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Contract Rollover: Adopt Real World Position and manage per previous position entry
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Contract Rollover: Adopt Real World Position and manage per previous position entry

  #1 (permalink)
Austin, TX
Trading Experience: Advanced
Platform: TradeStation
Favorite Futures: Futures
Posts: 882 since Mar 2011
Thanks: 128 given, 714 received

Contract Rollover: Adopt Real World Position and manage per previous position entry

Here's the issue.

I'm starting to get into inter-day trading of commodity futures.

I'm using automated trading strategies (ATS).

I need a clever way to manually (or automatically) exit a current position if the current contract relinquishes volume superiority to the new contract.

Once that happens, I will manually re-enter the position on the new contract. On the settings tab, I can instruct TS to "adopt real world position" and manage the order from that point on.

The only problem is that the previous position that was prematurely exited (due to rollover) had an entry point and a trade duration history that's lost in this swap over.

Most of my strategies utilize multiple exit orders....some of which feature activation levels/thresholds.

In essence..."If maxpositionprofit > threshold, then begin...."

Once I manually enter the new position and enable the ATS, it will adopt and manage the new position (on the new contract). However, I'd like it to manage the position with the old entry point to reference so that some of these activation criteria for exit features are in play. (i.e. if my old position was up 150 ticks, and I have a trailing stop that activates at 100 ticks, then I'd like my new position on the new contract to immediately adopt a trailing stop, not wait for the new strategy to reach the threshold again).

So, issue A) Identifying newer contract volume superiority and liquidating current position.

Issue B) Referencing the "old" position entry point to manage the trade from that point on.

Because I'm manually entering the new position (on a new chart/symbol) it's not unreasonable to have to manually enter the old entry price into an input field.

The code would have to be boolean, where if no entry price was entered into the input field, the ATS would operate normally as if every trade were a fresh/new entry.

Any ideas would be a great help.

As it stands now, if I'm trading with extended positions, I have to manually struggle through the rollover trades until the trade is complete and out of the way then start the ATS fresh. That's not such a big deal, except my exit management tends to be pretty complex and CL can move so fast it's tough to keep up with calculations....

Automating will help to ensure that my live-forward performance more closely matches my strategy performance during continuous symbol backtests.

"A dumb man never learns. A smart man learns from his own failure and success. But a wise man learns from the failure and success of others."
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  #2 (permalink)
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  #3 (permalink)
Singapore Singapore
Trading Experience: Intermediate
Platform: TradeStation
Broker/Data: TS
Favorite Futures: GOLD
Posts: 13 since Dec 2011
Thanks: 15 given, 1 received

Got any success.

I am facing the same. Did you managed to find a solution. If so, appreciate if you can share the same. Thx in advance.

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  #4 (permalink)
Brussels / Dublin
Trading Experience: Intermediate
Platform: ninjatrader
Favorite Futures: Stdev + 2
Posts: 468 since Jun 2010
Thanks: 842 given, 595 received

I have the exact same issue and havent had a definitive thought on how to do it!

Anyone have any ideas on how to fix it to be best.

As if the new contract is involved the entry will be slightly different to the original 1.

And if your using dynamic stops such as a chandelier etc then the calculations are off.

Im thinking i should just trim the minimum num of bar's setting on the new rollover date to try get something that is reasonably close....

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