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Rollover for automated strategies


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Rollover for automated strategies

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  #1 (permalink)
Gothenburg Sweden
 
 
Posts: 63 since Jul 2019
Thanks: 49 given, 18 received

Hi,

I am used to automated daytrading future strategies so I don't have to do rollovers. However now I have a multiday strategy that I want to automate where rollovers sooner or later will be a "problem". When it is time for a rollover I will simply close the current position for the expiring contract and then change the contract of the chart to next months contract symbol and then manually reenter the trade with the new contract.

Now I have a couple of questions:

1. How does the TradeManager react to this? When I close the position I assume that the position match will indicate "false" but when I change the contract on the chart for that strategy and manually buy a new contract it will change back to "true" right? When the exit criteria for that strategy is fulfilled the trade will automatically exit right?

2. What happens with the set stop losses? Will the stop loss reset when I do the rollover or will any previous losses carry over? Let's say I have a set stop loss of $2000 and I close the position with a loss of $1000 and then open a new position. Will that newly opened position close at another $1000 loss or will it only close if I loose another $2000 making the total loss $3000 instead of the set stop loss amount of $2000?

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  #2 (permalink)
Legendary Market Wizard
Houston, TX
 
Experience: Advanced
Platform: Trading Technologies
Broker: Primary Advantage Futures. Also ED&F and Tradestation
Trading: Primarily Energy but also a little GE, GC, SI & Bitcoin
 
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Prophet85 View Post
I am used to automated daytrading future strategies so I don't have to do rollovers. However now I have a multiday strategy that I want to automate where rollovers sooner or later will be a "problem". When it is time for a rollover I will simply close the current position for the expiring contract and then change the contract of the chart to next months contract symbol and then manually reenter the trade with the new contract.

Annoyingly yes. While there is probably an exchange listed spread, and potentially even a 'Trade at Settlement' exchange listed spread, which would almost guarantee you achieve the same rollover that Tradestation assumes, Tradestation does not give you access to those instruments. So Yes. Two trades with full slippage!

Prophet85 View Post
1. How does the TradeManager react to this? When I close the position I assume that the position match will indicate "false" but when I change the contract on the chart for that strategy and manually buy a new contract it will change back to "true" right? When the exit criteria for that strategy is fulfilled the trade will automatically exit right?

Correct

Prophet85 View Post
2. What happens with the set stop losses? Will the stop loss reset when I do the rollover or will any previous losses carry over? Let's say I have a set stop loss of $2000 and I close the position with a loss of $1000 and then open a new position. Will that newly opened position close at another $1000 loss or will it only close if I loose another $2000 making the total loss $3000 instead of the set stop loss amount of $2000?

The stop loss will still be based upon the expected entry price which is rollover adjusted. This should be almost identical to your actual entry but sometimes due to rollovers it could change a little.

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  #3 (permalink)
Gothenburg Sweden
 
 
Posts: 63 since Jul 2019
Thanks: 49 given, 18 received



SMCJB View Post
The stop loss will still be based upon the expected entry price which is rollover adjusted. This should be almost identical to your actual entry but sometimes due to rollovers it could change a little.

Thank you for the answers. Does this still apply if I send strategy generated stop orders directly to the Tradestation order execution network (setting under properties for all --> automation)?

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  #4 (permalink)
Legendary Market Wizard
Houston, TX
 
Experience: Advanced
Platform: Trading Technologies
Broker: Primary Advantage Futures. Also ED&F and Tradestation
Trading: Primarily Energy but also a little GE, GC, SI & Bitcoin
 
Posts: 3,968 since Dec 2013
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I believe there are three ways you can have stops work.
A) Your software monitors the market and generates the exit order, when the conditions that meet the stop are met.
B) Your software sends the stop to your broker, who executes the order when the conditions that meet the stop are met.
C) Your software sends the stop to the exchange who executes the order when the conditions that meet the stop are met.

Since C is faster than B which is faster than A, it follows that in most cases C is better than B which is better than A.

The big problem with A is that is slow and is dependent upon your software being connected to your broker.

So why wouldn't you always use C? Well not all exchanges have native 'stop order types'. Also some brokers/software don't have the functionality to use it.

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  #5 (permalink)
Gothenburg Sweden
 
 
Posts: 63 since Jul 2019
Thanks: 49 given, 18 received


SMCJB View Post
I believe there are three ways you can have stops work.
A) Your software monitors the market and generates the exit order, when the conditions that meet the stop are met.
B) Your software sends the stop to your broker, who executes the order when the conditions that meet the stop are met.
C) Your software sends the stop to the exchange who executes the order when the conditions that meet the stop are met.

Since C is faster than B which is faster than A, it follows that in most cases C is better than B which is better than A.

The big problem with A is that is slow and is dependent upon your software being connected to your broker.

So why wouldn't you always use C? Well not all exchanges have native 'stop order types'. Also some brokers/software don't have the functionality to use it.

Great way of explaining it. Thank you

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