I have recently been confronted with a problem upon rolling my positions on JSE / SAFEX contracts. The broker I use no longer supports spread orders on these contracts which has left me with about 4 solutions:
1) Go with markets orders on each legs ahead of the open.
2) Go with limit orders on each legs ahead of the open.
3) Get up in the middle of the night and work the legs off the screen.
4) Change broker for these contracts.
Each of these have advantages and disadvantages.
1) Easy but expensive
2) Easy but potentially expensive
3) Troublesome to work the orders but fills are better than 1) or 2)
4) Troublesome to set-up automated reconciliation procedures for a new broker.
Recently, I have given a shot at 3).
How do you go about trading your calendar spreads on JSE/SAFEX?
Looking forward to your comments/potential solutions.
General discussions about futures.
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