Automated Order Execution--Need help!!

[xtick123]

Hello,

First I want to say I am a beginner in Future trading. But actually I need some help.
I have a daytrading-strategy and I want to run this system fully automated. In the manual of this strategy I found following sentence:

For the S&P Emini Contract the setup is as follows:

Data1= @ES.D 1 Min or if using Auto Execution, Use the Front Month i.e. ESZ03.D

The strategy trades the S&P mini, and I know that the mini has 4 contract month (H,M,U,Z). The developer recommend to use the "Fronth month" in case of Auto Execution.

My question now: What will happen when this contract will expire (after 3 month). Do I have to change "manually" to the next month?? Or will this happen automatically??

And why I cannot use the Symbol @ES.D when I want to trade automatically??

You see a lot of questions........thanks all for help!!!

 

[xtick123]

Can really no one help me......please!

thanks

 

[FTSE Beater]

Hi xtick123

Welcome to T2W

The only bit I can help with is this

My question now: What will happen when this contract will expire (after 3 month). Do I have to change "manually" to the next month?? Or will this happen automatically??

You would have to change over contracts manually, (unless you can program it to do it for you). If you still hold the contract on the settlement date, then you will be given the price it closes at or the price the exchange gets you out at. I would aim to get out of the trade and switch to the new contract at least a week before expiration.

Hope this helps

 

[xtick123]

Hello,

First thanks for your help. Can you tell me why the system developer recommended to use the "Fronth month" when automated order execution is used. Why is it not possible to use the symbol @ES.D ?? I think when I use the symbol @ES.D I don´t have to change every 3 month to the next contract manually, because its a continuous contract. Is this right????

thanks

 

[mutantcar]

This helpful thread from Skim may help:

http://www.trade2win.com/boards/showthread.php?t=11552

Hope you don't think I'm being rude, and I'm certainly no expert, but it sounds like you're considering doing something very risky with very little knowledge. Can I politely suggest you be very careful and be sure you know what you're doing before risking your hard-earned?

Regards,

MC.

 

[Strategic Trader]

dont know for sure what ES.D is, but sounds like it might be for charting software - not a trading platform

the developer may or may not be a trader - but he is only correct in saying that you should use the front month if the developed system was designed for trading the front month- but the front month is where all the liquidity is - althought the front month can become the next month near contract expiry

if the system is programmed - as you seem to suggest - it is real easy to change the contract month in the program - BUT - the first weeks of a new contract and even the latter weeks of an ending contract have different trading characteristics so you should make sure this is programmed into the system

 

[xtick123]

Hello,

@mutantcar: No I will not risk my heard-earned money in just an idea. I want to test it first at least 6 month "offline" then I will make a decision. Anyway, again thanks for your help.

@strategic trader: @ES.D ist not a charting software or something else, its the Symbol for the "S&P 500 mini".

thanks

 

[xtick123]

Hello,

I read the thread from "Skim May", ok now I now that 8 days before the contract will expire all the money goes to the next contract and he says that the first days of the new contract are very volatile and everbody should stay out of the market when you are not sure what will happen.

Ok, I can handle it to switch 8 days before the old contract will expire to the new contract, but how long should I wait to trade the new contract??

I mean is there any rule when using a Daytrading strategy?? I am sure there is one. How handle this all the Fund-manager when there is a Rollover to the next month.

thanks for help!!

 

[mutantcar]

Hi,

I should point out 'Skim' - Skimbleshanks is of the fairer sex.

I don't know the answer to your question, but if you're going to try it for 6 months, why not see how it goes? Though I guess you will only cover 2 contracts in 6 Months?

Can you backtest it?