Rollovers

An important premise. QANTHOS is an analysis and monitoring tool, not a financial advisor nor an automated trading system. This tab’s Interactive Brokers integration only reads Open Interest and volume for the contracts — public market data carried by your broker — and never sends orders. You execute the position rollover yourself, on your trading software.

1. The signal: Open Interest, not the calendar

A futures contract might still have weeks before its formal expiration, but real liquidity may have already shifted to the next contract. Rolling too late means staying on an increasingly illiquid contract, with wider spreads and falling volumes. QANTHOS measures this shift directly by comparing the current contract’s Open Interest (OI) with the next one’s:

• OI Ratio = next contract’s OI / current contract’s OI. A ratio near 0 means liquidity is still entirely on the current contract; near or above 1 means the next contract has reached or surpassed the current one.
• OI Shift % = the percentage of total Open Interest (current + next) already migrated to the next contract.

From these numbers, QANTHOS derives a synthetic status for each instrument:

The threshold separating OK from APPROACHING (OI Threshold, default 0.5 — the next contract has reached half the current one’s OI) is configurable from the top bar: raising it makes alerts later, lowering it makes them earlier.

2. Connection and data refresh

The top bar governs the Interactive Brokers connection (host and port, shared with the same settings used in the Monitoring tab — changing them in one place updates the other too) and data acquisition:

• Connect / Disconnect — establishes or closes the connection to TWS/IB Gateway.
• Refresh — forces a new fetch of Open Interest and volume for all monitored instruments.
• Auto — enables automatic updates at regular intervals (in minutes, configurable).
• OI Threshold — the threshold separating OK from APPROACHING, described above.

A progress bar shows the fetch’s progress instrument by instrument (the IB query happens one at a time, on a dedicated thread, so as not to block the interface). The log panel at the bottom records every event: connections, completed fetches, generated alerts.

3. The monitoring table

One row per monitored instrument, automatically sorted by urgency (ROLL NOW at the top, then APPROACHING, then OK). Besides the status and OI/volume values already described, a few columns deserve attention:

• Current / Next — the codes of the two compared contracts (e.g. ESH26 → ESM26). The active contract (the one you should be operating on) is coloured green, the superseded one red — the colour updates both based on the computed status and on any manual confirmation you’ve made (§4).
• Days to Exp — days to the current contract’s expiration; highlighted when very close.
• Score — a synthetic urgency score combining the OI ratio with volume weighting.
• Rolled — ✅ if you’ve manually confirmed the rollover for this instrument, otherwise “—”.

A filter (All / Alerts Only / ROLL NOW / APPROACHING) lets you focus only on instruments needing attention, useful when monitoring many symbols at once.

The Symbols button opens management of monitored instruments: a list with a checkbox for each available future, with Select All, Deselect All and Main Only (major indices, energies, metals, currencies and agriculturals only) shortcuts.

4. Confirming a rollover

When you’ve actually moved your position (or your strategies) to the new contract, select the instrument’s row and press Confirm Roll. QANTHOS records the confirmation: from then on the new contract shows as active (green) regardless of the computed OI status, and alerts for that specific transition stop repeating — you avoid being warned multiple times about a rollover you’ve already done.

If you confirmed by mistake, Undo Roll cancels the confirmation and restores the standard Open-Interest-based behaviour.

The confirmation is a reminder you give QANTHOS, not an automatic check that the rollover actually happened at your broker or on your trading software. It’s a convenience tool to silence alerts, not a reconciliation check (that, for open positions, is the Monitoring tab’s job).

5. Alerts

When an instrument moves to APPROACHING or ROLL NOW, QANTHOS generates an alert through the same centralized notification system used by the Monitoring tab — visual, audio and/or Telegram, depending on how you’ve configured notifications. Alerts are deduplicated: the same status for the same instrument doesn’t generate a new alert every time, only when it changes (for example from APPROACHING to ROLL NOW), and none are sent anymore for a transition already confirmed manually (§4).

6. Why it matters for your data’s reliability

A poorly managed rollover is one of the most common causes of a strategy’s trade-history alteration: if your trading software recomputes historical data across a rollover (for example rebuilding the continuous contract), a subsequent export can show different trades than those previously seen for the same period. The Data Integrity tab flags exactly this situation as a “Modified” (🔴) status, and lists rollover among the most common causes.

If you know an upcoming rollover could alter an already-validated strategy’s data, consider enabling Frozen Mode in Data Integrity before it happens: it freezes a local copy of the current data, so the rest of the analysis keeps working on a stable reference.

7. Common issues and notes

“NO DATA” for an instrument. Check you’re connected to IB and that the symbol has Open Interest data available for both contracts; some less liquid instruments can have limited data coverage.

The rollover never shows “ROLL NOW”. Check the OI Threshold: if too high, the APPROACHING status might never transition to ROLL NOW for instruments whose OI Ratio stabilizes below 1.

I confirmed a rollover by mistake. Use Undo Roll on the same row to cancel the confirmation.

I get repeated alerts for the same rollover. Check you pressed Confirm Roll after the operation: that’s how you silence alerts for that specific transition.

The IB connection fails. Check host and port (the same settings shared with Monitoring) and that TWS/IB Gateway is listening.

8. An example workflow

A typical path, not a prescription.

1. Open Rollovers, connect to IB and configure the instruments to monitor with Symbols.
2. Enable Auto refresh with a reasonable interval (e.g. every 15-30 minutes during market hours).
3. Use the Alerts Only filter to focus on instruments needing attention.
4. When an instrument turns 🔴 ROLL NOW, evaluate and execute the rollover on your trading software.
5. Come back to QANTHOS and press Confirm Roll to record the operation and silence further alerts.
6. If the rollover concerns an already-validated strategy, check in Data Integrity that history doesn’t unexpectedly show as “Modified” after the next export.

The rollover remains an operation you carry out on your broker or trading software: this tab tells you when it’s time, it doesn’t execute it for you.

9. To learn more

• Data Integrity — how a rollover can alter trade history, and Frozen Mode as protection.
• Monitoring — the same IB settings and notification system shared with this tab.
• Tools — where instrument reference data (ticker, sessions, margin) is defined.