Is it better to roll over index futures during non-regular hours instead of regular hours?

Suppose I have sold 10 front-end index contract. I want to roll over to next month contract. Sounds simple. Buy 10 front-end contract, then sell 10 next-month contract. My worry is this. What if after I buy 10 front-end contract and before I get to sell 10 next-month contract, the price suddenly make a big move.

With this worry in mind, is it better to do roll over when market is less active during non-regular trading hours? I expect big moves in price is far less likely in non-regular trading hours.

What time of day do elitetraders here choose when doing roll over?

 

If doing this manually, just line up both orders and click submit on both within one second of each other.

Best bet timing wise is probably middle of the day.

 

Do you think it's ok to use market orders? Assuming size of transaction is about 4 times the bid size. An example would be bid size is 3 contracts and there are 12 contracts to sell. I am trading Hang Seng Mini futures contract.

 

How much is there at each market depth lower down.

 

Good God, I see this guy getting robbed pretty fast. And, he wants to do it in the AH.

I wouldn't even do a market order on ES unless I'm shitting my pants.

 

Thanks. That is the right question to ask. I don't have the market data to see that. I guess I should to answer my own question.

 

There is an exchange listed spread contract.
While it doesn't seem to be very liquid (i.e. you may be impacted by a larger bid/offer spread), you will avoid the legging risk you seem to fear most.

Unless you want to 'speculate' / trade the roll, the spread contract may be worth looking in to

 

Check the DOM and roll any time the bid volume is bigger than your size. If that's not ever going to be the case, you'll just have to accept the split fill. Market or limit should be about the same.

 

The bid/offers move in lockstep with each other, across the contracts, but of course the spreads get wider the further out you go. The prices may be different, but the movement is not. The chances of the market moving radically in the time it takes you to close the one and open the other is so remote I would not worry about it.

 

Your broker doesn't have a rollover function to do both at the same time?
If not, just call the trading desk and they'll do it