When creating a chart, ever notice the date that comes after the market/instrument name? For example, ES 06-17? The 06-17 tells you the contract period. There are four contract periods in a year: March, June, September, and December. Notice how each period is four months apart. That’s because futures contracts use a quarterly cycle. The current contract you’re trading will eventually expire. You will then need to roll over futures contracts to the next contract period. Both expiration and roll over occur within the same month. The NinjaTrader platform will usually tell you when a contract is about to expire. You can then roll over to the next contract period to avoid trading an inactive market.
Some traders do not roll over futures contracts on the expiration date. They prefer to “go with the volatility,” meaning they only roll over when the majority of the volume or volatility has moved to the new contract period. In some cases, this may be within a couple days after the official expiration date. Where can you find the official expiration dates? Check the CME website. If you look up a market on the CME’s website, the resulting page usually contains a measure of volume. Although the measure was probably taken within the last 10 minutes, rest assured the data is accurate.
Roll Over Futures the Easy Way
In NinjaTrader 8, how does one roll over a contract? Compared to the previous version, the process has been simplified. Simply go to NinjaTrader’s Control Center > Tools > Database Management > ensure that all the markets you want to roll over are checked (NinjaTrader will automatically know which ones need a roll over) > click Rollover. If necessary, you can switch to the new contract period in the upper-left of your chart. In case there is ever an issue with the roll over times, you can correct this by going back to the Database Management area > under “update instruments,” check “future expiries” and click Update. You should also be aware of upcoming 2017 trading holidays.