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:

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?

릴리즈 노트

Part of the code moved to libraries
Added an option to switch between allowed and major future contracts.

오픈 소스 스크립트

트레이딩뷰의 진정한 정신에 따라, 이 스크립트의 작성자는 이를 오픈소스로 공개하여 트레이더들이 기능을 검토하고 검증할 수 있도록 했습니다. 작성자에게 찬사를 보냅니다! 이 코드는 무료로 사용할 수 있지만, 코드를 재게시하는 경우 하우스 룰이 적용된다는 점을 기억하세요.

QuantNomad

Quant Developer | Pine Script v6 | Python & R
12+ yrs system. trading, hedge fund experience

Indicators, strategies & screeners
Futures & options

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면책사항

해당 정보와 게시물은 금융, 투자, 트레이딩 또는 기타 유형의 조언이나 권장 사항으로 간주되지 않으며, 트레이딩뷰에서 제공하거나 보증하는 것이 아닙니다. 자세한 내용은 이용 약관을 참조하세요.

오픈 소스 스크립트

QuantNomad

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