OPEN-SOURCE SCRIPT
Mis à jour Future Roll Monitor
Rolling futures is not just a mechanical action — it is a structural decision.
When you move from one contract to the next, you are exposed to changes in price, liquidity, and term structure. The difference between contracts (the “roll”) can quietly add cost, generate yield, or signal shifts in supply and demand dynamics.
Future Roll Monitor helps you understand what is happening beneath the surface during contract transitions.
Why Roll Analysis Matters
Most traders focus only on price.
Professionals also monitor:
These factors affect:
Ignoring the roll can distort performance expectations.
What This Tool Shows
This version provides essential roll awareness:
It helps answer key questions:
When you move from one contract to the next, you are exposed to changes in price, liquidity, and term structure. The difference between contracts (the “roll”) can quietly add cost, generate yield, or signal shifts in supply and demand dynamics.
Future Roll Monitor helps you understand what is happening beneath the surface during contract transitions.
Why Roll Analysis Matters
Most traders focus only on price.
Professionals also monitor:
- The spread between front and next contract
- Whether the curve is in contango or backwardation
- Where liquidity is migrating
- How open interest is shifting
These factors affect:
- True carry exposure
- Execution quality
- Structural pressure in the market
- The real cost of maintaining a position
Ignoring the roll can distort performance expectations.
What This Tool Shows
This version provides essential roll awareness:
- Front & next contract data (price, DTE, volume, open interest)
- Roll cost in absolute and percentage terms
- Curve direction (Contango / Backwardation)
- Volume ratio (is liquidity shifting?)
- Open interest ratio (is positioning migrating?)
It helps answer key questions:
- Has the market started rolling?
- Is the roll expensive?
- Is liquidity already concentrated in the next contract?
- What structure am I stepping into?
Notes de version
- Part of the code moved to libraries
- Added an option to switch between allowed and major future contracts.
Script open-source
Dans l'esprit TradingView, le créateur de ce script l'a rendu open source afin que les traders puissent examiner et vérifier ses fonctionnalités. Bravo à l'auteur! Bien que vous puissiez l'utiliser gratuitement, n'oubliez pas que la republication du code est soumise à nos Règles.
Quant Developer | Pine Script v6 | Python & R
12+ yrs system. trading, hedge fund experience
Indicators, strategies & screeners
Futures & options
💼 Hire/Consulting:
qntly.com/hire
🎓 Pine Code With AI:
qntly.com/pineai
12+ yrs system. trading, hedge fund experience
Indicators, strategies & screeners
Futures & options
💼 Hire/Consulting:
qntly.com/hire
🎓 Pine Code With AI:
qntly.com/pineai
Clause de non-responsabilité
Les informations et publications ne sont pas destinées à être, et ne constituent pas, des conseils ou recommandations financiers, d'investissement, de trading ou autres fournis ou approuvés par TradingView. Pour en savoir plus, consultez les Conditions d'utilisation.
Script open-source
Dans l'esprit TradingView, le créateur de ce script l'a rendu open source afin que les traders puissent examiner et vérifier ses fonctionnalités. Bravo à l'auteur! Bien que vous puissiez l'utiliser gratuitement, n'oubliez pas que la republication du code est soumise à nos Règles.
Quant Developer | Pine Script v6 | Python & R
12+ yrs system. trading, hedge fund experience
Indicators, strategies & screeners
Futures & options
💼 Hire/Consulting:
qntly.com/hire
🎓 Pine Code With AI:
qntly.com/pineai
12+ yrs system. trading, hedge fund experience
Indicators, strategies & screeners
Futures & options
💼 Hire/Consulting:
qntly.com/hire
🎓 Pine Code With AI:
qntly.com/pineai
Clause de non-responsabilité
Les informations et publications ne sont pas destinées à être, et ne constituent pas, des conseils ou recommandations financiers, d'investissement, de trading ou autres fournis ou approuvés par TradingView. Pour en savoir plus, consultez les Conditions d'utilisation.