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These sound like commands in some trading platform's language. You'll need to tell people what platform you are trading on, so they will have an idea what you mean, and so someone who is familiar with it can respond.
Also, one part of your question is a general-purpose request for information about holding overnight/weekends/expiry -- which is a general question about futures -- and another part looks like it could quickly become a technical matter of coding your strategy for those events in your trading platform's language. These questions really need to go to different groups of people, or you'll get a lot of replies such as what you got from @josh: "I have no idea what that means." You can see the problem.
So, if you're looking for technical pointers, it would be better to ask technical questions in the section devoted to your specific platform, whether NinjaTrader, Sierra Chart, TradeStation or whatever it is, with a thread title that makes it clear that you are looking for help with coding your strategy for these events.
If you like, I can move this thread if you can tell me what platform you are using. Or you can open a new thread yourself, to address the specific technical questions you have. Or, if you want to leave it here that would be fine, but tell us what platform you are using the strategy on.
Bob.
When one door closes, another opens.
-- Cervantes, Don Quixote
As Josh mentioned, if your Stop is server-side, it will remain there -- even if you are offline -- until it gets tripped and executes during market hours... or until it cancels (either manually by you, or automatically based on Time in Force).
Since you will be holding overnight, but especially since you will be holding over the weekend, another thing you should be aware of is, the CME implements something called "Stop Order with Protection," which involves "protection" points, with those points being determined based on half of the "Non-Reviewable Range" for whatever symbol you are trading.
For those new to automation via NT8 I would recommend:
1) Start with "Managed Orders" and the conservative default setting of RealtimeErrorHandling.StopCancelClose
Note: Learning and doing the hard work to code in conformance with the pain-in-the-neck rules required for Managed Orders will give you foundation of Exchange and Broker order management expectations that are important to understand if you later switch to UnManaged Orders.
2) Capture / Log all Error messages and Strategy aborts occurring during Sim, Replay and Live trading.
3) Plan, code, test, deploy fixes to correct or mitigate all UNWANTED Error Messages and Strategy aborts.
4) Now that you have had some hands-on experience decide what ErrorHandling setting best will meet your current goals.
5) Plan, code, test, deploy fixes to correct or mitigate all Errors that will occur if you switch to a less conservative ErrorHandling setting.
5a) Do what NinjaTrader does for you by default and attempt to immediately close all orders, completely flattening your position and shut off the strategy?
5b) Submit a lower Market Order but greater slippage Market Order at the same Quantity and Direction to replace the Limit order that was just rejected?
5c) Add and address the remaining scenarios that COULD occur and the response you will code and then test, test, test, test, test, and test.
It might be 2 questions... There must be traders that hold contracts over a longer period than a day. Since I've never done this, I'm wondering if they have any general advice.
I've come to the conclusion with back testing that a longer time frame eliminates a lot of noise. But I feel like I'm entering new territory without knowing the pit falls.
I really would like to hold the M2K contract over the weekend to let the strategy playout, I’m not sure if anyone does this? If no one does, then that tells me what I need to know.
RealtimeErrorHandling is a NinjaTrader Stratagy setup command that sets how a contract is handled if the feed is dropped.
For a position that is large given the size of my portfolio .. sure for fun in Sim maybe.
An over-weekend hold is Sooooo much riskier than a weekday overnight hold because while the market is closed and stops cant pull you out when many world events take place.
A skirmish over an oil field, a war breaks out or major scandal surfaces and that over-weekend trade could suffer MASSIVE LOSSES.
Holding overnight while the market is open ~23x5 means that your stops will fire as the market reaches those marks and is potentially more likely to save you from massive losses when the market moves against you big in response to a world event.
Many an account killing trade have take place as the opening price for a contract on Sunday at 5pm is far, far, far away and against where the trader's position closed on Friday.
Overall, any well researched and testing strategy is viable. Just put more careful attention to the Risk Management planning when the risk for a trade increases so that you will live to trade another day if the market moves horribly against you.
If I may say so, the following is really critical to understand. Many new day traders live in a huge bubble without understanding the big picture. Please read this and understand it.
The world is *so* much bigger than the sample size of what you see traders doing on this site. Understand that tens of trillions of dollars of capital "goes home long" every weekend in the form of holding equities and other financial products. The *exception* are the short term traders who contribute very little in terms of market influence--they do *not* go home long.
As for catastrophic events that can occur over the weekend, sure, it happens. If this bothers you and you're risk averse, don't go home with a position size such that a 5% move down would cause a catastrophic loss. Limit down in equity index futures is 5%. This means that on the Sunday open, if WW3 has erupted, you can not be down more than 5% from Friday's close. Of course, this would mean that if you're long, you can't sell, and on the open the circuit breaker could immediately trigger at a 7% loss, and then you go down that route.
It's good to understand all of the above, for sure. However, please don't base your trading strategy on this, as it's truly a tail event. And, you're trading M2K. Not exactly big money... if you're long 5 over a weekend, you must have a $10K or so account, and a 5% decline at current levels gives you $2500 loss. Quite hard to swallow, but certainly not devastating. Let's put it another way: if something causes the market to unexpectedly drop 5% over a weekend, there may be a good chance that you have bigger things to be concerned with than losing a few hundred dollars.
Speaking of that, let's talk about what professional money managers do. They don't use stops (blanket statement, but largely true--of course they use stops sometimes, but institutional money hedges). They use options to hedge their risk. Let's say you want to go home long M2K. Well, your best bet, if you really want to hedge your exposure, is to buy an equivalent number of MES puts expiring the following Friday. Say, something about 2-3% OTM. I'd under-hedge, something like 50% of your position (if long 4 M2K, buy 2 MES puts). This gives you some protection, but not so much that you're eating away any potential profits.
So, I'd recommend you think about using options to manage your risk for longer term positions. MES is not, especially in this environment, an equivalent proxy for M2K, but it's close enough in case of a tail event, in which case everything would get slammed in unison.
Edit: let me explain something about margin as it relates to this. The exchange-mandated margin you must provide per M2K contract is $650. This means that the exchange is confident that during the downtime (between days, and over the weekend), the M2K is not likely to gap more than $650/$5 => 130 points. Not surprisingly, this is about 6%, which relates to what I mentioned above. That is, the margin requirements are there to protect everyone (including them), and so you should not be expecting a 6% move.
From my perspective, and from my understanding, if you are holding over the weekend and a national/international incident occurs that causes a major price shock, and when the futures start trading again on Sunday, price opens significantly lower than where you placed your Stop:
The "Stop Order with Protection" will prevent you from being automatically Stopped Out and suffering a massive loss (unless the price drop is severe enough to eat up your maintenance margin and your broker's risk management software closes the position for you). That will give you time to ascertain whether you believe the price shock was structural or more knee-jerk reaction. You would then have two options: close the position yourself and take the loss... or keep your fingers crossed, ride it out, and hope price recovers.
.
You have it right -- but to be clear, there's no way (that I can think of) that the Sunday open could create losses greater than the maintenance margin, as that margin is greater than the losses that would be incurred from a limit up/down move. Once the cash open occurs, however, it becomes a different story (brokers would likely raise margin to exchange mandated margin in such situations, however, and during cash hours when limits can reach up to 20% down, then liquidation becomes much more likely.
You can see the problem.
