Rolling tips!

General discussions about futures.
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AceofAce
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Rolling tips!

Post by AceofAce » Tue Apr 22, 2014 11:52 am

Hello everyone,

Does anybody have any tips on rolling cost effectively from one futures contract to the next. I roll based on open interest by sending calendar spread orders however I am not sure whether to use market spread orders or limit orders (to save some pips) or something else.

Market orders execute easily and safely however you pay the bid/offer and it costs more in spread which can add up over time.
Limit orders can be more cost effective spreadwise but you run the risk of pricing yourself out of the market and miss the liquid period.

Any other ideas would be greatly appreciated!

sluggo
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Post by sluggo » Wed Apr 23, 2014 8:31 am

You could do both, in a couple different ways.

First you could roll half your position with a market spread and roll the other half with a limit-order spread. That way you'll only be half disappointed.

Second you could give yourself 3 days to perform the roll. The first two days you place limit-order spreads and hope for the best. If unfilled after two days, hold your nose and roll with a market spread on the third day.

Third you could roll 1/3rd of your position with a market spread at the open, another 1/3rd with a market spread at the close, and the final 1/3rd with a market spread at the next day's open. Maybe the bid/ask will fluctuate across this slice of time, giving you a better average-fill-price than if you did the entire position all at one unfortunate time.

AceofAce
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Post by AceofAce » Thu Apr 24, 2014 11:26 am

Thank you Sluggo! Very good advice.

Wonder why I didn't think of such simple yet very good tips!

I particularly like the 2nd option giving 3 days to roll with limit orders whilst not missing the liquid period in the end

Many thanks again!

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