Need to know the exact date to switch futures expiration.

[Artech]

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 when the volume starts to shift.
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.
Thanks in advance for any responses.

 

[Drawdown Addict]

Your broker should provide the contract specification, and that will contain the last date they will allow you to trade. As an example for MNQ with IB:

 

[schizo]

You can get that info directly from the exchanges those instruments are traded. For instance, here's the link to CME's rollover date calendar for their equity products:

https://www.cmegroup.com/trading/equity-index/rolldates.html

 

[Overnight]

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 when the volume starts to shift.
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.
Thanks in advance for any responses.

It depends on the instrument and exchange you are trading. Therefore you will have to look at the specs of each contract you trade and write them down in a list.

A good rule of thumb is 5 trading days before expiry.

Here's GC for example...

https://www.cmegroup.com/markets/metals/precious/gold.contractSpecs.html

 

[Artech]

Your broker should provide the contract specification, and that will contain the last date they will allow you to trade. As an example for MNQ with IB:

View attachment 311100

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.

 

[hilmy83]

Usually around the second week of expiration month, check the opening asian session volume between contract months posted on CME. The higher volume contract will be the one you switch to

 

[SunTrader]

I created a watchlist on the CME website and check it each morning for settlement prices and doublechecking volume/open interest I have against what TradeStation shows.

This page automatically changes over to next contract near quarter end. Yup some might consider it a pain to look each day but for rollover periods how many days would that typically be - 5 or 6?

I could just code in dates in advance but I'm too lazy to do that.

https://www.cmegroup.com/watchlists/details.1676297425832314348.C.html

 

[Artech]

You can get that info directly from the exchanges those instruments are traded. For instance, here's the link to CME's rollover date calendar for their equity products:

https://www.cmegroup.com/trading/equity-index/rolldates.html

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?

 

[maxinger]

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.

You already know the answer;
Start to roll over when the volume starts to down.

You roll over :
on the day of expiration (eg Dax, stoxx50)***
about 2 days before the expiration date (eg Hangseng)
around 3 days to a week before the expiration date (eg India Nifty)
about a week before the expiration date (eg ES ....)
a few weeks before the expiration date (eg copper ....)

*** Europeans are very interesting people




You should display a list of contracts for a particular product.
Then look at their volume.
Obviously, you'd choose the contract with the biggest volume to trade.

When the next contract shows a bigger volume than the contract
you are currently trading, then start to roll over.


Why must you display a list of contracts?
Look at Nikkei.
You don't ever trade Jan Feb Apr May Jul Aug Oct Nov contracts due to their poor volume!!!
Trade Mar Jun Sep Dec contracts only.

 

[Overnight]

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?

Damn, dude, you have not read one single post in this thread. And you answered your own question in your OP.

"...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 when the volume starts to shift..."

So you still do not know if you should switch on the roll date, or the LTD? Stick with the volume method, you live longer.

You know how when a forward equity contract first opens, it has a very large spread compared to the front month? The same thing happens in between the FND (First Notice Day, or what you could call the roll date) and LTD of an expiring contract. The closer you get to expiry (LTD), the wider the spread becomes, as the volume goes away.

Volume volume volume. Or you could just memorize the specs. That is always an option.