Symbol mapping with continuous contracts?

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Xyzzy
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Symbol mapping with continuous contracts?

Postby Xyzzy » 01 Dec 2011

I have a strategy that is auto-trading the e-mini S&P 500. I am using IB as both the broker and the data provider.

In QuoteManager, I've imported individual contracts for ES, such as ESZ1 (the current contract). I've also created a custom continuous contract for ES, which I've named "E-Mini S&P 500." In MultiCharts, I am currently trading using ESZ1 as the active instrument.

However, is it possible to use the continuous contract ("E-Mini S&P 500") as the active instrument, and have MultiCharts automatically resolve that to ESZ1 using symbol mapping? If I do that, will MultiCharts automatically roll over to the next contract when this one expires, or will I have to manually change the symbol mapping to the next contract at the appropriate time? What is considered to be the "best practice" in this circumstance?

I would ideally like to use symbol mapping with the continuous contract, and have MultiCharts automatically roll over to the next contract when appropriate, without my needing to remember when the roll-over date and change it manually. However, I don't know if that's possible. Thanks in advance.
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JoshM
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Re: Symbol mapping with continuous contracts?

Postby JoshM » 02 Dec 2011

Thanks for that good question Xyzzy, I was wondering the same thing this week. Who can give us an explanation? :)

Regards,
Josh

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Roman MultiCharts
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Re: Symbol mapping with continuous contracts?

Postby Roman MultiCharts » 02 Dec 2011

Hello Xyzzy,

If you use custom continuous futures for trading, you should change the symbol mapping settings for this symbol in accordance with the current traded contract. These settings will be saved into the broker profile. Then when it is the rollover date, you should manually change the symbol mapping settings to the next contract.
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