios are possible.

    Therefore I asked already (SFT-2048) for some kind of a "rollover wizard" which allows each trader to define its own rollover strategy. Also it would make the maintenance of the rollover data in the instruments by NT obsolete.

    Regarding the charts I mentioned yesterday the following rollover dates for
    NYD and NYK should be wrong:

    12-16
    09-17
    12-17
    03-18
    06-18
    09-18
    12-18

    They all are set around the 15th of the month whereby the contracts end trading on Thursday prior to the second Friday of the contract month:
    http://www.cmegroup.com/trading/equi...fications.html
    http://www.cmegroup.com/trading/equi...fications.html

    I do not know the "exact" roll dates as described above but the other dates are set around the 10th of the month which made the chart looking much better.

    For 6L the contract cycle is not correct since it is a Globex currency future which rolls every month and the instrument shows only dates for the regular quarterly cycle (which is correct for the most other Globex currency futures).

    Many thanks again,

    Joerg

    Comment


      #17
      Hello Joerg,

      Thank you for the reply.

      We appreciate your additional feedback and input. The feature request SFT-2048 is still being tracked by our development team and we have no further updates at this time.

      Please let us know if we may provide further assistance.
      Chris Sch.NinjaTrader Customer Service

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        #18
        Hello Chris,

        Will the rollover Dates for the below mentioned contract get adjusted in short term? Since the server adjustment would override my manual adjustments I would like to avoid double work.

        Thanks a Lot.

        Kind regards,
        Joerg
        Last edited by Joerg; 09-09-2017, 06:52 AM.

        Comment


          #19
          Hello Joerg,

          Thank you for the reply.

          I have forwarded your feedback to our development team. We will follow up with more information when available.

          Please let us know if you have any further questions.
          Chris Sch.NinjaTrader Customer Service

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            #20
            Hello Joerg,

            Thank you for your patience.

            I have received an update from development that this has been changed and you should see the correct rollover date reflected upon a restart or a manual update of your instruments in Tools > Database Management.

            Please let us know if we may provide further assistance.
            Chris Sch.NinjaTrader Customer Service

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              #21
              Hello,

              could you please provide an update on the following two feature requests:

              1. "Your request for futures rollovers to be based on rules instead of a specific date is being tracked with ID #SFT-2048."
              2. "Your request to export Historical Data for specific times and for multiple instruments is being tracked with ID #SFT-2050."

              Many thanks,
              Joerg

              Comment


                #22
                Hello Joerg,

                Thank you for your post. Interest in these features is still being tracked, there are not any additional update available on this request at this time. Added features will list after update in the product release notes found at Help > Help Guide > Release Notes.

                Let us know if we may assist further.
                Eric B.NinjaTrader Customer Service

                Comment

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