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Is there a definitive day I can always assume the front month will change? for a particular set of futures will it always be Thursday a week before the expiration Friday, and is it reliable? i could see my algorithms getting in to trouble if they start trading on the wrong contract. so I would like to protect against that.
people say look at the volume, but you can only do that in hindsight. if i am trading an open in the wrong contract i will get some nasty results.
Can you help answer these questions from other members on NexusFi?
The front month is supposed to be the most liquid contract.
There is no 'hard rule', there is however guidance where the roll-over happens.
The trick is to look at the different expiry dates, once the next maturity trades more volume than the
current month, then it is time to roll-over to the next month and this becomes the 'front-month'.
On the CME website it is very easy to see the different volumes as this example :
yes i understand, but i need to know before open which contract will be the front contract. i cant wait for volume to develop. if there is a huge volume shift every time, it should be obvious before open when this was going to happen, because if noone knew, then there would be volume on both lol.
This is a subject you'll probably need to do your own homework on, depending on the instrument.
There are certain instruments where you can guess the rollover date before the open with a reasonable amount of certainty, however.
For example, CL will usually rollover to the next month 3 business days before the settlement date which is published in advance on the CME website (someone correct me if I'm wrong on this).
Also, CME publishes their own suggested roll dates for the equity indices: Equity Index Roll Dates
In any case, your algos will be fine if you're just 1 day late rolling. There's gonna be plenty of liquidity through at least the day after rollover.
