Silver continuous

[atlas]

Seems like there is something wrong with the continuous silver contract. The last few days have been using the wrong contract?

[atlas]

...

[ACM]

atlas
From what I am seeing it switched from the May to the July contract on Friday the 5th which is three weeks prior to the expiration of the front month as indicated in this article in the eSignal KnowledgeBase
Alex

[atlas]

Uh, ok. I don't know the particulars of this contract. But it seems Gold does not have this issue.

[ACM]

atlas
I believe that is because the continuous contract is currently tracking June as the front month.
Alex

[Larry Marchman]

Originally posted by Alexis C. Montenegro
atlas
From what I am seeing it switched from the May to the July contract on Friday the 5th which is three weeks prior to the expiration of the front month as indicated in this article in the eSignal KnowledgeBase
Alex

Hi Alex,

I see the roll in the #F from K to N on 5/5. However, as a fwiw, the roll should have been 4/27. Hopefully the attached will show why the late roll is distorting 5/4 and before in the #F from the reality of the N front month roll. I can see the 4/27 roll in my other data provider.

Perhaps you know the person to talk to regarding the default Silver roll definition.

LAM

[ACM]

Larry
As far as I know SI #F tracks the following contracts March, May, July, September and December. As indicated in this article in the KnowledgeBase eSignal rolls the Silver contract 3 weeks prior to the expiration which is as per Nymex definition "at the close of business on the third to last business day of the maturing delivery month."
If you go back in time in the SI #F contract you should see that past rolls have in fact occurred on the following dates (ie in line with eSignal's definition)
3/9/2006 roll from H6 to K6
12/8/2005 roll from Z5 to H6
9/7/2005 roll from U5 to Z5
7/8/2005 roll from N5 to U5
5/6/2005 roll from K5 to N5
Based on the criteria set by eSignal for the #F contract I am not sure I understand why it should have rolled on 4/27.
Regardless, in eSignal one can very easily create their own continuous contract using the Continuous Contract Settings tool (available in the main menu under Tools). For information on how to use this tool you may want to read this article in the eSignal KnowledgeBase.
With this tool you can set the rolls to the criteria of your liking and also back adjust the contract if you wish.
Alex

[Larry Marchman]

Alex,
Thanks for the response. I guess I didn't communicate as clearly as I wished. I posted to you in the hopes that what with you being a long time eSig poster, you might know the specific person to contact regarding this issue.

I'm aware of the eSig utility to "roll yer own" (pun intended) regarding continuous contracts.

Hopefully this attached screenshot will more easily communicate that the arbitrary eSig definition, or criteria for the roll date of the SI contract is off the mark. Clearly this contract rolled on 4/27, and the SI #F carrying the old SI K6 for 5/4 and before, back to 4/27 is incorrect. As you well know, the roll is when the volume drops significantly from the old, and increases significantly to the new front month. To use the CME Pit terminology, the 2nd tier steps up to the 1st tier, hence the increase in volume.

One can scroll the SI #F and SI K6 (quick, before it disappears) back to the H to K roll time frame and clearly see a volume mismatch there, the same as K to N roll, as the actual H to K roll happened a week earlier than the #F roll. The volumes on the day before, on, and after the roll, again as you well know, should be "relatively" as robust.

I was just looking for someone in eSig to revisit the definition of SI roll and update the default to better define this contact.

LAM

[Larry Marchman]

Well, shoot, don't know why the attachment didn't show in the previous post. I'll try again.
LAM

[JayF]

Hi Larry,

The roll structure for many of the fut's is such to not be a continuation of volume, but instead a continuation of price. When we first developed the #F symbols, we had requests for both styles, and for the metals we went with a continuation in price. As more and more traders requested we changed the futures that are a continuation in price, we chose not to change them as those that relied on them would dislike the move, and instead we put in place the configurable continuous symbols (xx 1!, xx 2!, etc.)

Certainly appreciate the suggestion to change the #F's. To be honest though, I don't forsee them changing anytime soon as we'd like to shift more focus on the development of the "1!" features.