Rollover dates and expiration

[chrille]

I feel a bit stupid for asking such a silly question but I need to have some clarification!

I've started to trade the Stockholm OMXS30 future. It rolls over the 3rd Friday of every month and I'm configuring the instrument in Ninjatrader. Is the rollover dates the same as the expiration date?

June '17 expired 06-16
July '17 expires 07-21
Aug '17 expires 08-18

Which date do I use in the properties? Contract month 07-17, do I use 06-16 or 07-21?

[NinjaTrader_Jason]

Hello chrille,

Rollover date is when volume shifts from one expiry month to the next one. Expiration date is when the futures contract expires and stops trading. Usually rollover date happens before the expiration date. Unfortunately I am not sure what rollover date this futures instrument uses.

I suggest to proceed as follows. Please set 'Merge policy' to 'Do not merge' for the OMXS30 future.

Create 2 charts for consecutive expiry months (06-17 and 07-17 for example).

Load enough historical data in each chart so it spans both expiry months.

Add the VOL indicator and check when volume shifted to the next expiry month.

Compare it to the expiration date and setup rollover dates in a similar way.

[sandman]

chrille.
You can also open two TimeAndSales windows (File>New>TimeAndSales). Then right click on the first one and select your instrument with the contract month about to expire; then right click on the other one and select your instrument with the upcoming contract month. Both windows side by side will show you how many contracts are being traded on each. Trade the one with the higher volume.
sandman