Automatically Rolling General Contracts

Completed

Follow

rhoracio

• September 10, 2017 15:28
• Edited

similar to R|Trader feature, there would be dedicated contracts with automatic roll e.g.

GC for Front Month for GC - GCZ7

CL for Front Month for CL - CLU7

6E for Front Month for 6E - 6EU7

Automatic roll is performed when on a trading day any further in future contracts has higher volume traded than current contract used in Front Month contract for that same trading day, then on the next trading day we will set highest volume contract to be the front month contract. 

e.g. if GCV7 has a trading day in which it has higher volume traded than GCU7 for that same trading day, then on the next trading day we will set GCV7 to be the front month contract. 

3

• 

  Patrick

  • September 13, 2017 00:05

  Also a way to tell which month and year of the specific contract would be good.   Today I was trading ESU7 and realized volume was very low and did Google search to find out it was old SEPT 17 contract.

  0

  Comment actions Permalink
• 

  Brian Weis

  • July 12, 2018 18:40

  Hello,

  We are implementing a feature that will notify users of the condition where the volume of the contract in your workspace is < the volume of the next expiration.  It will work like this:

  • When the user logs in, we will scan the current workspace for all the contracts the user has loaded
  • We will compare the Volume for those contracts against the next(upcoming expiration)
  • If Current contract volume > Next expiration volume do nothing
  • If Current contract volume < Next expiration volume show this in an informational modal

  The modal will look like the below (note the volume filtering is turned off in this screenshot)

  

  We plan on adding this new feature to our next release, which should be early August.  You will see it in the release notes once available.  

  Thanks Again!

  0

  Comment actions Permalink

Please sign in to leave a comment.