Hello All,

Are you familiar with TradeStation's decision rule on when to roll the front month of various Futures products? Do they have a pre-defined schedule for each Future or do they employ some sort of volume rule? In any case, I would be glad if someone could include a reference from them for any answer.

Thank you in advance,
Isaac

TradeManager 

Hello All, Are you familiar with TradeStation's decision rule on when to roll the front month of various Futures products? Do they have a pre-defined schedule for each Future or do they employ some sort of volume rule? In any case, I would be glad if someone could include a reference from them for any answer. Thank you in advance, Isaac

TradeStation user for many years, it is your decision on when to rollover your contract. Typically traders rollover on the second Thursday of the expiration month, December Z, March H, June M, or September U.

See: https://www.cmegroup.com/education/courses/introduction-to-futures/understanding-futures-expiration-contract-roll.html

TradeManager 

Are you familiar with TradeStation's decision rule on when to roll the front month of various Futures products? Do they have a pre-defined schedule for each Future or do they employ some sort of volume rule? In any case, I would be glad if someone could include a reference from them for any answer.

If you are talking about Tradestation's Continuous Contract DATA they all have defined rollovers based upon days to expiry (not volume). The rules are different for each contract. I think in most cases these rolls used to be based upon historical trading volumes but they are old now, and things have changed. Hence for some contracts there is now a mismatch between Continuous Contract rollover date and volume change. Also the rules/number of days have changed over time with no way to know/see. For example they recently changed the rollover of ES.

Should be noted that if you have a position when rollover occurs you will have to perform the actual roll yourself. Tradestation does not do this for you. They also don't make it easy, as they don't allow you access to the exchange traded spread/roll contracts, or any of the trade at Settlement Contracts.

SMCJB 

If you are talking about Tradestation's Continuous Contract DATA they all have defined rollovers based upon days to expiry (not volume). The rules are different for each contract. I think in most cases these rolls used to be based upon historical trading volumes but they are old now, and things have changed. Hence for some contracts there is now a mismatch between Continuous Contract rollover date and volume change. Also the rules/number of days have changed over time with no way to know/see. For example they recently changed the rollover of ES. Should be noted that if you have a position when rollover occurs you will have to perform the actual roll yourself. Tradestation does not do this for you. They also don't make it easy, as they don't allow you access to the exchange traded spread/roll contracts, or any of the trade at Settlement Contracts.

Thank you for your helpful reply. I was, indeed, referring to Tradestation's Continuous Contract. Do you happen to have in any case a schedule (even if it is outdated of popular contracts rollover rules - I suspected they rollover based on days to expiry and tried to keep notes on when they roll their continuous contracts for some dozen symbols I follow, but either it wasn't consisntent or I didn't do it well enough.)

Thank you in advance,
Isaac