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Thanks for taking the time to reply @Overnight. You failed to read my OP through to the end... "I have an automated system for trading various Index and Commodity futures and I'd like to program this change so it is handled automatically." Though I have an idea of how the contract switch is...

Thank you for this link. So, if I am day trading (scalping) the S&P E-minis, should I switch to the September '23 contract on the Roll Date of 6/12, or the Expiration Date of 6/16?

I appreciate this information, however, the "last trade date" is usually too late to be switching contracts as the volume has already fallen and most traders are already trading the next expiration.

Building an automated futures trading system

Building a comprehensive trade automation system using modern analysis and broker integration solutions.

Is there a reference source that I can use to determine the exact date when I should switch the monthly/quarterly expiration of the futures contracts I am trading? I believe this is based on the number of contracts being traded of the different expirations, but that is more of a hit-or-miss...

If your objective is to make reliable returns using an automated trading system, look up some already available systems. The path to being a developer of automated trading systems emphasizes the less important skills, i.e. development. Understanding technical analysis and trading experience...

Getting ready to retire and be a part-time trader.