What is No_Open?

[emretezel]

Hi Everyone,

I have pulled the latest master which includes changes from April onwards. I noticed a new roll status called No_Open, what does it do?

For example below is from latest Roll Report as of tonight. I have run interactive_update_roll_status and selected 3 and kept the defaults. GAS_US_mini is No_Open, an instrument that is part of my system. There is 10% relative volume and 44 contracts of forward contract. Why is it No_Open? Is there a way to roll this contract?

Thank you,
Emre

            status  roll_expiry  price_expiry  carry_expiry contract_priced contract_fwd  position_priced  relative_volume_fwd  contract_volume_fwd

INR-micro No_Open -3 7 38 20230900 20231000 0.0 0.000 0
GAS_US_mini No_Open 2 37 7 20231100 20231200 0.0 0.100 44

[robcarver17]

No open basically means we don't do any opening trades (i.e. trades that make our position bigger). The situation in which this would make sense is when we are nearing the expiry but the forward contract isn't liquid enough. So you don't really want to open up a larger position in the priced contract, but you aren't ready for a passive roll state which would mean opening up positions in the forward contract.

When you do the autoroll if you actually look at the screen rather than just blindly entering options, it explains to you how it is deciding when to automatically set the status to no open:

rob@TradingPC2:~/pysystemtrade/sysproduction/linux/scripts$ . interactive_update_roll_status 
How do you want to do your rolls today?
0: Manually input instrument codes and manually decide when to roll
1: Cycle through instrument codes automatically, but manually decide when to roll
2: Cycle through instrument codes automatically, auto decide when to roll, manually confirm rolls
3: Cycle through instrument codes automatically, auto decide when to roll, automatically roll

Your choice? <RETURN for Manually input instrument codes and manually decide when to roll> 3
How many days ahead should I look for expiries? <RETURN for default 10> 
2023-09-21 11:26:37 DEBUG config {'type': 'config', 'stage': 'config'} Adding config defaults
****************************************************************************************************************************************************Identified following instruments that are near expiry ['ALUMINIUM_LME', .... 'ZINC_LME']
****************************************************************************************************************************************************
Auto roll parameters: {'auto_roll_if_relative_volume_higher_than': 1.0, 'min_relative_volume': 0.01, 'min_absolute_volume': 100, 'near_expiry_days': 10, 'default_roll_state_if_undecided': 'Ask', 'auto_roll_expired': True}
Use default parameters? [no to change]y
AUTO ROLL RULES:

Irrespective of the following, we will automatically roll if a contract has expired and no position

The test for forward being liquid:
  - if relative volume between current and forward contract > 1.000000, then considered liquid (and no need to check absolute volume)
  - if relative volume between current and forward contract > 0.010000, and if absolute volume contracts>100, then considered liquid

Forward is not liquid. Are we close to the roll point? (is distance to desired roll date<10 days)
   -  No, miles away from needing to roll. Trade as normal: NO_ROLL
   -  Yes, going to roll quite soon. Roll status should be NO_OPEN

 Forward is liquid. Do we have a position on in the price contract??
   - We have no position in the priced contract: ROLL ADJUSTED
   - If we have a position on then:
      - Do we have plenty of time? (is distance to desired roll date>10 days)?
         - Yes, We have plenty of time PASSIVE ROLL
         - No, we don't. We will prompt user for required roll state

"There is 10% relative volume and 44 contracts of forward contract. Why is it No_Open?" "

Because it isn't considered liquid (fails the over 100 contracts test for volume), but we are close to the roll point (Desired roll<10 days away) so the roll logic gets to this point Yes, going to roll quite soon. Roll status should be NO_OPEN

"Is there a way to roll this contract?"

As you have no holding in the priced contract, you can just do it manually by selecting option 1
Or you change the parameters so that (say) 40 contracts is fine for liquidity.

[emretezel]

Thank you yes, I should have read more carefully, screen scrolled down fast.