SmartQuant Discussion

Future Rollover
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Author:  bill [ Wed Sep 23, 2009 3:30 pm ]
Post subject:  Future Rollover

I'm planning to start papertrade in near future with interactive broker. As I'm trading 50 markets (only futures) one issue of course is very important: futures rollovers.

I have built historic data based on continous contract data where the switch happened when open interest became large in the back month.
I'm not using any feed for the time being, however once trading start I will be getting data from IB.

So my question is, how can I change the symbol on an existing instrument (that would be manual switch from front to back month). Would I then have to buy/sell, sell/buy resp. to process rollovers?

Anybody experienced with this issue. I guess I'm not the only one facing this problem...

Any comments appreciated.

Author:  Dr. Anton Fokin [ Wed Sep 23, 2009 4:15 pm ]
Post subject: 

Have you searched this forum for "rollover"?


Author:  bill [ Wed Sep 23, 2009 4:39 pm ]
Post subject: 

Yes I did.
One topic which seems to hopefully hold the answer is:
Instrument Maintenance: Continuous futures contracts
However when clicking on that post I get following message:
the topic or post you requested does not exist :cry:

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