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Rollover date vs Expiration date

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Rollover date vs Expiration date

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  #1 (permalink)
Sydney, Australia
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Do I switch over to the June FX contracts on the rollover date or on the expiration date

Also how do I work out which is the correct session time to choose within the data series menu on a chart in NT?

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  #3 (permalink)
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Typically most people just watch the volume of each contract and switch over when the front month has more volume. Bring up a market analyzer (I think that's what NT calls it), and add both contracts and watch it each day to see which has more volume.

Regarding which session template to use, there is no right or wrong one. FX trades almost 24hrs / day. Considerations for which template to use (or to create your own) might be:
- Where do you live and what time will you be trading
- Plot a 24hr template and see where most of the volume occurs
- Do you want to only plot the times of day where the most volume occurs or do you want to see everything

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  #4 (permalink)
 Fat Tails 
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Rollover Date

You want to trade the most liquid contract, therefore if you hold a position you want to roll it to the new contract when the old and new contract have about the same liquidity. Many traders roll on the day when the volume of the new front month contract first exceeds the volume of the old front month contract.

FX futures typically expire on Monday preceding the third Wednesday of the expiry month. The March 2014 futures will therefore expire on Monday, 17 March 2014. However, volume is set to switch to the new contract on Thursday or Friday this week. You should therefore consider rolling on Thursday.

Session Template

For FOREX futures you should not use a session template such as 24/7. The session template should either reflect the contractual trading times of the instrument or the opening hours of the underlying market, which is the FOREX market.

Contractual trading times for FX Futures:

Sundays: 5:00 p.m. – 4:00 p.m. Central Time (CT) next day. Monday – Friday: 5:00 p.m. – 4:00 p.m. CT the next day, except on Friday - closes at 4:00 p.m. and reopens Sunday at 5:00 p.m. CT.


The FOREX market opens in New Zealand and closes at 5:00 PM New York time (which is identical with the close of the FX futures markets at 4:00 PM Central).

Therefore you should use the appropriate session template that comes with NinjaTrader, and which is called "CME FX Futures ETH". Don't use the template 24/7, it is always a false template. Many indicators will not properly work with false templates, as the contractual trading day is not correctly determined. Also strategies that use ExitOnClose will not work correctly with the template 24/7.

Best Practice: Save the correct session template under instrument settings, and then open all chart with <instrument settings>. That way each instrument will use its own specific session template as required.

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Last Updated on March 10, 2014

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