US 30Y BONDS rollover

[rsm8888]

When will esignal corectly adjust US, ZB #F continual data. In bonds futures rollover was last wensday 26 november. From that date majority of traders are trading march2004 contract. When will esignal data maitenance people notice this? Today is 1st. december and ZB #F still showing december contract with 6k volume!!! This problem is ongoing more than one year.

Richard

[JayF]

Richard,

Thank you for your post. Typically, we would point you to this FAQ on the subject, but with this quarter's rollover the CBOT has begun to specify the rollover date on their online calendar, we will be revisiting this policy. More to come on this as the issue develops.

[saxon987]

Same problem with ZN (10-yr note). Continous contract data from eSignal is pegged to DEC, which is dead now. All activity is in March.

[rsm8888]

any update???

you should to look at Tradestation for ideas. They always change front month when all traders do. and also they udjust continuos contract with spread so can use your pivots continualy. That is the way to go.

R.

[fabrizio]

Please.
Esig is already working on something by far more advanced that the generally akward procedures of TS. Each one will be able to chose the type of rollocer they want or no rpllover adjusted at all ( which is technically the meost correct procedure to follow in order to have the cleanest data.)