Roll Report - Force Status

[emretezel]

Hi Everyone,

Running fully automated system in paper trading. I ran the interactive_update_roll_status script to roll CORN positions as the time was getting close to expiry. I chose the FORCE option as I believe using a spread order would yield the best execution.

The stack handler next day correctly rolled the positions, but the daily Roll Reports still show the Roll Status of Corn as Force, and the pricing contract as the previous contract (pre-roll).

Do I need to run interactive_update_roll_status again and change the status of Corn to Roll Adjusted manually? I was expecting after stack handler rolled the contracts the Roll Status would have automatically updated.

Best,
Emre

PS: I did read the production documentation several times to find the answer.

[tgibson11]

Yes, you need to run interactive_update_roll_status to roll the multiple & adjusted price data & reset the status to No Roll.

[emretezel]

Thank you.

[robcarver17]

The roll status switch to roll adjusted has to be done manually in all cases, regardless of how the roll was done (or you can run interactive update roll in 'auto' mode which will do it for you). This is because a roll adjusted is a big deal; it overwrites the entire history of the adjusted price, it sometimes fails due to mismatched prices requiring forward filling, and I don't think it should be done in the background.

If you think the docs are unclear, please feel free to submit a PR :-)