The Roll Algorithm

QB’s The Roll Algorithm was designed to optimize execution for a listed calendar spread on its own, or a duration neutral strategy where a listed calendar spread and outright tail are executed in a synchronized manner. The Roll supports fixed-income, equities, foreign exchange, and commodity futures.

Algorithm Benchmarks: Arrival Price (AP) and Sweep to Fill (STF)

The Roll Toolkit

QB’s web-based Roll Tracker and exclusive Roll Forecasts are often used in combination with The Roll. Launched in late 2011, QB’s Roll Tracker helps traders optimally time monthly or quarterly roll trades by tracking the pace of current and historical futures roll activity across 40+ products.

QB Roll Timing Forecasts

Time your rolls perfectly and execute optimally. QB provides roll timing forecasts across fixed income, equity indices, commodities, and agricultural products.