IB/MC: How to manage Rollover  [SOLVED]

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no erocla
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IB/MC: How to manage Rollover

Postby no erocla » 10 Mar 2016

Hi guys,

which is the best way to manage futures rollover through automated trading ?
The best way should be to trade continuos futures, but i can't retrieve this data through API from QM.

Any idea ?

Best Regards
No Erocla

tony
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Re: IB/MC: How to manage Rollover

Postby tony » 10 Mar 2016

You can't trade the continuous contract, but there is no such instrument that can be traded. It's purely for evaluation purposes. I manually symbol map as each new contracts becomes the higher volume contract to trade.

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Henry MultiСharts
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Re: IB/MC: How to manage Rollover  [SOLVED]

Postby Henry MultiСharts » 19 Apr 2016

You can't trade the continuous contract, but there is no such instrument that can be traded. It's purely for evaluation purposes. I manually symbol map as each new contracts becomes the higher volume contract to trade.
This is not exactly correct.

Custom Futures instrument can be used for trading.
In order to place orders from a custom futures chart in MultiCharts/Portfolio Trader – that is required to manually add Symbol Mapping entry: Custom Futures to current front month contract/the one you need to trade.
Here is how to do that:
https://www.multicharts.com/trading-sof ... ol_Mapping
You will need to manually remap the custom futures/continuous contract to the front month contract when futures rollover.
MultiCharts will not cancel and replace the orders with the new contract month.
You need to do that manually or contact your broker for assistance.

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Re: IB/MC: How to manage Rollover

Postby DaveAronow » 24 Apr 2016

Is there any way to determine which month contract is the current one in a custom futures data set? For example when I load my custom futures can I tell what the current highest volume is directly via either a function or something else? Or do I have to figure it out manually/externally?

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Henry MultiСharts
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Re: IB/MC: How to manage Rollover

Postby Henry MultiСharts » 25 Apr 2016

Is there any way to determine which month contract is the current one in a custom futures data set? For example when I load my custom futures can I tell what the current highest volume is directly via either a function or something else? Or do I have to figure it out manually/externally?
Hello DaveAronow,

In MultiCharts 10.0 Beta 1 we will add a new reserved word "getrtsymbolname" which will return the realtime symbol name that Custom Futures is currently using on the chart.

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pcrespo
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Re: IB/MC: How to manage Rollover

Postby pcrespo » 16 Aug 2016

If I map IQFeed's @ES#C to IB's ESU6 for example, and I am using @ES#C (which I used for development & testing) in the Portfolio Trader (PT) Strategy Instruments section for both Tradeable and Informational, then PT would be using IQFeed's price data to fire signals and manage trades, but executions would be based on IB's (broker) price data obviously. Given possible differences between the two data sources, I feel I should stay away from this configuration.
--Do most people use this "dual" IQF/IB data configuration without issues?

--Is there a way to configure PT so that the strategy's actions (some lookbacks longer than 3 months) are triggered based on IB's live data given that IB does not have a continued back-adjusted ES symbol?
--How would I then handle rollovers when the rollover needs to happen while the strategy has a position (w/stops and targets) on?

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Kristina MultiCharts
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Re: IB/MC: How to manage Rollover

Postby Kristina MultiCharts » 19 Aug 2016

Hello pcrespo,

Yes, there are quite a few clients using IQFeed/IB configuration without any issues.

Unfortunately, there is no way to combine IQFeed historical data with IB historical data (for three recent months) and IB live data in Portfolio Trader. But you can add symbol from IQFeed in PT and configure symbol mapping to IB in IB Broker Profile in MultiCharts window. This way your strategy will be calculated based on IQFeed data but executed on IB prices.

The best option to handle the rollover would be to make sure that you don't have open positions on the symbols that are about to expire and to configure new IB symbols in Symbol mapping window couple of days before the rollover.

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Re: IB/MC: How to manage Rollover

Postby zfsamzfsam » 27 Aug 2016

Is there any way to determine which month contract is the current one in a custom futures data set? For example when I load my custom futures can I tell what the current highest volume is directly via either a function or something else? Or do I have to figure it out manually/externally?
Hello DaveAronow,

In MultiCharts 10.0 Beta 1 we will add a new reserved word "getrtsymbolname" which will return the realtime symbol name that Custom Futures is currently using on the chart.

Could MC add functions GetSymbolName(x),GetSymbolRolloverDateTime(x),GetSymbolCurrentPostion(x),...?
X:
0 - realtime
1 - previous
2 - ...

Further,Could MC close a position in GetSymbolName(previous) if GetSymbolName(previous) has a Position?

Thanks.


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