Rolling contract based on Volume

[blar58]

Hello,

Is there a way to compare volume between 2 different instrument expiration in Market Analyser.?
or
Is there an indicator that would warn contract rolling based on Volume comparaison ?

Thank you !

[NinjaTrader_ChrisL]

Hi blar58, thanks for posting.

You can type into the Market Analyzer e.g. "ES 12-21" and press enter to load in a future expiry contract then add the Daily Volume column. There is also a column called Days Until Rollover that you can use. A custom column would need to be created for a column that alerts based on some volume value between the two contracts.

Kind regards.

[blar58]

Chris

Thank you for your quick reply.

I am not sure I understand exactly how you do that.

I already have entered ES 09-21 and when I try to add ES 12-21 it gives me an error saying that instrument is already in Market Analyser.


Ideally I would like to compare both contract Daily Volume and set an alert when the rolling contract trades more volume than the expiring contract.

[NinjaTrader_ChrisL]

Hi Blar,

Are you sure you are adding the other contract? It will enter two contracts if they have different expiry dates:

https://clauber.tinytake.com/msc/NTgxMjg2Nl8xNzg1ODE5NQ

[blar58]

Chris

Yes I succeeded adding the 2 contracts.
But now I don't know how to set an alert if the rolling contract is higher than the expiring contract.

[NinjaTrader_ChrisL]

Hi blar,

The rows/columns are independent of each other, so no alert can include values of both rows. A custom indicator would need to be made that can run on one contract and add the other using AddDataSeries(). That indicator could then run on a chart or market analyzer and alert based on volume from each contract.

Kind regards,
-ChrisL

[blar58]

Thank you Chris.

I will develop that right away !

[brucerobinson]

Hello #Blar58,
If you do develop this, would you be kind enough to share it with me or better still put it on the UserAppShare?

If you were to search the Support Forums you will find an excruciatingly long and painful history of interminable arguments with Support who refuse to accept that a volume-based rollover should be provided as part of the core platform, and defending date-based only.

I pursued the same strategy as you in Market Analyser like you to find no volume comparison is possible nor link to alert, and even went to the extent of posting Sierra’s implementation by way of example, and their Python code.

Deaf ears. Well, in fact worse than that - steadfast argument supporting date-based, refusal to acknowledge case for volume-based let alone address it.

However it is beyond my pay grade to do it myself.

Please answer my prayers. It’s not like it happens often on the instruments I trade, but it is such a bore & irritating (as has been Ninja’s response)

Here’s hoping….
Best,