Traders' Roundtable

I'm new to tradng futures on Blox as have been focused solely on stocks. Looking to add diversication via a suite of futures trading systems. Would be grateful for assistance on a couple of things:
1) Is CSI the best data provider for futures if wanting a broad universe to trade?
2) is there a rule of thumb as to when you roll from spot to spot + 1 (e.g. x days before 1st notice day perhaps)?
thanks
R

RobG wrote: ↑Sat Apr 24, 2021 11:41 pm [SnIP]
1) Is CSI the best data provider for futures if wanting a broad universe to trade?
2) is there a rule of thumb as to when you roll from spot to spot + 1 (e.g. x days before 1st notice day perhaps)?
[SNIP]

CSI is the data service I have used since 1991. CSI works well for system trading when the contracts are created using the back-adjusted option in Unfair Advantage. They also have been responsive when a question or an issue appears.

As a trader, I want to be in a contract that is the front month. I like the active physical contract to have the largest volume. Sometimes, a financial like the EuroDollar, Open Interest is a better approach in picking roll dates. Physical products work best with volume.

While you are learning the process of how to stitch the expiration contract with the next new active contract, think about how much size you would use when you generate an order for a physical contract. I try to keep my orders at or below the 2% average volume of the last 9 trade days for what I do. This idea prevents me from creating an order for 1,000 Feeder Cattle that don't stop eating over the week it takes to get them in a position and then out the door of a contract.

Large volume/open interest contracts like bonds & currencies can handle large orders but don't generate an order for 5,000 30-Bonds unless you like slippage. Large orders can grow during a day or over a few days and don't create a feeding frenzy at your expense.

Play around with the process. Paper trade some ideas. Look at each transaction to see how it reacted to the size, assuming you are applying slippage and cost as the learning period evolves.

Good Luck,
Roger...

Thanks Roger