PASSIVE roll state questions

[bug-or-feature]

Could the interactive roll tool be improved for potential PASSIVE roll state? If you select 2. Cycle through instrument codes automatically, auto decide when to roll, manually confirm rolls, the logic says:

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

But at this point we have already chosen how many days ahead we want to look for expiries, 10 in this case. So the condition for setting PASSIVE is limited to instruments that are exactly 10 days to expiry, and forward is liquid. Shouldn't we want to consider any instrument with a position on that has a liquid forward? 11 days plus currently wouldn't be considered.

And further, wouldn't we be better off considering any instrument with a liquid forward as a potential PASSIVE state? Not just those with a position right now. If there is an instrument with expiry in 15 days, and a liquid forward, would we not want to trade the forward now, rather than the priced, and then roll to the forward in a week or so?

[tgibson11]

Another suggestion: never go directly from NO_ROLL to ROLL_ADJUSTED (when auto-rolling). Instead, go to PASSIVE first.

There is an edge case where you might not have a position, but you do have open orders. By being in a passive roll state for at least one day, it ensures that any orders to open a position will be in the forward contract.

Of course, you could also just check for open orders directly, but just going to PASSIVE first seemed simpler.

[Plex134]

When thinking about rolling (passively or otherwise), are there more cases to consider with regards to position/futures curve than basically long/contango=delay roll, long/backwardation=roll early, short/contango=roll early, short backwardation=delay roll? One suggestion for interactive rolls could be an additional datapoint on the display that uses the position direction/carry signal to give a “delay roll" or "roll early" suggestion.