Attention!

mgbloomfield · 04-19-2008, 10:24 PM

If a Strategy that trades futures (e.g. ES) is always in the market, what's the best way to deal with a rollover of the ES from one contract to the next contract?

How does the strategy know when to stop trading the current "ES 06-08" contract and start trading the next "ES 09-08" contract?

NinjaTrader_Dierk · 04-19-2008, 10:58 PM

>> How does the strategy know when to stop trading the current "ES 06-08" contract and start trading the next "ES 09-08" contract?
There is no "auto-detect". You manually would need to restart your strategy on the new expiry.

mgbloomfield · 04-19-2008, 11:51 PM

Please add this to your list of feature requests.

Some sort of way to auto-rollover to the next contract of the same instrument.

It would have to know which day to roll over and be able to detect the next near-month contract of the same instrument.

NinjaTrader_Dierk · 04-19-2008, 11:52 PM

Thanks for your suggestion. We'll add it to the list of future considerations.

04-19-2008, 10:24 PM	#1
mgbloomfield Senior Member Join Date: Dec 2006 Location: Seattle, Washington, USA Posts: 150 Thanks: 0 Thanked 0 times in 0 posts	Rolling over futures with Strategy If a Strategy that trades futures (e.g. ES) is always in the market, what's the best way to deal with a rollover of the ES from one contract to the next contract? How does the strategy know when to stop trading the current "ES 06-08" contract and start trading the next "ES 09-08" contract?
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04-19-2008, 10:58 PM	#2
NinjaTrader_Dierk Administrator Join Date: Mar 2005 Location: Bamberg, Germany Posts: 9,994 Thanks: 0 Thanked 6 times in 6 posts	>> How does the strategy know when to stop trading the current "ES 06-08" contract and start trading the next "ES 09-08" contract? There is no "auto-detect". You manually would need to restart your strategy on the new expiry. Dierk NinjaTrader Customer Service Use Kinetick, NinjaTrader’s preferred market data service - Learn More Free online training events - View Schedule
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04-19-2008, 11:51 PM	#3
mgbloomfield Senior Member Join Date: Dec 2006 Location: Seattle, Washington, USA Posts: 150 Thanks: 0 Thanked 0 times in 0 posts	Please add this to your list of feature requests. Some sort of way to auto-rollover to the next contract of the same instrument. It would have to know which day to roll over and be able to detect the next near-month contract of the same instrument.
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04-19-2008, 11:52 PM	#4
NinjaTrader_Dierk Administrator Join Date: Mar 2005 Location: Bamberg, Germany Posts: 9,994 Thanks: 0 Thanked 6 times in 6 posts	Thanks for your suggestion. We'll add it to the list of future considerations. Dierk NinjaTrader Customer Service Use Kinetick, NinjaTrader’s preferred market data service - Learn More Free online training events - View Schedule
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