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MANAGING INSTRUMENTS - FUTURES ROLLOVER

When you start trading, the instruments that will be loaded for trading are those listed in the "symbol file", that you can access by clicking on the "Edit symbols" button:

Edit symbol file


The symbol file is a text file containing the list of instruments to be "launched" for trading or the new instruments to be added.

Note that, once an instrument is trading, it can only be quit by pushing the "Quit instrument" button in the monitor window.
Editing the symbol file has absolutely no effect on already "launched" instruments.

The instruments listed in the symbol file are only loaded by pushing the "Start or Add" button (or by using the scheduled start).

In case new instruments are added to the file, and the "Start and Add" is pushed again, the new symbols are launched: they are added to the folio currently being traded (instruments can be added/removed dynamically at any time). Note that the added instruments may be set to manual mode, if the check box "Added instrument start in manual mode" is checked.

These are examples of symbols:

http://www.datatime.eu/public/gbot/G-BOT_Symbols.txt

If an instrument is preceded by # (comment marker) it will be ignored (the line is considered like a comment).  Also, a line containing at least 3 asterisks (***) will make everything below that line like a comment (ignored by G-Bot). This is useful to quickly exclude symbols, while keeping the text in the file for possible future reuse.

To add new instruments just follow the examples in the file. To copy and paste a line use: Ctrl-C (copy) and Ctrl-V (paste) after line selection.
For futures, make sure to adjust expiration and specify correct multiplier. For options, specify the strike and the type (P=Put, C=Call). For more symbol specification see also the info on IB by double-clicking on the symbol name in the TWS.

Although instruments could be mixed in any way, it can be usually appropriate to make folios of homogeneous instruments (futures, micro futures, stocks) and with same currency (so that the global PNL is meaningful). Keep in mind that if you mix currencies within the same instance, G-Bot will not convert them (but will simply add them up).


When starting trading with real money use always small packets and in case increase gradually, trying to diversify as much as possible.
Traders with small capital (say < 200K) should probably not look at futures (apart small exceptions like VM and  micros, for instance) because they will not be sustainable, but more conveniently focus on liquid ETFs, using small packets, say 100-1000 shares, and diversifing the allocation.

 

How to perform Futures Rolloverr

Assume we are trading a futures instrument and we want to move all the trading data to the next contract, to continue autotrading (or discretionary trading).
The process is very simple and quick. In brief, it consist of:

- Making sure both instruments (old and new) are receiving data feed and going manual all to avoid automatic trades during the process
- Making a "manual order" (in G-Bot) to close the current position
- Transferring the trading information to the new instrument (price curve will also be joined with a vertical separator showing the rollover instant)
- Making a "manual order" (in G-Bot) to reopen the closed position on the new instrument.
- Resuming Autotrading, when all rollovers are done.

G-Bot makes the rollover process very simple. Let's see it step by step. Once familiar you will be able perform the process in a few seconds.

Assume, for instance, we are trading:
HO FUT 201103 NYMEX 42000 Heating Oil
and we want to roll to:
HO FUT 201104 NYMEX 42000 Heating Oil

HOtrading

 

First of all open the symbol file, by clicking on the "Edit Symbol" button. Change the line:

HO FUT 201103 NYMEX 42000 Heating Oil  so that you have the new expiration (201104): HO FUT 201104 NYMEX 42000 Heating Oil

(If you need to roll more symbols, edit other symbols too). Close the symbol file. Select the check box "Go auto on new instruments" and click on the "Start or Add" button.

This will add the new instruments to the trading instrument (in manual mode). The new instrument must not be traded before information transfer: leave it in manual mode.

Add new instrument


(The rollover instant is discretionary: it can be performed at any time before expiry. (If you can choose, it's probably better to do it when the price is moving strongly against your position, as you will be saving some drawdown in the time interval between the close and open position.) Also check volumes, to be sure you roll to the most liquid month).
 
Now select the instrument you wish to roll, right click and choose Roll over from the context menu:

Rollover dialog

 
The rollover dialog will appear (To access this manual at any time, you can click on the top right picture in the rollover dialog).
Follow the 4 simple A, B, C, D steps indicated in the dialog. To perform the rollover.
At step C (information transfer) the current instrument will close and the new instrument will be automatically selected:

Rollover completed

 

The price curve are "joint". A vertical line appears at the rollover point.
When rolled all the instruments which need to be rolled over, resume autotrading normally, by clicking on the "Go Auto All Instruments" button:

autotrading


That's all.

Notes: When executing step B, D (where manual orders are involved) make sure the fills are complete before proceding to next step (you should see a "square", as last order, as you will be flat).
This can be quicly checked in the notifications appearing in the "Last 100 events" window (left bottom, monitor window.)

Special cases: Manual orders execution (steps B, D) could be skipped and executed both (close/reopen) directly in the TWS, before (or after) the trading data transfer: in such a case, clearly G-Bot PNL figure will not incorporate the effects of that order.
In case some position has been closed by the TWS (for instance some liquidation or user intervention), it must also be reopened using the TWS (not a G-Bot "manual order").

 

Warning: IB may liquidate position before expirations. In particular, shorts must be closed 2 days before expiry.

"end of the second business day prior to the First Position Day or the Last Trading Day (whichever comes first) (longs), and the end of the second business day prior to the Last Trading Day (shorts)"

See:
http://www.interactivebrokers.com/en/p.php?f=deliveryExerciseActions

Careful with first position day, see for instance:

http://www.cmegroup.com/trading/metals/precious/e-micro-gold_product_calendar_futures.html
(all volume may go to the next month on the First Position Day)

 

 

EMERGENCY PROCEDURE

If you have already been liquidated and missed the rollover, remaining with "open" position in G-Bot (but closed in the real account). You can still do it.

The procedure is almost identical (except that you skip the 2 steps with manual orders):

- Perform step A
- SKIP step B   (nothing to close because you have already been liquidated. The old instrument will show a position. Ignore it.)
- Perform step C
- Quit the old instrument (the one showing an open position). Use the top right button on the monitor window.
- SKIP step C and, instead, open the position to match G-Bot directly using the TWS.


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