Contracts and rollover schedules

[Harry]

As you decided to preset rollover days and for some contracts the selection of rollover days is a bit too creative, please find attached a little document from NADEX with a choice of rollover dates for this year.

In particular I have noticed that NT still has false rollover dates for CL and GC.

GC: Octobre is an illiquid month and should not be part of the rollover schedule at all.

CL: It is too late to roll contracts to the new contract month on the last trading day. Due to physical constraints at Cushing, Oklahoma, the old contract sometimes shows extreme volatility during the last two days, so the volume shifts to the new contract earlier. Again have a look at the document below.

[Harry]

Point value of BC (IPE Brent Crude Futures) 10 or 1000?

[NinjaTrader_Jason]

Hello Harry,

Thank you for providing the file and feedback on the rollover dates. I will forward it to development.

Note that you can modify the rollover dates under the Misc-tab of the Instrument Editor window.

[NinjaTrader_Jason]

By default it is set to 10.

[Harry]

Why? Contract value is 1000, or am I missing something?

By default it is set to 10.

[NinjaTrader_Jason]

Hello Harry,

Yes, you are correct; the point value should be 1000. I will forward your findings to development as well.

Thank you for reporting.

[Harry]

Just want to come back to that rollover schedule from NADEX, that is just an example, to show what dates they use. There are also rollover dates shown not applicable to mainstream futures. This is just what they have decided to use for themselves. For example the rollover dates for FDAX derivatives are 1 week early, so this cannot be applied without checking it either.

[Harry]

NYMEX gold future contracts and rollover dates

NT 7.0.0.13

I have written this before, but would like to repeat it: The liquid GC contracts that can be traded are February, April, June, August and December. All odd months and October are illiquid and not suited for trading.

(1) NT is customized to roll to GC 10-10 on Jul 30. This is not practicable. You should roll directly to GC 12-10 on Jul 30. Same applies to last year, where you should eliminate GC 10-09 from the rollover schedule.

(2) The rollover date for GC 08-10 is false. The correct date would be May 28 and not May 31, which is Memorial Day and not eligible for rolling.

Generally, all rollover dates for GC are the first notice days of the new contract. The notice dates can be found here:

http://www.cmegroup.com/trading/metals/files/Metals_2010_Calendar.pdf

[Harry]

COMEX Copper Futures (HG) roll dates

Rollover dates are about 1 month off for copper futures (HG). I think you could use the same roll dates as for silver futures (SI) instead.

[NinjaTrader_Austin]

Harry, thank you for reporting these issues. I've sent a note along to management.

[Harry]

Hi Austin,

rollover dates for copper futures have been changed. What about the illiquid contracts and the false rollover dates for GC?

Also I noticed that the point value for Brent Crude (BC) is still false.

[NinjaTrader_Bertrand]

Thanks Harry, but I'm not sure what exactly you refer to for GC, those would normally use the bi-monthly cycle, G J M Q V Z.

[Harry]

I have already exposed this in a detailed way below.

Gold is not following a bi-monthly cycle. 5 months are traded: February, April, June, August and December. So you would roll August directly to December. Please check volume to confirm. Although Octobre exists, there is no volume.

Also the rolldate for GC 08-10 would be May 28 and not May 31, which is a public holiday.

Thanks Harry, but I'm not sure what exactly you refer to for GC, those would normally use the bi-monthly cycle, G J M Q V Z.

[NinjaTrader_Bertrand]

Harry, thanks for spotting the memorial day roll will be fixed.

For the expiry cycle we follow the standard bi-monthly cycle, you could for example confirm by checking into eSignal standard rolls.

If you like to build you own contracts according to your volume observations you could always override the rolldates in the misc section of the master instrument to your liking, just keep regular DB backups as those would be stored there.

[Big D]

I would like to second Harry's request to change the GC roll schedule. Trading goes from Aug directly into Dec, Oct is skipped. This is the standard for any trader that would be using Ninja. Do not rely on eSignal. Just because they are wrong, doesn't mean Ninja needs to be wrong also. Repeat: GC does not follow the normal, every 2 months, schedule. Look at the volume. The volume represents traders' opinions on what they think is the standard. Is Ninja smarter than the market?