Class FuturesRollAlgo

java.lang.Object
com.quantfinlib.execution.FuturesRollAlgo
public final class FuturesRollAlgo extends Object
The futures roll: the trade every futures position must do and most do badly. It moves from the expiring front contract to the back over the roll window, following the liquidity migration rather than fighting it. Rolling everything on day one pays wide back-month spreads; waiting for expiry pays the congestion of everyone else's last day. The algo tracks a migration curve (the cumulative fraction of open interest that has moved by each day) and rolls in step: 
  target(day) = round(position · curve[day]);  due = target − rolled

The default curve is the classic roll S-shape (slow start, concentrated middle, complete before the final day's scramble). Each day's due quantity executes as a calendar spread (sell front / buy back for a long), which is exactly a SpreadExecutionAlgo with ratio 1 and the calendar spread's own legging cap. Deterministic, single-threaded, research/warm lane.

  • Constructor Summary

    Constructors
    Constructor
    Description
    FuturesRollAlgo(long positionContracts, double[] cumulativeMigration)
     

  • Method Summary

    Modifier and Type
    Method
    Description
    static double[]
    defaultMigration(int days)
    The classic S-curve over days roll days: slow start, concentrated middle, fully complete at the end — smoothstep 3x² − 2x³ sampled at each day's close.
    boolean
    done()
     
    long
    dueOnDay(int day)
    Contracts due on day (0-based): the migration target minus what has already rolled.
    void
    onRolled(long contracts)
    Records rolled contracts (calendar-spread fills).
    long
    remaining()
     
    int
    rollDays()
     
    long
    rolled()
     

    Methods inherited from class Object

    clone, equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

  • Constructor Details

    • FuturesRollAlgo

      public FuturesRollAlgo(long positionContracts, double[] cumulativeMigration)
      Parameters:
      positionContracts - contracts to roll (positive; direction is the caller's ticket), > 0
      cumulativeMigration - cumulative fraction migrated by end of each roll day: non-decreasing, in [0, 1] (a zero early entry = nothing due yet), final entry exactly 1

  • Method Details

    • defaultMigration

      public static double[] defaultMigration(int days)
      The classic S-curve over days roll days: slow start, concentrated middle, fully complete at the end — smoothstep 3x² − 2x³ sampled at each day's close.

    • dueOnDay

      public long dueOnDay(int day)
      Contracts due on day (0-based): the migration target minus what has already rolled. Falling behind earlier days simply makes later days' due larger — the roll always catches up to the curve.

    • onRolled

      public void onRolled(long contracts)
      Records rolled contracts (calendar-spread fills).

    • rolled

      public long rolled()

    • remaining

      public long remaining()

    • done

      public boolean done()

    • rollDays

      public int rollDays()