Time of Day When Rollovers Occur

[QuantKey_Bruce]

Currently, futures rollovers pop as recommended at midnight on the date in the rollover dates list for the instrument in the master instrument list. This means that the rollover becomes effective at a different moment for users around the globe because they are in different time zones. What should happen instead is the rollover should be effective at the start of the DEFAULT SESSION that has the session date in the rollover list. In this way, for instance, if ES is set to roll over on a Monday, the pop-up would happen at 18:00 ET on Sunday when the default session begins, and it would happen at the same time for every user in every time zone. This has two distinct advantages. First, it happens at the same time for everyone, and second, it means that part of a session is not by default on one expiration and part on another.

[NinjaTrader_Jason]

Hello Bruce,

I have forwarded this suggestion regarding the futures rollover pop up window to Development. Thank you for your feedback.

[jeronymite]

Thanks QuantKey_Bruce for highlighting the only way this works correctly. Futures rollovers are a function of the market and are once-only discrete events that happen at a specific time in a specific timezone, meaning that once the rollover has happened, it must be seen to be rolled over by all everywhere. It is not a "slow reveal". It's once only and instantaneous for everyone everywhere! It must be flagged at that moment to users of the platform, even if the decision by any individual trader to actually accept the rollover may not be made at that same moment.

Thanks.

[QuantKey_Bruce]

It should be noted that for historical charts, with merge policy set to either "Merge non back adjusted" (as in this screenshot) or "Merge back adjusted", the merge does correctly take place at the session break, such that the "new" contract takes effect on the ENTIRE default trading times session with the session date in the rollover list. The pop-up, however, does not follow this rule.

[QuantKey_Bruce]

One of the things that bugs me about this, although certainly not the only thing, is that when you're getting ready for the coming session, and you start up NinjaTrader in this example above (ES) on Sunday, December 10th at 6:00 pm ET, which is the start of the new session on which it would be trading ES 03-24 by the rollover definitions, you get no pop-up, and the platform behaves as if it should be on 12-23. Yet, should you start up at 12:01 am on Monday, December 11th, you get the pop-up and are prompted to roll over. Yet, later, when you look at these charts historically, it is as if it went back in time and rolled on Sunday, December 10th at 6:00 pm ET, when there was no suggestion to do so.

[QuantKey_Bruce]

Which brings me to an edge case - for bonus points, if you start it up in between sessions e.g. on Sunday, December 10th at 2:00 pm ET when the market doesn't open until 6:00 pm ET, it would ideally observe that the NEXT session (since we are not in a session) per the default trading times for the instrument is on ES 03-24 and prompt to roll over pre-market. This has it take place outside of trading hours at a time that is least disruptive. Yes, I know you could manually roll the chart, but the whole point of having a list of rollovers is so this process can be standardized. Really, if you get right down to it, if a trader leaves NinjaTrader running all weekend, it should prompt to roll over as soon as Friday's session has ended, giving the maximum opportunity to do so without disruption. But this all having been said, just having it prompt at 6:00 pm ET when Monday's session starts the prior day on Sunday would be an improvement over prompting arbitrarily at midnight in whatever time zone they happen to be in.

[jeronymite]

Thanks, QuantKey_Bruce, for a series of very relevant and helpful posts.

If I may take the liberty to try to summarise (corrections welcome):

• Rollovers are instantaneous events that occur at a specific time in a specific timezone
• All internal platform behaviour that is "rollover-dependent" must be aligned with the exact rollover event and occur at that time
• Rollover notifications should be made as soon as the rollover event occurs, regardless of any local timezone
• It is appropriate to "roll over" immediately after the final session that is prior to the start of the next session in which the rollover is effective

Hopefully, this can be validated and implemented in a soon-to-be-released future release. I note that this is correcting currently incorrect behaviour; it is not a "feature request".

Thanks.

[NinjaTrader_Jason]

The internal tracking number of the suggestion to have the futures rollover pop up window appear at the start of the session is SFT-6193.