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Rollovers on Futures
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Created: by tlopez51 Attachments:2

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Rollovers on Futures

  #1 (permalink)
TonyL
Clifton, NJ/USA
 
Futures Experience: Advanced
Platform: TradeStation, NinjaTrader
Broker/Data: TradeStation, NinjaTraderBrokerage, CQG, IQ-DTN
Favorite Futures: ES, NQ, YM, TF, CL, GC, ZB, IWM, FXE, SPY, UVXY, USO, TLT, TBT, QQQ, GLD, JNK
 
tlopez51's Avatar
 
Posts: 57 since Aug 2013
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Rollovers on Futures

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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  #2 (permalink)
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  #3 (permalink)
Elite Member
Berlin, Europe
 
Futures Experience: Advanced
Platform: NinjaTrader, MultiCharts
Broker/Data: Interactive Brokers
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Fat Tails's Avatar
 
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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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  #4 (permalink)
TonyL
Clifton, NJ/USA
 
Futures Experience: Advanced
Platform: TradeStation, NinjaTrader
Broker/Data: TradeStation, NinjaTraderBrokerage, CQG, IQ-DTN
Favorite Futures: ES, NQ, YM, TF, CL, GC, ZB, IWM, FXE, SPY, UVXY, USO, TLT, TBT, QQQ, GLD, JNK
 
tlopez51's Avatar
 
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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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  #5 (permalink)
Elite Member
Charlottetown, Prince Edward Island
 
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WolfieWolf's Avatar
 
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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)
TonyL
Clifton, NJ/USA
 
Futures Experience: Advanced
Platform: TradeStation, NinjaTrader
Broker/Data: TradeStation, NinjaTraderBrokerage, CQG, IQ-DTN
Favorite Futures: ES, NQ, YM, TF, CL, GC, ZB, IWM, FXE, SPY, UVXY, USO, TLT, TBT, QQQ, GLD, JNK
 
tlopez51's Avatar
 
Posts: 57 since Aug 2013
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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)
TonyL
Clifton, NJ/USA
 
Futures Experience: Advanced
Platform: TradeStation, NinjaTrader
Broker/Data: TradeStation, NinjaTraderBrokerage, CQG, IQ-DTN
Favorite Futures: ES, NQ, YM, TF, CL, GC, ZB, IWM, FXE, SPY, UVXY, USO, TLT, TBT, QQQ, GLD, JNK
 
tlopez51's Avatar
 
Posts: 57 since Aug 2013
Thanks: 3 given, 48 received

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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  #8 (permalink)
Market Wizard
Houston, TX
 
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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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  #9 (permalink)
Market Wizard
Boca Raton
 
Futures Experience: Advanced
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mattz's Avatar
 
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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.

PM with any questions about optimusfutures (800) 771-6748 (561) 367 8686. THERE IS A SUBSTANTIAL RISK OF LOSS IN FUTURES TRADING.
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  #10 (permalink)
Elite Member
San Jose, CA
 
Futures Experience: Intermediate
Platform: Sierra Chart
Broker/Data: IB/IQFeed
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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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