Traders – you should already know what today (March 8, 2012) is. Contract rollover day! Yes, this is the day when we (traders of equity futures contracts) switch to the next contract session – in this case, June. We always roll over the first or second Thursday or Friday of the expiring contract month. These expiration months are March, June, September and December. Your day trading platform may automatically warn you of the rollover. Why is it important that you roll over the contract? Well, you can’t trade an expired contract. Also, follow the volume and liquidity.
Here are some instructions on how to roll over a contract to the new contract session in NinjaTrader:
1. Navigate to NinjaTrader’s Control Center > Tools > Instrument Manager
2. Find the expired contract in the left panel and select it > click the right arrow button (>) to remove the expired contract
3. Find the new contract for your market / instrument of choice in the right panel and select it > click the left arrow button (<) to add the new contract to the instruments list 4. In your charts, remember to change to the new contract. This applies to CME markets like the ES, 6A, 6E, etc. Note that NinjaTrader behaves inconsistently when changing to the new contracts - the ES automatically jumps to 6-12, but for currency futures, you will manually have to select 6-12 for each of them. Read the official statement from the CME: http://www.cmegroup.com/trading/equity-index/files/Rollover_Dates.pdf