Rollover for futures and CFD

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  • 02/07/2020 at 1:40 PM #118939 quote
    Roger
    Participant
    Veteran

    Hi,

    I have heard that it is difficult to make a system run on a future or CFD with a maturity date, precisely because of their maturity date and the necessity to rollover a position.

    Is there any improvement on this side ? My broker is IG.

    02/07/2020 at 11:07 PM #118980 quote
    Vonasi
    Moderator
    Master

    When I last tried this several years ago it was impossible because at rollover the instrument became a new instrument and so your auto strategy was no longer working.

    To be honest with you if you want to trade futures with rollovers then auto trading spread betting or auto trading CFD’s is not the most efficient way to trade them anyway. Spread betting and CFD’s are for short term or very fast in and out styles of trading whereas futures with extended rollover dates are more medium term.

    Roger thanked this post
    02/10/2020 at 9:50 AM #119137 quote
    Roger
    Participant
    Veteran

    I have reached IG support and all they can say is that we can switch on/off automatic rollovers in the options (see the picture attached).

    Its better than nothing but I fear it cannot prevent from stopping the system.

    unnamed.jpg unnamed.jpg
    02/10/2020 at 9:59 AM #119140 quote
    Vonasi
    Moderator
    Master

    From my experience the strategy will be stopped because the instrument no longer exists and the trade will be orphaned and you will have to manually trade it.

    Roger thanked this post
    02/10/2020 at 10:31 AM #119150 quote
    Roger
    Participant
    Veteran

    … which is a big problem for all of us. Got it. Thanks for your answer.

    Its a shame not to be able to trade some assets like CFD Bunds for instance… since we can only open new positions on CFD Bunds with a maturity date

    02/10/2020 at 12:05 PM #119168 quote
    Vonasi
    Moderator
    Master

    I think that when I did a comparison unless you hold for long time there wasn’t much difference in trading costs between a DFB and a futures trade with a rollover date. As I said before spread betting is not really suited to longer term trading anyway.

    05/10/2021 at 8:57 PM #169340 quote
    Gaby
    Participant
    Average

    Hi, I am surprised there is no way to manage the contract rollover for futures directly from ProRealCode. Is quite a major limitation of the application for strategies where the average duration of the trade is greater then 5 or 7 days, as the DFB will become very expensive due to the interest overnight charges. Trend following strategies are likely to pass this duration. For example: one of my strategies that I am currently executing manually runs with futures and with an average trade duration of 39 days per trade.

    I also released live an Algo in ProRealtime for a second trend following strategy but using DFBs only; but I am also exploring other platforms like MT4 to see if they can deal with this requirement as trading DFBs only is not working with my trend strategies.

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Rollover for futures and CFD


ProOrder: Automated Strategies & Backtesting

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Roger @rgkp Participant
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This topic contains 6 replies,
has 1 voice, and was last updated by Gaby
4 years, 9 months ago.

Topic Details
Forum: ProOrder: Automated Strategies & Backtesting
Language: English
Started: 02/07/2020
Status: Active
Attachments: 1 files
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