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Rollover Days - some Quick Facts about
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Rollover Days - some Quick Facts about

  #31 (permalink)
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Fat Tails View Post
The rollover story is not so easy.

(1) For index futures there are official rollover dates. Everything observes the date so there is no discussion required. The rollover date was Thursday, December 13 and the volume of index futures shifted to the new contract.

(2) For currency futures there are also quarterly roll dates published by the exchange, but they are ignored by everybody. You can find them via the link below:

FX Quarterly Roll Dates

The official roll date was Monday, December 10, and so what? Nobody deemed it necessary to observe that date.

The offset for currency futures does not depend on physical demand and supply or dividend payments, as it does for commodity or index futures. It is just the result of a simple calculation of the impact of expected interest rates over the 3 month period between the expiry of the front month and back month contract. Nothing exciting, and unless there is a surprise change in interest rates which hits close to rollover date, you can calculate your offset from any day you like. For example for 6E you would have got

rollover date Dec 10 -> offset = + 0.13
rollover date Dec 11 -> offset = + 0.13
rollover date Dec 12 -> offset = + 0.12
rollover date Dec 13 -> offset = + 0.11
rollover date Dec 14 -> offset = + 0.11
rollover date Dec 17 -> offset = + 0.11

Volume shifted to the new contract on Friday, 14 December, so that is what I used as roll date.

@Daytrader999: The rollover date December 13 does only apply to index futures, but neither to currency, nor interest rate nor commodity futures.

so even if the date is the 14th or 17th the offset is still the same so i shouldnt have a problem? for some reason i do tho. my offset is 0.0011 and not 0.11 as you have noted above.

im being really dumb about this or im missing something completely.. or both..

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  #32 (permalink)
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madLyfe View Post
so even if the date is the 14th or 17th the offset is still the same so i shouldnt have a problem? for some reason i do tho. my offset is 0.0011 and not 0.11 as you have noted above.

im being really dumb about this or im missing something completely.. or both..


.0011, just different positioning of decimal place.

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  #33 (permalink)
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madLyfe View Post
so even if the date is the 14th or 17th the offset is still the same so i shouldnt have a problem? for some reason i do tho. my offset is 0.0011 and not 0.11 as you have noted above.

im being really dumb about this or im missing something completely.. or both..

0.0011 $ = 0.11 cents

NinjaTrader displays the offset in $.

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  #34 (permalink)
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kevinkdog View Post
.0011, just different positioning of decimal place.


Fat Tails View Post
0.0011 $ = 0.11 cents

NinjaTrader displays the offset in $.

ya im just not sure today on the 3-13 contract its supposed to look like this on an 800 tick chart..

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somewhere im missing something big and i just cant wrap my head around it..

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  #35 (permalink)
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Daytrader999 View Post
Thanks @Fat Tails, I referenced the Rollover date from Mirus calendar: Calendar | Mirus Futures

@Daytrader999:

There are no official roll dates. You can use open interest or volume crossover or whatever you like. Brokers tend to prefer early dates in order to make sure that they do not have to close out the positions of their unsuspecting customers (to prevent delivery ).

For example for FGBL volume shifted to the new contract on the last trade date, which is December 6, but the Mirus calendar shows December 5 as the roll date. I a similar way they may show an early roll date for 6E.

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  #36 (permalink)
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According to this:

Equity Index Roll Dates

It could be interpreted that the ES globex front-month contract shifts on Thursday evening (Friday's trading day). It says:


CME
Example:
If the Rollover date is Thursday, December 13, 2012 for the S&P 500 futures contract, the CME Globex session beginning that evening (at 3:30 p.m. Chicago time /CT) will list the Mar 2013 contract for trading and the Dec 2012 contract would no longer be available to trade on CME Globex. On the trading floor, the Mar 2013 contract would become the lead month beginning at 8:30 a.m. on Thursday, December 13, 2012.

It is clear that the pit contract becomes front month on Thursday at 8:30am CT. But for the globex, it is not as clear. After mentioning Thursday, it then says "the CME Globex session beginning that evening... will list the Mar 2013 contract." .... The volume is only greater for Friday's trade date, but IQFeed and others roll on Wednesday evening, starting at the Thursday globex trade date. IQFeed confirmed this, but to me the description is ambiguous. I emailed the CME and their answer was equally ambiguous.

Any thoughts on this?

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  #37 (permalink)
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as a side note: CQG data feed on NT is all jacked up and wont be fixed till this weekend(sat) as said on their forums..

NT or CQG data loss - NinjaTrader Support Forum

im guessing this is where my issues are coming from. sorry to put anyone out on trying to help me.

dont believe anything you hear and only half of what you see

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  #38 (permalink)
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josh View Post
According to this:

Equity Index Roll Dates

It could be interpreted that the ES globex front-month contract shifts on Thursday evening (Friday's trading day). It says:



It is clear that the pit contract becomes front month on Thursday at 8:30am CT. But for the globex, it is not as clear. After mentioning Thursday, it then says "the CME Globex session beginning that evening... will list the Mar 2013 contract." .... The volume is only greater for Friday's trade date, but IQFeed and others roll on Wednesday evening, starting at the Thursday globex trade date. IQFeed confirmed this, but to me the description is ambiguous. I emailed the CME and their answer was equally ambiguous.

Any thoughts on this?


@josh: If we talk about rolling, we talk about two different things:

(1) the question at what point we wish to merge single contracts to obtain a backadjusted contract
(2) the question at what point we wish to roll our positions

For (1) a harmonization is a good thing, as it allows all traders to have similar charts. For (2) there is no harmonization necessary, as it is an individual decision, when to roll an existing position.

For example, if you look at ES, volume shifted to the new contract on Friday, while open interest of the new contract exceeded the open interest of the old contract for the first time on Tuesday. This shows that many of the position and swing traders rolled their positions after rollover date.

For commodity futures it can be dangerous to roll later than rollover day, as delivery constraints can lead to a high volatility in the old contract. However, for index futures and in particular for currency futures there is no risk. As I said before, the roll dates published by CME for currency futures are completely ignored.

Some data vendors, for example

PINNACLE DATA PRODUCTS - Continuously Linked Commodity Contracts - CLC Database

use simple rules to create mergebackadjusted contracts. For currency futures they simply take the 8th day of the delivery month. This ignores volume and open interest, but as I have shown above, for currency futures the error made by selecting a different rollover date is a few pips.

I think that we have to accept that there are no rules imposed by anybody. Most of the data vendors, however, roll index futures on Wednesday evening, so that is what I am doing.

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