Futures rollover

Discussion in 'Order Execution' started by SideShowBob, Dec 8, 2005.

  1. 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.

  2. Quah


    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.
  3. 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.
  4. Oh sorry I was talking about the spoos, but the idea is the same.
  5. The fills will be 5 points apart but theoretically at least I won't lose money on the rollover (other than commissions).
  6. 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.
  7. 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.....