Conitnuous Contract Definition

[termn8er]

Jay, when does the contract data change in the continuous contract? For example the bonds look like they are still Dec, but I think they have changed ...the ZB that is.

Thanks

[JayF]

The below FAQ should help describe how we currently define #F symbols. Please also be aware of the information in this post.

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From:

http://www.esignalcentral.com/support/faq/esignal/futures/futures_rollover.asp

How does eSignal handle futures rollovers using #F?

We created the #F for futures so users can track a long term trend of the futures contracts they are following. These symbols will work in any window in eSignal, however, we recommend that you use them in daily charts for long term trend analysis.

By their own nature, continuation charts usually have gaps at the rollover dates which will often affect any analytics that are applied to daily charts. Keep in mind that these #F symbols are designed to be a continuation of PRICES, not activity.

Rollovers are done in the afternoon, after the market is closed, so they are in place for the next morning.

The rollover point 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. Here are those:

Platinum (NYMEX Symbol PL) and Palladium (NYMEX Symbol PA) -- 3 weeks before expiration, due to an extreme lack of activity in the expiring contract. Otherwise, the daily hi/lo ranges would be too small, or nonexistent.

Gold (NYMEX Symbol GC) and Silver (NYMEX Symbol SI) -- 3 weeks before expiration, due to a sometimes extreme lack of activity in the expiring contract. Otherwise, the daily hi/lo ranges would sometimes be too small, or nonexistent.

CME currencies -- Forced rollover at the exchange. 9 days before the 3rd Wednesday of the expiration month (Monday). The Canadian Dollar is forced one trading day earlier.

Stock indexes (CME Symbol ES, CBOT Symbol YM) -- Forced rollover at the exchange. 8 days before the 3rd Friday of the expiration month (Thursday). Same day as when $PREM is rolled.

CT -- 2 weeks before expiration, due to an extreme lack of activity in the expiring contract. Otherwise, the daily hi/lo ranges would be too small, or nonexistant.