Oil contract

[atlas]

Hi, it seems like CL #F should have rolled over to December, either today or Friday. But it is still on Novemeber.

[eSignal_AveryH]

Hi Atlas,

According to the NYMEX website the Light Crude contract roll at the end of business today.


Last Trading Day
Trading terminates at the close of business on the third business day prior to the 25th calendar day of the month preceding the delivery month.


Delivery Month &nbsp&nbsp&nbsp Termination of Trading
November &nbsp&nbsp&nbsp&nbsp&nbsp &nbsp&nbsp&nbsp&nbsp&nbsp&nbsp&nbsp 22-Oct
December &nbsp&nbsp&nbsp &nbsp&nbsp &nbsp&nbsp&nbsp&nbsp&nbsp&nbsp 16-Nov



AveryH
eSignal Support

[atlas]

Ok, that's when trading terminates. But (and I'm not familiar with many U.S. contracts), it seems that due to volume, the continuous contract would roll a day or two earlier. E.g. HSI ends trading on 2nd or last business day of month, yet, the 1! is rolled a day earlier. The volume for November crude is much less than December today.

[atlas]

CL #F

[atlas]

CL Z7

[eSignal_AveryH]

Hi Atlas,
I apologize I misread the post, here is an excerpt from an eSignal Knowledge Base you can find here.

The rollover date we generally use is the 2nd day before the last trading day for the expiring contract. We avoid using the last 2 trading days since they typically can be extremely volatile and can have huge hi/lo ranges that don't reflect the activity of the whole market. However, we want to roll them as close to expiration date as possible, so the "First Notice Day" date of any contract is not a consideration. For some markets, we do the rollover earlier; below is a list of some of these:

I will forward this on to the Data Department for further investigation.

AveryH
eSignal Support.

[atlas]

Just as a general aside, this seems very common for American futures. For Globex, it seems eSignal has it right, but for others, like gold (comex), silver, and oil, eSignal has picked some other date, from when the volume really rolls over .

[eSignal_AveryH]

Hi Atlas,

At the request of several clients we’ve changed the roll date of the CL Oil contract to the Terminations Date from the previous setting of 2 day prior. This was done to reduce the large gaps in charts around the roll date.

AveryH
eSignal Support

[atlas]

Is it possible to create my own continuous contract? E.g., CL 1! ??