Any suggestions on how to compare volume on current and next Contract for Rollover? - futures io
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Any suggestions on how to compare volume on current and next Contract for Rollover?


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Any suggestions on how to compare volume on current and next Contract for Rollover?

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  #1 (permalink)
 brucerobinson 
Oxford Oxon./United Kingdom
 
Experience: Intermediate
Platform: NinjaTrader
Trading: Futures
 
Posts: 28 since Apr 2013
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Hello,
I'm looking for a way to see, ideally be alerted to, volume moving to the next Contract.

For a long time I have kept a custom instrument list and used Market Analyser with current day volume. When I see volume switching I switch my trading, and remove the expiring contract/add the next to the Instrument List and Market Analyser.

I find that to do this in NT8 is more cumbersome than it was in 7 due to changes in the way the Instrument List is implemented in 8.

I wondered if anyone has a better way in NT8, or outside NT8? (e.g. are there other resources out there that could be used to be notified - I have some very hazy recollection of seeing something of this nature which one could sign up for, but can't recall more than that!).


The drawbacks with my current method, as I see it are:

- I have to have open and maintain a Market Analyser Window

- I have to maintain a custom Instrument List

- I have to monitor volume (active on my part, rather than passive with an alert. An alert cannot be set up on Market Analyser (or Time and Sales) to compare one Contract's volume against another)


Although date-based rollover is satisfactory for most of the Instruments I trade, it is not for some (e.g. Dax often shifts not on the Exchange date NT uses, and when it does it is abrupt). Whilst the volume method I use gives me a solution, the effort is disproportionate for something that is relatively infrequent and now made more awkward in 8 c/w 7.

The date-based rollover system introduced in 8 does what it does well enough, however it doesn't alert and doesn't address volume. I've recently come across a Ninja-developed Add-on that displays the upcoming rollover date on a chart (presumably to overcome this short-coming in the new platform tool's design). But that means putting Add-ons on my charts. I could then use this as an aide-memoire to start to monitor volume of the instrument in question for those prone to rollover by volume not date. But I still have to maintain Instrument List/Market Analyser and check the Date. I could just as easily simply put the dates in my Calendar, set alarms and achieve the same! Any which way, none of it is an elegant solution.

I'm reluctant to use any third-party indicator/Add-on solution at the moment until I have a stable NT8 setup I have confidence in that I can rely upon, but would be interested to know of any suggestions for future consideration.

I've been 'banging this drum' with Ninja for a long time and had hoped for it to be addressed in NT8 but it is not. Several new and old users of Ninja and new traders are reporting the same frustrations and confusion, so if anyone has any bright ideas/solutions you'll be helping out several others by sharing.

Hope someone has something better to suggest.

Kind regards,

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  #2 (permalink)
 mattz   is a Vendor
 
 
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I think you are going a bit overboard with trying to program it. Most Futures/Commodities have a consistent First Notice Day/Last Trading Day. Find out what is the one for the instrument you trade. Set an alert to a week before, and you will see that most of the time the Vol and OI have switched to the next month.

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 sands 
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brucerobinson View Post



Although date-based rollover is satisfactory for most of the Instruments I trade, it is not for some (e.g. Dax often shifts not on the Exchange date NT uses, and when it does it is abrupt). Whilst the volume method I use gives me a solution, the effort is disproportionate for something that is relatively infrequent and now made more awkward in 8 c/w 7.





Hi Bruce. As you say thereís definitely good cases why you might want to do this, and why itís useful to know automatically when itís occurring. Particularly for contracts that have non vanilla rollovers. And also true that you donít want to have extra things on screen if avoidable.

You can easily enough write some c# to compare the active volume on the active and next contracts and alert you when the volume has rolled ie either the next exceeds the current or current exceeds a threshold. Having an on chart indicator has the benefit that you donít need anything else open you just need to have the near and next contracts in the database. Plus you can have it alert you in numerous ways (pop up, sound, etc)

You could either use this as an opportunity to learn to code or hire a developer. Iíd recommend you give it a try yourself as itís a simple enough job.

Hope this helps you.

Sand.



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  #4 (permalink)
 brucerobinson 
Oxford Oxon./United Kingdom
 
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Hello Sand and thanks for your input.

I realise from Matt's reply I omitted to say that I day trade.

I'm not a coder. But I have written some basic LUA Script for macros on a gamepad (for trading), and I have modified some pre-existing NT7 Ninjascripts including adding alerts.

I came across some Python code for doing just this, volume comparison for rollover but have no idea re: translation to C#.

Do you think creating such an indicator would be do-able starting from the NT8 Ninjascript Wizard? I can't think of any existing indicators I've tinkered with that compare data series but I'm thinking Ninja's built-in VOL might be a good starting point to take a peek under the bonnet.


Kind regards

Bruce

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  #5 (permalink)
 trendisyourfriend 
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Maybe this indicator could be modified or be used as is if you like it:

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  #6 (permalink)
 brucerobinson 
Oxford Oxon./United Kingdom
 
Experience: Intermediate
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Trading: Futures
 
Posts: 28 since Apr 2013
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Well I'm bamboozled. I login to fio through browser and also the app on my phone. Through the app the link takes me to a different post, one I've visited before about Opening Range. Thought I was losing my mind.

Anyhow - thank you TIYF. That's precisely what I had in mind in my request, scrape the data off a website in the way some News indicators do.
I recall seeing the indicator by name when trawling here and on Ninja but had no idea what it did and wasn't apparent to me from its title so didn't investigate further.

I saw there is a link to an NT8 version so have downloaded and will test. I see that it had a problem when BarChart.com changed something, but someone fixed. Seen the same happen with News indicators, source makes a change and thus breaks the indie and the originator no longer supporting it.

I see the name was changed to a1Barchart for NT8 version and can't find that in Elite downloads search. Will look on Ninja forum too. Just in case there's a later version. If anyone knows.....

Anyhow, I asked for advice on whether a 'standalone' indicator can be easily coded to do the job and helpful suggestions with that, and whether 'another way taking info from external sources' might be a way to go, and an NT8 indicator for that.

Invaluable - many many thanks guys. I appreciate you taking the time.

If I code a 'standalone' indicator to do the job I'll be sure to post it.

Kind regards,
Bruce

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  #7 (permalink)
 brucerobinson 
Oxford Oxon./United Kingdom
 
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ah, link to BarCharts indicator isn't NT8 and not updating from BarCharts so I guess they changed the page again. Anyway, still stuff to work with.

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 sands 
London + UK
 
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Bruce sorry for the late reply.

A few years ago I was starting out and had to learn as well, it's definitely doable. I was in a similar boat wanting to build something specific that didn't already exist, and ended up doing it myself. I'm sure many people on the forum have also similar experiences.

If you want to go down that road, best to try to do a beginners free course on Udemy or youtube in c#, and learn the basics, and then setup visual studio and get it setup for NinjaTrader. There's always NT support to help you get setup of dev. Then you can either try to build simple things you need from scratch or adapt an existing piece of code as has been suggested. Start simple and layer your skills. It may not be quick but you'll be better equipped than 99% of traders out there when you've done it.

Just stick to it, and if you get stuck google is a great help. stackoverflow etc.. are all there to help. and if you choose you can hire someone as well to help build it. Depends on how much free time you have and if you feel it will be a useful skill for you in your future trading.

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