I found my automated trading system short this morning and I want to roll over to the next expiration (ER2 and EMD). To do it I set market orders to buy (to cover) the december contract and short the march contract with a good after time of 9:30 AM (EST). Theoretically at least I should get a fill with a net gain/loss of zero but I'm sure I'll get screwed somehow. Is there a better way to do the rollover so that I keep my net short position? I could theoretically wait a few days but the position could be open 1-2 weeks and then I'd have the same problem next week when the Dec contract has lost a lot of liquidity. SSB
I'm not sure what you mean by the net gain/loss of zero - but your fills on the 2 different contracts are going to be about 5 points apart.
Bob, Your broker has to have access to the spread market or "best available," just use that to roll your position. Looks like Z5 is trading at an 8 point discount to H6 right now. Pretty simple and knowing how to roll your position should be a prerequisite to trading futures.
The fills will be 5 points apart but theoretically at least I won't lose money on the rollover (other than commissions).
I agree -- yet here I am :eek: Seriously I've been trading futures since April full-time but I've never had a position on rollover date before....just random I guess. I use IB which for ER2 and EMD is giving me a not allowed error on the futures spread, but I'm sure I have full trading rights. Not sure why....I'll need to take it up with them.
My bad I just figured out I needed to enter it as a combo order not a FutSpd order in TWS, then I could have done it. No pain, no gain.....