Dealing with the futures roll in quantstrat and blotter

Has anyone dealt with rolling futures in the quantstrat and blotter
framework?

I am working on an event based strategy -- the eventIndicators function just
returns a whole list of events in xts format (values = 1) that coincide with
the index datetimes of the mktdata

# add the event indicators
stratEvent<- add.indicator(strategy = stratEvent, name = "eventIndicators",
arguments = list(price = quote(getPrice(mktdata))))

I then add rules for entry and exit based on the event column being true:

stratEvent<- add.rule(stratEvent, name='ruleSignal', arguments =
list(sigcol="MEm1"),sigval=TRUE, orderqty=100, ordertype= 'market',
orderside=NULL, threshold=NULL),type='enter')

I would like to have this strategy applied to a futures contract based on a
specified rolling convention (e.g. if<  2 days before first notice of
delivery, trade the 2nd contract, otherwise trade the 1st e.g. TY2 Comdty
versus TY1 Comdty).

I would like to apply this strategy to 1 portfolio covering multiple decades
of data of closing price data with the whole futures chain.  I'm not sure
how to call applyStrategy to get the result I want when the instrument the
strategy is trading changes over time.

My issue with one continuous series is that the spliced series does not
reflect actual performance on the roll date.  There is an inherent drop in
price from one contract to the next that if the strategy holds over the
roll.  What's need is a rolled performance series, and but in that case,
rolled performance is what is being traded and not prices, resulting in an
orderBook this can't be directly piped to or compared to a real life order
management system.

I would like to actually simulate trading the roll within the blotter rather
than mask it away with a shortcut.  I suppose this can be done by setting up
different portfolios with the set of tradeable symbols for each time frame
and lopping calls to applyStrategy for each portfolio?

On Mon, Mar 14, 2011 at 11:35 AM, Brian G. Peterson<brian at braverock.com>wrote:

On 03/14/2011 10:02 AM, Gei Lin wrote:

Has anyone dealt with rolling futures in the quantstrat and blotter
framework?

Yes,  we roll products manually.

The 'best' approach is probably to construct some sort of continuous series
that implements whatever rules you use (roll calendar, volume cross,
whatever).

Robert Sams wrote splicing functions, but they assume univariate data, and
have not been ported to handle multi-column data (e.g. OHLC or TBBO data)
for each instrument.

Any assistance or contributions on the splicing front would be gladly
accepted.


  I am working on an event based strategy -- the eventIndicators function

just
returns a whole list of events in xts format (values = 1) that coincide
with
the index datetimes of the mktdata

# add the event indicators
stratEvent<- add.indicator(strategy = stratEvent, name =
"eventIndicators",
arguments = list(price = quote(getPrice(mktdata))))

I then add rules for entry and exit based on the event column being true:

stratEvent<- add.rule(stratEvent, name='ruleSignal', arguments =
list(sigcol="MEm1"),sigval=TRUE, orderqty=100, ordertype= 'market',
orderside=NULL, threshold=NULL),type='enter')

I would like to have this strategy applied to a futures contract based on
a
specified rolling convention (e.g. if<   2 days before first notice of
delivery, trade the 2nd contract, otherwise trade the 1st e.g. TY2 Comdty
versus TY1 Comdty).

I would like to apply this strategy to 1 portfolio covering multiple
decades
of data of closing price data with the whole futures chain.  I'm not sure
how to call applyStrategy to get the result I want when the instrument the
strategy is trading changes over time.

I would construct a continuous series first, then add an instrument for
that continuous series to your portfolio, and test your strategy using the
continuous series information.

Regards,

  - Brian

--
Brian G. Peterson
http://braverock.com/brian/
Ph:<773-459-4973>773-459-4973
IM: bgpbraverock

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