Bid/Ask sudden drop on 6E #F Euro Futures

[bfry5282]

At 16:14 EST today, eSignal's Bid/Ask for 6E #F (The Euro) trading on CME/Globex dropped 30 ticks and stayed there. Interactive Broker's TWS Bid/Ask remained apparently correct.

The drop was from about 1.2374 down to 1.2344, and the spread was retained, just displaced downwards 30 ticks !!!

AFAIK, the Euro trades until 17:00 EST, but maybe I'm wrong there...

Anyway, you might want to check it out...

[DuaneG]

Hello bfry,

We checked with the QA department and were informed that most of the currencies began rolling over to the new contract month this afternoon. The Canadian Dollar was one exception to this, most others however began trading under the June contract expiration.

[bfry5282]

Thanks for the quick response. However, this is not the case for the 6E #F (aka EC or EUR), as far as I know.

[bfry5282]

Not only did the bid/ask continue apparently to track, but 30 ticks down, there was finally a trade shown on eSignal, to the bid price, and that was also 30 ticks down.

Interactive Broker's TWS continues to show bid/ask in line with the current price, so it's an eSignal problem. I can't trade because eSignal is my data source.

[DuaneG]

Hi brfry,

You may wish to take a look at Futures Rollover FAQ for a complete description of the rollover process. Please let me know if you have any additional questions.

[bfry5282]

mea culpa

Thanks guys. I subsequently learned that eSignal assigns the continuous contract 6E #F to the next contract apparently at the times you say, and that the current contract 6E H4 or the next (June) contract is available as 6E M4.

These two contracts were trading about 30 ticks apart, thus having something to do with the anomaly I reported.

I imagine for clarity it's best for futures traders to use the more specific symbols for the contract expiry month.

Thanks for the help, and sorry to cast doubts on eSignal !! AFAIK, it's working as advertised.