Continuous futures library?

[jhill1965]

Hi,
I have searched and found information to create continuous futures files. Before I go off and do that for gold, crude, nat gas and the base metals I was wondering if anyone had a "library" of such data so that it doesnt have to be re-created.

Thanks
Jaosn

[Larry Marchman]

Hey Jason,

I do have one for you. COMEX:GC Gold. It's current with the front month as GC08Z. Yep, that's the GC front month. It took me an hour just to update and make current an old one I had that stopped at GC07J. It stopped at GC07J because I lost interest in keeping it up to date. Discovering the roll months of all the contracts since GC07J took tedious time.

Here it is with a //comment-reminder line that I also have in my CompSyms.ZNF. Select/copy from this post the following block of data from the // thru and including the last ) and paste with Notepad (and Notepad only) into your CompSyms.ZNF if you wish. The symbol to enter in QCharts is GC.Q to get the continuous contract.

//GC front months... Z,Q,M,J,G RTH Hours 8:20-13:30 = 310min. Use RTH chart with Interval 310 to see actual volume shift. "V" is active, but skipped here. Front month goes from Q to Z and clearly so.
GC.Q ; COMEX:GC.Q ; Gold "Dec 2008 ZNF" ; COMEX:GC08Z ; DT(#COMEX:GC08Z|7/30/2008|-) DT(#COMEX:GC08Q|5/29/2008|7/30/2008) DT(#COMEX:GC08M|3/28/2008|5/29/2008) DT(#COMEX:GC08J|1/30/2008|3/28/2008) DT(#COMEX:GC08G|11/29/2007|1/30/2008) DT(#COMEX:GC07Z|7/30/2007|11/29/2007) DT(#COMEX:GC07Q|5/30/2007|7/30/2007) DT(#COMEX:GC07M|3/29/2007|5/30/2007) DT(#COMEX:GC07J|1/30/2007|3/29/2007) DT(#COMEX:GC07G|11/30/2006|1/30/2007) DT(#COMEX:GC06Z|7/28/2006|11/30/2006) DT(#COMEX:GC06Q|5/29/2006|7/28/2006) DT(#COMEX:GC06M|3/29/2006|5/29/2006) DT(#COMEX:GC06J|1/30/2006|3/29/2006) DT(#COMEX:GC06G|11/30/2005|1/30/06) DT(#COMEX:GC05Z|7/28/2005|11/30/2005) DT(#COMEX:GC05Q|5/25/2005|7/28/2005) DT(#COMEX:GC05M|3/22/2005|5/25/2005) DT(#COMEX:GC05J|1/28/2005|3/22/2005)

Bear with me while I ramble on here with some comments regarding constructing continuous contracts.
1. They are a time consuming PITA to create initially from scratch if one desires more than a couple or three contract histories.
2. One has to be heads up and keep an eye on when they roll and then do a front month update.
Discovering a roll is easier if you keep both the front month and a couple of future months also in a quotesheet with a volume field so the volume switch can be observed on a daily basis. The front month is the one with the highest volume.
3. Sometimes and often actually the exchange site is incorrect regarding what it indicates is the front month.

The attached screenshot shows how I know that for GC the front month jumps from August-Q to December-Z. Similar due diligence is required to be on top of other symbol's real and actual roll month patterns, which in the real world of real traders does not necessarily include all the months that a contract trades. Some months have trade activity so light that they never attain the status of front month.

HTH,

LAM

[jhill1965]

Thanks

Larry,
Thanks for the help. I will use this to get me started. That along with the instructions should do the trick.

Thanks again.
Jason

[Larry Marchman]

Jason,

Thanks for the Thanks.
Good luck with that project. It's a lot of work.

fwiw, 5.1 will eventually go away completely. When? I dunno. Sometime this year maybe? But when it does go away, so will the work you're embarking on. QCharts 6.1 will not use CompSyms for stitching contracts together. 6.X data is eSignal data which is stitched on the server. For example, Comex Gold is "GC #F" for the continuous in the available QCharts 6.0.2.

LAM

[jhill1965]

Continuous feeds and 6.0

Larry,
Thanks for the info on 6.0. I didn't realize that. Although I am not using 6.0 regularly I have it installed and was able to see the the gold "GC #F" continuous contract. That is very nice. I think I will just refer to 6.0 when I need to see the history, sure is a heck of a lot less work. Thanks for your help.

Jason

[Larry Marchman]

Jason,

Be aware though that all is not necessarily swell with the "#F" continuous contracts in 6.0.
The CME Index symbols (ES,NQ,AB, etc) roll at the correct dates.
But outside of those, other contracts may not roll at the correct date.

Take GC as an example. Earlier in this thread I put up a screenshot detailing how GC rolls from "Q" to "Z" in the real world. But GC #F doesn't. It rolls from "Q" to the relatively thinly traded "V". See screenshot.

There's no way, so far, to define roll dates in QCharts 6.0.
There is a mechanism in the eSignal product which allows for user defined rolls that will give a closer roll date match to the real world, though not necessarily a precise match.

LAM

[JayF]

Nice post Larry. Great description of the #F's and their downsides. We are investigating into ways of providing rollover controls similar to what is in eSignal via specific orientations of symbology. Most of this will be based on FutureSource's symbol structure (another sister product of eSignal,) however it will be feed-based versus product-based. This means it will eventually be available to any of our products running on the eSignal feed.

We're still a ways off on that project, but I wanted to give you a heads-up on the long-term plans in the area of Continuation charts. If anyone is curious on how FutureSource Workstation's works, please see here.

[jhill1965]

History of DX

Hi Larry,
I moved to 6.0.3 instead of working on the continous feed library. So far no major issues. Sometimes it craps out but I just reload - at most it happens once a day. Not flawless, but.....
Anyway, one thing I am seeing is that in 5.1 we were able to see years on history for the US Dollar - DXY. With 6.0.3 and DX Z8 I can only see back to December 2007 which is when I guess that future came onto the scene. In 5.1 I was able to see resistance at the $81 mark. In 6.0.3 with DX Z8 I cannot see to make that resistance line.
In there a way to see the long term history of the futures in 6.0.3 by stitching the futures together?

Thanks as always for your help,

Jason

[Larry Marchman]

Hey Jason,

The DX Dollar Futures continuous in 6.0 is...
DX #F
and the QCharts 5.1 DXY Dollar Cash Index equivalent in 6.0 is...
DX A0 (that's DX<space>A-zero)

LAM

[jhill1965]

Thanks!

Larry,
I didnt understand in your post some time ago what you meant by #F. I have replaced the futures for the US dollar from DX Z8 to DX #F and for gold GC Z8 with GC #F, etc. etc.
This is very helpful. You are indeed the man.

thanks as always
Jason

[Larry Marchman]

Re: Thanks!

You're welcome, Jason.

Yep, the #F means continuous contract in QCharts 6.0 which uses the eSignal data servers.

As a reminder, the #F's may, or may not reflect the current "real" front month.
See screenshot please.

LAM

Originally posted by jhill1965
Larry,
I didnt understand in your post some time ago what you meant by #F. I have replaced the futures for the US dollar from DX Z8 to DX #F and for gold GC Z8 with GC #F, etc. etc.
This is very helpful. You are indeed the man.

thanks as always
Jason