Rollover triggers for ICEUS - CC? - futures io
futures io futures trading



Rollover triggers for ICEUS - CC?


Discussion in TradeStation

Updated
    1. trending_up 302 views
    2. thumb_up 7 thanks given
    3. group 2 followers
    1. forum 9 posts
    2. attach_file 0 attachments




Welcome to futures io: the largest futures trading community on the planet, with well over 125,000 members
  • Genuine reviews from real traders, not fake reviews from stealth vendors
  • Quality education from leading professional traders
  • We are a friendly, helpful, and positive community
  • We do not tolerate rude behavior, trolling, or vendors advertising in posts
  • We are here to help, just let us know what you need
You'll need to register in order to view the content of the threads and start contributing to our community.  It's free and simple.

-- Big Mike, Site Administrator

(If you already have an account, login at the top of the page)

 
Search this Thread
 

Rollover triggers for ICEUS - CC?

(login for full post details)
  #1 (permalink)
Gothenburg Sweden
 
 
Posts: 64 since Jul 2019
Thanks: 49 given, 18 received

Hi,

I have a strategy for CC (Cocoa) that works well on backtesting on the Tradestation continuous symbol (@CC). Now I want to run it live and I don't prefer to do manual rollovers but would rather be "reminded" by TS to do a rollover and thus prefer to use a rollover trigger.

However I can't seem to find a rollover trigger that works well for this contract. Does anybody know when the @CC contract does the rollover so I can try to closely match that with a rollover trigger?

Regards

Reply With Quote

Can you help answer these questions
from other members on futures io?
Indicators for pair trading MES and M2K
Platforms and Indicators
Reading A set of Trading Signals
EasyLanguage Programming
COTbase for quant trading?
Elite Algorithmic NinjaTrader Trading
EL/PL for FOPs?
EasyLanguage Programming
ZigZag with Depth and Backstep
EasyLanguage Programming
 
Best Threads (Most Thanked)
in the last 7 days on futures io
Battlestations: Show us your trading desks!
124 thanks
Big Mike in Ecuador
37 thanks
Want your NinjaTrader indicator created, free?
31 thanks
Selling Options on Futures?
21 thanks
Saturday Morning Market Replay!
20 thanks
 
(login for full post details)
  #2 (permalink)
Europe
 
Experience: Advanced
Platform: TradeNavigator, BookMap
Trading: ES, CL, 6E, 6B
 
Posts: 459 since Jan 2017
Thanks: 21 given, 402 received


Prophet85 View Post
Hi,

I have a strategy for CC (Cocoa) that works well on backtesting on the Tradestation continuous symbol (@CC). Now I want to run it live and I don't prefer to do manual rollovers but would rather be "reminded" by TS to do a rollover and thus prefer to use a rollover trigger.

However I can't seem to find a rollover trigger that works well for this contract. Does anybody know when the @CC contract does the rollover so I can try to closely match that with a rollover trigger?

Regards

Why the heck are you trading an instrument with such low volume and have to pay expensive ICE fees?

Here you can find available contracts and their volume, if you watch the volume, you should see when to roll: https://www.theice.com/products/7/Cocoa-Futures/expiry

Reply With Quote
 
(login for full post details)
  #3 (permalink)
Gothenburg Sweden
 
 
Posts: 64 since Jul 2019
Thanks: 49 given, 18 received


I appreciate your concern but the strategy I have makes plenty of average net profit per trade to cover high slippage and the monthly live data fee. Also it's nice to trade different contracts as a way to diversify.

However your advice didn't answer my question. I know that TS is not clear about when they switch different future contracts (@CC) but I thought maybe someone had some inputs. I would prefer not to do manual rollovers as I have like 20 different strategies to keep track of and I don't like to manually keep track of when to do roll overs for each.

Edit: when I use the volume rollover trigger the results are vastly different from my backtesting results.

Reply With Quote
The following user says Thank You to Prophet85 for this post:
 
(login for full post details)
  #4 (permalink)
 
 
Posts: 2,979 since Jul 2012
Thanks: 1,576 given, 5,906 received


Prophet85 View Post
Hi,

I have a strategy for CC (Cocoa) that works well on backtesting on the Tradestation continuous symbol (@CC). Now I want to run it live and I don't prefer to do manual rollovers but would rather be "reminded" by TS to do a rollover and thus prefer to use a rollover trigger.

However I can't seem to find a rollover trigger that works well for this contract. Does anybody know when the @CC contract does the rollover so I can try to closely match that with a rollover trigger?

Regards

On your chart, have @CCk21 as data1 - that is what you are trading.

Have @CC as data2.

Create an indicator that calculates data1-data2. As soon as this is not zero, you know it is time to roll.

I actually created a paint bar indicator that does exactly this, and it is freely available, but I can't post it here because of vendor self promotion rules.


Add: I hate the ICE fees, but being able to trade Coffee, Sugar, Cotton, Orange Juice, Cocoa and the Dollar Index is well worth it.

Follow me on Twitter Reply With Quote
The following 3 users say Thank You to kevinkdog for this post:
 
(login for full post details)
  #5 (permalink)
Gothenburg Sweden
 
 
Posts: 64 since Jul 2019
Thanks: 49 given, 18 received


kevinkdog View Post
I actually created a paint bar indicator that does exactly this, and it is freely available, but I can't post it here because of vendor self promotion rules.

I just tried to find it on Google.

Is it perhaps this code?:

//this paint bar will color the most recent bar green if there is a difference in the continuous contracts
//DATA1: the continuous contract you are automating/trading: example @ESZ15, @CLV15
//DATA2: the continuous contract that is always the front month: example @ES, @CL
//so, when the paint bar paints the current bar green from top to bottom on the chart, you will know
that the contract has rolled.
If BarStatus( 1 ) = 2 then begin //check only at close of bar (prevents false signals)
Condition1 = Close[1] of data1 <> Close[1] of data2 ;
Condition2 = Close[2] of data1 <> Close[2] of data2 ; //see if this makes a difference in false signals
end;
Value1 = GetAppInfo(aiHighestDispValue) ;
Value2 = GetAppInfo(aiLowestDispValue) ;
if Condition1 and Condition2 and LastBaronChart then
begin
PlotPaintBar( Value1, Value2,open,close,"plot1",green,value1,5 ) ;
Alert ;
end ;

Reply With Quote
 
(login for full post details)
  #6 (permalink)
 
 
Posts: 2,979 since Jul 2012
Thanks: 1,576 given, 5,906 received


Prophet85 View Post
I just tried to find it on Google.

Is it perhaps this code?:

//this paint bar will color the most recent bar green if there is a difference in the continuous contracts
//DATA1: the continuous contract you are automating/trading: example @ESZ15, @CLV15
//DATA2: the continuous contract that is always the front month: example @ES, @CL
//so, when the paint bar paints the current bar green from top to bottom on the chart, you will know
that the contract has rolled.
If BarStatus( 1 ) = 2 then begin //check only at close of bar (prevents false signals)
Condition1 = Close[1] of data1 <> Close[1] of data2 ;
Condition2 = Close[2] of data1 <> Close[2] of data2 ; //see if this makes a difference in false signals
end;
Value1 = GetAppInfo(aiHighestDispValue) ;
Value2 = GetAppInfo(aiLowestDispValue) ;
if Condition1 and Condition2 and LastBaronChart then
begin
PlotPaintBar( Value1, Value2,open,close,"plot1",green,value1,5 ) ;
Alert ;
end ;

That looks like it, you could test it today on Natural Gas, it just rolled from H to J. You should see green bar with @NGH21/@NG, but not with @NGJ21/@NG - that tells you that NGJ21 is the current contract.

Follow me on Twitter Reply With Quote
The following 2 users say Thank You to kevinkdog for this post:
 
(login for full post details)
  #7 (permalink)
Gothenburg Sweden
 
 
Posts: 64 since Jul 2019
Thanks: 49 given, 18 received


kevinkdog View Post
That looks like it, you could test it today on Natural Gas, it just rolled from H to J. You should see green bar with @NGH21/@NG, but not with @NGJ21/@NG - that tells you that NGJ21 is the current contract.

Awesome, thank you!

You are a great help as always. I will test it out in a bit!

Just a question. The timeframe for the data2 has to be the same as data1 I assume?

Reply With Quote
 
(login for full post details)
  #8 (permalink)
 
 
Posts: 2,979 since Jul 2012
Thanks: 1,576 given, 5,906 received


Prophet85 View Post
Awesome, thank you!

You are a great help as always. I will test it out in a bit!

Just a question. The timeframe for the data2 has to be the same as data1 I assume?

yes

Follow me on Twitter Reply With Quote
 
(login for full post details)
  #9 (permalink)
Gothenburg Sweden
 
 
Posts: 64 since Jul 2019
Thanks: 49 given, 18 received


kevinkdog View Post
yes

Just one more question. If I have a session on data1 do I have to make the exact same session on data2 also?

Reply With Quote
 
(login for full post details)
  #10 (permalink)
 
 
Posts: 2,979 since Jul 2012
Thanks: 1,576 given, 5,906 received



Prophet85 View Post
Just one more question. If I have a session on data1 do I have to make the exact same session on data2 also?

yes, make it exactly the same in all respects, except for the symbol name

Follow me on Twitter Reply With Quote
The following user says Thank You to kevinkdog for this post:


futures io Trading Community Platforms and Indicators TradeStation > Rollover triggers for ICEUS - CC?


Last Updated on February 22, 2021


Upcoming Webinars and Events
 

NinjaTrader Indicator Challenge!

Ongoing
 

Battlestations! Show us your trading desk - $1,500 in prizes!

March
 

Importance of Finding Your Own Way w/Adam Grimes

Elite only
 

Journal Challenge w/Jigsaw

April
     



Copyright © 2021 by futures io, s.a., Av Ricardo J. Alfaro, Century Tower, Panama, +507 833-9432, info@futures.io
All information is for educational use only and is not investment advice.
There is a substantial risk of loss in trading commodity futures, stocks, options and foreign exchange products. Past performance is not indicative of future results.
no new posts