How to fully automate trade futures with expiry date ticker?

[johnnybegoode]

How to fully automate trade futures with expiry date ticker?

Do I have to attach a strategy to a new chart every time a future expires
and after a cash settlement took place.

Can the script just keep trading i.e. ES regardless of expiry?
Or maybe there is a script to do so?

Also, is there a Ninja Script to rollover futures at expiry?

[NinjaTrader_Kate]

Hello johnnybegoode,

Thank you for your reply.

You would need to disable the strategy on the prior contract and re-enable the strategy on the new expiry.

In a real account, an open position on the prior contract would be closed out by your broker before the contract expires. So a position in the December ES contract would be closed while rolling over to the March expiry.

There would not be a configurable option to automatically re-enter a liquidated position after rollover.

You would need to sell any prior position (or wait until it is liquidated) and re-enter on the new contract.

There is not a NinjaScript method to roll over futures at expiry, however, the platform will automatically prompt you when it's time to roll to the new expiry.

Please let us know if we may be of further assistance to you.

[johnnybegoode]

Does manual rollover work for walk forward testing using Sim101
with the strategy on and account in negative territory?
At what time does the rollover happen on 03-21?

What happened if I just let the contract expired by doing nothing?
Is it force liquidation?

Thank you!

[NinjaTrader_Kate]

Hello johnnybegoode,

Thank you for your reply.

By default if you are testing a strategy over multiple contracts in the Strategy Analyzer, whether doing a regular backtest or a walk forward text, the contracts will be merged and back adjusted so you can simply run the strategy continuously over the whole time frame.

The time and date rollovers happen varies by instrument. You can see our Trade Desk calendar that shows roll dates for various instruments here:

https://ninjatrader.com/blog/trade-desk-calendar/

The roll date will be generally about a week prior to the last trade date. On the last trade date, data will stop at the open of that day.

If you fail to roll over or close an open position on a contract prior to the last trade date, it will be physically delivered or cash-settled.

More information regarding this can be found on our blog here:

https://ninjatrader.com/blog/what-is-futures-rollover/

Please let us know if we may be of further assistance to you.