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Rollovers on Futures


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Rollovers on Futures

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  #1 (permalink)
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Anyone knows of or are currently trading with a broker that allows rolling over futures from expiration to the next?

I trade with both TD (thinkorswim) and AMP/NinjaTrader/CQG/Kinetick. TD allows rollovers but AMP does not. I consider the lack thereof a disservice and highly restrictive to the retail investor to lower their cost basis. I contacted AMP twice by email to verify this and never got a response.

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tlopez51 View Post
Anyone knows of or are currently trading with a broker that allows rolling over futures from expiration to the next?

I trade with both TD (thinkorswim) and AMP/NinjaTrader/CQG/Kinetick. TD allows rollovers but AMP does not. I consider the lack thereof a disservice and highly restrictive to the retail investor to lower their cost basis. I contacted AMP twice by email to verify this and never got a response.

If you roll a long position, you need to sell your old front month and buy the new front month simultaneously. This is best achieved by pruchasing a calendar spread (going long new contract and selling old contract). The question here is whether you will be able to enter the spread at the bid or the ask....

Or do you mean that Amp Futures do not offer spreads and that they do not allow to convert spread and long position of the old contract to a long position of the new contract?

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Fat Tails,

Not a spread. Want to roll a ES or NQ future contract that I am long at a higher price as an example during the expiration week like right now. TD allows this in the thinkorswim platform. I've already rolled over a long position on TD from the DEC -13 (Z) to the MAR -14 (H) contracts. Open E Cry and Advantage Futures say they too allow rolling single contract futures however, I am not so sure you can do this in the NinjaTrader platform though.

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I'm confused too. I agree with Fat Tails. You need to sell one and buy another at the same time. At least that's how I've always rolled positions in futures.

/W

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  #6 (permalink)
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You both have answered my question. With the thinkorswim platform you can do a simultaneous roll from one expiration cycle to the next in a single click by choosing the position you want to roll. It's quite obvious NT does not have this feature built in so you have to manually do a sell/buy or buy/sell. The problem with this is, you don't now what the slippage will be since you cannot fire off both transactions at once!

Thank you all that responded.

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  #7 (permalink)
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Just for clarity I wanted to point out one important facet to my original question. Rolling a ES or other single future contract from one expiration cycle to the next isn't just as simple as selling/opening a position and vice a versa. Rolling is in essence a calendar spread where you roll into the same position from one cycle to the next. This is what I was referring to and that many brokers do not facilitate this either cause they don't allow it or do not offer a platform that allow you to do a spread.

Fat Tails was spot on in his answer. I just was not aware that doing a spread is not built into the NinjaTrader platform.

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tlopez51 View Post
With the thinkorswim platform you can do a simultaneous roll from one expiration cycle to the next in a single click by choosing the position you want to roll. It's quite obvious NT does not have this feature built in so you have to manually do a sell/buy or buy/sell. The problem with this is, you don't now what the slippage will be since you cannot fire off both transactions at once!

Maybe should be pointed out that while thinkorswim may be 'simultaneous' do you know what price they are doing this at? Could be worse than your perceived slippage elsewhere.

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Technically you can define a rollover as a spread. However , I suggest to roll over when you reasonable liquidity in the current month you are in and the rolling month, therefore you don't have huge slippage in liquidation and the reentering price.

If you are day trader you should not wait until the last day, and do any rollovers.
You just stop trading the expiring month as open interest gest down and move to the next month as it increases.

If you are a swing trader and need/must to rollover, I suggest to exit the expiring months at reasonable prices with limit prices, maybe 1 tick above and below Bid/Ask depending whether buying and/or selling.

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  #10 (permalink)
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tlopez51 View Post
Anyone knows of or are currently trading with a broker that allows rolling over futures from expiration to the next?
.

I usually roll with calendar spreads with IB and their spreadtrader because it ensures no slippage. Only disadvantage is that it complicates accounting for the trades in Sierra.

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SMCJB,

On the thinkorswim platform you see exactly what you are getting on the roll and more. There is no slippage.


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Legendary Market Wizard
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Sorry tlopez51 I misunderstood you. When you said earlier that you wanted to roll positions, but not using a spread, and thinkorswin allowed you to do this simultaneously with no slippage I had this picture in my head of a software right click menu where one of the options was "Roll to next expiry" where the system would execute the spread for you without telling you what it was actually doing.

In TTs XTrader executing a roll is just like trading any other instrument


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  #13 (permalink)
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SMCJB,

That is what makes the thinkorswim platform so unique. The guys who envisioned this platform where floor traders themselves and wanted to created something simple to use yet allow the retail investor to have similar tools at their disposal like the professionals do. The downside to the platform today is that it has grown so much and has so many built-in features from inception that it has become very laggy during high volume trading periods which makes it difficult to trade the futures with. Otherwise, it is in my opinion one of the best platforms out there today.

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Legendary Market Wizard
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Question, not addressed specifically to tlopez51, but to everybody.

Calculating slippage on stops, automated trading system, large orders etc is easy but how do you calculate slippage for futures rolls?

If the market is 101/102 and you buy 102s is your slippage
a) 0 because you sent an order to buy 102s and you got filled at 102
b) 0.5 because the value is 101.5 and you paid 102
Now consider that the spread drops slightly and closes tonight at 100.
c) 2 because you bought 102s and settlement was 100?

When your rolling one lot this may not seem important, but if your USO/UNG and your rolling tens of thousands of lots of crude or natgas every month it can become significant - especially when everybody in the market knows your trying to do it.

For what it's worth I personally would evaluate myself based upon b) but I'm normally rolling more than 1 lot.
I believe the biggest rollers in the energy markets (like USO/UNG) evaluate themselves based upon c).
In fact both CL and NG have Trade at Settlement products for the front spreads as well as the individual months.

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