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Future contracts roll-over

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ProOrder: Automated Strategies & Backtesting
Future contracts roll-over

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07/24/2023 at 2:38 PM #218079 quote

PeterSt
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GraHal wrote:

So are you saying you code it into your System for the 5 day pre-expiry of Futures to kill itself?

Nah … although that could be done (with too much effort regarding the expiry days). OffTopic :
But what I just did was building in dead times for the period of IBKR being in reset (which is within a rather undefined larger period of time of an hour or so – between 06:00 and 07:00 Amsterdam). FYI: Backtesting shows that this readily misses ~10% on Opportunity (for net revenue that is), but at least my systems will keep running. This morning at 06:30 another one was thrown out. Mind you (IBKR users), only because the System changes a Pending Order which happens each bar / each minute. Thus thus *always* goes wrong once the Pending Order is maintained.
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Future contracts roll-over

ProOrder: Automated Strategies & Backtesting

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Gaby @gaby Participant

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This topic contains 15 replies,
has 5 voices, and was last updated by PeterSt
3 years, 1 month ago.

Topic Details

Forum:	ProOrder: Automated Strategies & Backtesting
Language:	English
Started:	04/30/2021
Status:	Active
Attachments:	No files

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Future contracts roll-over

Stuck on this ProBuilder code?

Future contracts roll-over ProOrder: Automated Strategies & Backtesting

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Future contracts roll-over

ProOrder: Automated Strategies & Backtesting