Roll Over inconveniences

• 09/13/2024 at 11:44 AM #237536
  JS

  It’s time to roll over the futures again, with all the inconveniences that entails…

   During the introduction of IBKR (January 2023), Nicolas wrote the following:

  Current limitations and differences with ProOrder on CFD:

  1. no trailing stop instruction (currently being developed in order to act the same on any different broker using ProOrder) – It means that: ** SET STOP TRAILING is not possible **
  2. ProOrder codes are stopped on rollover of Futures contract – It means that: On each rollover of contract the strategy must be re-started.

  Be aware that these are temporary and will be modified for better ease in the next upcoming weeks.

  Unfortunately, more than 20 months have passed, and still no solution…

  

  JS

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  10/06/2024 at 10:15 AM #238535
  justisan

  yep, that would be great to hear if there are such plans for both points to be solved for futures. while I don’t use “set stop trailing” I would be personally very much interested in solution regarding rollovers of contracts, since it affects basically all traders / all strategies.

  before solution for 2) is implemented, I would be curious how you JS and others traders dealing with futures work around the issue. did you test how your strategies are doing on the expiration days? for myself I collected dates of dax futures expirations for last approx 15 years and tested the performance of all my major strategies by simply not trading, meaning ignoring entry signals on those days. the outcome was that majority of strategies, especially those trading long, were doing more or less better while not trading on expiration day. very few were doing worse, but not significantly. so my decision in the end was – by code “quit” all strategies in the evening before expiration (some in the morning of expiration), and then restart all next monday. with 7 strategies which I am running live on dax futures it’s easy job luckily. by far not perfect solution, but I don’t see better options, and somehow I do not have big hopes that PRT/IB will manage automatic rollover of positions with their strategies in the background soon.

  cheers

  justisan

  

  justisan

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  10/06/2024 at 12:37 PM #238536
  JS

  I usually roll over a week (on Friday) before the expiration, to avoid the actual expiration date with all its unpredictable powers.

  A week before expiration, the liquidity (pricing) of the new contract is already at a reasonable level.

  For the trailing stop, I use one of the modified versions of the forum.

  

  JS

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  10/06/2024 at 6:38 PM #238548
  PeterSt

  Jaap, justisan refers to the DAX. The DAX affectively has one day of such a margin only (between RollOver and Expiration).
  For CME Futures we are in agreement, although that week some times is too few for AutoTrading. And something to notice : I had automated the exit of the AutoTrading Strategy 1 week prior to expiration so it would wake me automatically, but since last July that mechanism does not work any more because PRT will close your position by that activity (Quit in the code). So it got worse.

  The promise to do something about the Rollover exists towards me for many years by now and goes beyond the AutoTrading allowed for IB (the latter now indeed something like 20 months). It just won’t happen.
  (as it seems)

  
  @justisan, The DAX actually requires “behavior” like with Gold and such; there people start to Roll Over a month prior. For Gold (and cattle and all) this has its reasons (Physical delivery when not careful / in time), but with DAX people could do it just the same. This is only a matter of a few starting to do it. Haha.

  Peter

  

  PeterSt

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