When trading the E-mini S&P and other futures, you generally want to be trading the most liquid contract.
On a March quarterly basis (March, June, September, December), contracts expire. See the CME page for the rollover and expiration dates.
First, I’ll show you how to get the new E-mini S&P contract chart on your NinjaTrader platform (ES 06-13 in this example):
1. In NinjaTrader’s Control Center, go to Tools > Instrument Manager > Under Name, type “ES” without quotes > Click the listing for E-mini S&P 500 so it turns blue (note that the expiry on the bottom automatically “knows” that 06-13 is the new contract) > Click the left arrow button so the new market / contract is added to the instrument list on the left > Click OK
2. In NinjaTrader’s Control Center, go to File > New > Chart and double click ES 06-13 and configure as recommended (ex. – 5 minute chart, Default 24/7 session template, 30 days of data) > Click OK
Now, you should have two charts up – one from ES 06-13 and the other the soon to expire ES 03-13.
Let’s at the volume to see which contract is the most liquid and should be traded. The easy way is to compare the close to real-time volume of both contracts on the CME page. Again, you should be trading the contract with the most volume.
Another way is to compare the volume using only NinjaTrader:
1. Right click each chart and go to Indicators > Double click VOL > and click OK
2. You should see blue bars on the bottom of the chart. Scroll all the way to the right and look at the current Volume level in blue.
3. Compare this value between both charts and trade the contract with the highest Volume.
Generally, you can continue trading the soon-to-expire contract until a couple days before it expires or until the volume of the old contract is surpassed.
For this current 03-13 to 06-13 E-mini transition, we recommend switching over tomorrow or next Monday.
Note that when a contract starts to die off, you’ll see many dojis and gaps on your chart.