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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?
Can you help answer these questions from other members on NexusFi?
Trading: Primarily Energy but also a little Equities, Fixed Income, Metals and Crypto.
Frequency: Many times daily
Duration: Never
Posts: 5,049 since Dec 2013
Thanks Given: 4,388
Thanks Received: 10,207
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!
Correct
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)?
Trading: Primarily Energy but also a little Equities, Fixed Income, Metals and Crypto.
Frequency: Many times daily
Duration: Never
Posts: 5,049 since Dec 2013
Thanks Given: 4,388
Thanks Received: 10,207
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.
