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Holding futures overnight


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Holding futures overnight

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  #1 (permalink)
 Azzzz 
Ontario
 
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Any tips on hold future contracts overnight, over the weekend and at expiry dates.
Strategies with higher time frames need to be held since the trade could be many days.
My provider cuts my data feed every Saturday for a few hours.
Any guidance would be greatly appreciated.

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  #2 (permalink)
ondafringe
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Tips would probably depend on what you're trading.

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 Azzzz 
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At the moment M2K only.

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 josh 
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What "tips" do you mean exactly? What is the current issue or difficulty?

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 Azzzz 
Ontario
 
Experience: Intermediate
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I'm trading with a strategy that handles both the entries and exits
Do I need to do anything with an open M2K contract at expiry date?
Also each weekend my feed is shut off for a few hours, are my stop still valid?
Do I close out and buy back in. Not something I want to do since one of the advantages of a longer trade is that there are less commission fees.

What RealtimeErrorHandling would be best?

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 josh 
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Azzzz View Post
I'm trading with a strategy that handles both the entries and exits
Do I need to do anything with an open M2K contract at expiry date?
Also each weekend my feed is shut off for a few hours, are my stop still valid?
Do I close out and buy back in. Not something I want to do since one of the advantages of a longer trade is that there are less commission fees.

What RealtimeErrorHandling would be best?

I wouldn't recommend you hold to expiry. Last trade in a contract is one week after the volume shifts to the new contract (for example, rollover from Sep to Dec is Sept 10. Last trade for Sep is Sep 17). See https://www.cmegroup.com/markets/equities/russell/micro-e-mini-russell-2000.calendar.html and https://www.cmegroup.com/trading/equity-index/rolldates.html .

At that point the contract will be quite illiquid, so if you plan to continue to hold, simply roll to Dec the week prior, on Sep 10. If you do nothing and it expires while you hold it (again, no reason to let this happen), you will get the cash amount debited or credited relative to your already marked-to-market position, based on where it settles (CME probably has some good resources if you are really interested).

When the market is not open, you can't execute a transaction. In other words, your stop is not executed on a Saturday because the exchange is not trading. This has nothing to do with your broker limiting access to your data feed. You couldn't add, remove, or modify a stop anyway on a Saturday, even if you had access to your broker.

Imagine you are holding long on a Friday, and over the weekend something causes the market to turn down. It opens 200 points lower. You will only be able to buy or sell at the open, down 200 points. Think of the premium you get by holding overnight as a compensation for the risk you necessarily take when you hold into the close or over a weekend. The good news is, there's only one hour of risk per day (5pm - 6pm ET) where Russell futures don't trade, and that's a very quiet window for anything major to happen. Weekends are of course a bit more risky, necessarily. This is all up to your personal risk appetite.

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 Azzzz 
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Thanks Josh

What would you recommend for RealtimeErrorHandling?

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 josh 
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Azzzz View Post
What would you recommend for RealtimeErrorHandling?

I have no idea what that means.

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 Azzzz 
Ontario
 
Experience: Intermediate
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Since the stratagy will be running all week there is a chance that the feed might be dropped and I can't monitor it 24/7. Even if I sent myself a text when it happens it might be many hours before I can look at it.

These are my options and I was wondering how other trades handle this.


RealtimeErrorHandling.IgnoreAllErrors
Ignores any order errors received by the strategy and will continue running.

RealtimeErrorHandling.StopCancelClose
Default behavior of a strategy

RealtimeErrorHandling.StopCancelCloseIgnoreRejects
Will perform default behavior on all errors except order rejections

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 tr8er 
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Azzzz View Post
Since the stratagy will be running all week there is a chance that the feed might be dropped and I can't monitor it 24/7. Even if I sent myself a text when it happens it might be many hours before I can look at it.

These are my options and I was wondering how other trades handle this.


RealtimeErrorHandling.IgnoreAllErrors
Ignores any order errors received by the strategy and will continue running.

RealtimeErrorHandling.StopCancelClose
Default behavior of a strategy

RealtimeErrorHandling.StopCancelCloseIgnoreRejects
Will perform default behavior on all errors except order rejections

You just have to have a broker/platform where your orders are held server-side

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