Futures rollover and contract expiry: an automation guide

Relevant dates can include first notice, last trade, settlement, and broker-specific close-out deadlines. Physically deliverable contracts may be restricted before exchange expiry because many retail accounts are not intended to make or take delivery.

Broker rules can be stricter than the exchange calendar. The platform should not assume an order remains acceptable simply because the contract still appears on a chart.

A rollover process typically directs new signals to the next approved contract after a chosen cutoff. Existing positions in the old contract should remain identifiable and should not be silently relabelled as the new contract.

Closing the old contract and opening the new one creates two orders and may realise profit or loss. It also introduces spread, commission, and possible basis differences.

Before a mapping changes, confirm the next contract's exchange symbol, multiplier, tick size, market data, liquidity, and broker eligibility. Paper-test entries and exits.

Historical continuous charts may roll on a different date from the live mapping. Document both the research series and the execution rule so performance analysis remains understandable.