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I'm evaluating MC for auto trading futures contracts. My understanding is that the rollover is manual. For instance, I'm using CSI as historical data, IQfeed as real-time data. To trade, I map the front-end contract and whenever there is a roll, I have to manually remap the contract to the new front-end.
Is there a clever way to automatically roll future contracts in MC (or MC.Net)?
Thanks,
P
Can you help answer these questions from other members on NexusFi?
you will likely have to deal with some manual work in almost all platforms (even if it's just updating charts to new symbols or adding new contracts to your database etc..), but I would encourage you to research this further as I can only speak for the platforms that I am familiar with.
I will do so. I know that Deltix does it, but it is quite expensive. On the retail side, TradingBlox does it as well, but there are some deal breaker limitations, in particular its proprietary scripting language. Amibroker can be programmed to do it, which is great for backtesting, but demands a lot of coding to put in production.
I wonder if RightEdge or SierraCharts would auto roll futures? That said, the first is too slow for backtesting, the 2nd doesn't have portfolio backtest.
