This short IBKR video shows how to roll on TWS. In summary, you right click on the position which shows a roll button, and the rest is mainly intuitive. I don't like smart phone apps for finance, so I do not follow millenialmillions' instructions on the document (I was confused about it before).I am not aware of a "roll" option in TWS, can you please explain step by step?
https://www.interactivebrokers.com/camp ... positions/
I was vague, sorry. I use market orders when the B/A for the calendar spread is at the minimum. By worst, I meant whether I would often pay the highest price (the ask), or is it random and I get half the B/A as the friction. Thanks for the explanation. Should I avoid market orders, and maybe use marketable limit orders, or limit order in the middle? I am not sure how trading details work on the background.I don't know what you mean by "worst" price. You can either cross the spread with marketable orders, or be subject to adverse selection and/or runaway markets with limit orders. The average transaction cost of the roll would be commissions plus 1/2 of the calendar roll bid/ask spread if you use marketable orders, and possibly (yet to be verified) slightly less with limit orders.
I mainly have ZF with the neighboring maturities contributing a bit, as was discussed very early on in this thread. I know that your analysis indicated going to shorter maturities (and using SOFR strips), and I will be following your adjustments. Thanks for providing all this information!In any case, the implied financing cost (implied repo rate) spread of futures to other risk-free rates like cash treasuries, the cash-futures basis, will have a much bigger potentially detrimental impact on the strategy than the futures roll transaction cost, as I pointed out in some of my latest posts. I will probably soon adjust my implementation with SOFR futures and ITT (ZF and ZN, not ZT) futures by shortening the SOFR strip and recalibrating the ZF/ZN ratio.
Unfortunately I don't have Bloomberg and therefore cannot optimize the implementation of my duration exposure as much as I would like to. There is an ETF, "TUA", that tries to use ZT futures to emulate ITT plus some alpha. It would be interesting to see how they fare if implementation cost stays elevated; but due to yield curve movements and one-time effects, conclusions from simplistic performance comparisons can only be drawn after long time periods.
Statistics: Posted by ipparkos — Tue Feb 25, 2025 2:10 am — Replies 3419 — Views 821517