problem with december 8th continuous futures data

[PTC Man]

Can anyone explain me what happen yesterday with the continuous futures data.

ES #F for example open 8 points higher.

The daily high was 1264.75 and esignal shows it at 1272.75

Why did esignal rollover the december contract to the march contract already?

This never happen before. I never notice this kind of gap before.

thank you
PTC Man

[dloomis]

The ES AB YM 6E etc rolled over yesterday to March 06.

Note the volume on the ES dropped off on the Z5 and increased on the H6, indicative of roll over. see attached.

Re the gap, that can happen any time, and did yesterday.

The high / low reported is for the H6 contract - that's where the volume is.

[PTC Man]

I hate when the traders think the markets wil be higher 3 months from now.

Don't they see that this way they completly ruin a chart?

Thank you for your answer dloomis

[buhrmaster]

PTC-

If you want to have continuous charts use the new Continuous Contracts settings under the Tools menu. I believe the e-mini should be set up to roll the 2nd Thursday of each expiry month but check the documetation. Once this is set up use ES 1! as your symbol. There will be no gaps and past months will have adjusted.values. Different contracts have different roll dates. For example bond futures roll the first day of the expiry month.

The reason for the large spread between front and back months now is that interest rates have been rising. When the 3-month rate approximately equals the dividend payout the spread will be zero. When it is lower than dividends, the spread will be negative, and conversely.