Continuous contract & cash symbols for e-mini Russell 2000?

[yuio789]

Hi there,

Can anyone please tell me the continuous contract & cash symbols for e-mini Russell 2000 TF? Thanks a lot.

[yuio789]

Oh dear, nobody knows???

When e-mini Russell 2000 was still with CME, it used to be #F for the continuous contract. Is there something similar now with ICE? Or is such a feature not available now?

[Larry Marchman]

Hey yuio,

It's the same for all continuous contracts...the "#F".
Just looks like they have a less than complete set of data for TF #F.

Looks like they have a cash for the full Russell contracts, but not for the minis, like TF.

http://kb.esignalcentral.com/article.asp?article=2848&p=1

LAM
.

[yuio789]

Thank you so much, Larry. Do not know why; yesterday I tried TF #F, and "TF #F not found". But it is working all right now.

[Larry Marchman]

Originally posted by yuio789
Thank you so much, Larry. Do not know why; yesterday I tried TF #F, and "TF #F not found". But it is working all right now.

yuio,

You're welcome. Yeah, I get that every now and then with valid syms. One of the joys of running a Beta. Perhaps they should put up a login splash screen..."Results may vary from login to login" <grin>.

LAM

[yuio789]

Originally posted by Larry Marchman

Perhaps they should put up a login splash screen..."Results may vary from login to login" <grin>.

LAM

[yuio789]

Two more questions, sorry.

1. How is the volume of the #F contract calculated?

2. There are no price or volume data of the #V contract in my QCharts, and I have tried different logins. Any ideas why?

[eSignal_ToddI]

Here is our knowledge base article on Futures Volume:

eSignal - Futures Volume

Advanced Chart Window:
When looking at any electronic futures symbol on an intraday time frame the volume study will show you the actual contract volume being traded. If you are looking at any non-electronic futures contract in an intraday interval it will show you tick volume (tick volume is the number of times the price has changed in a given interval). If you are watching any futures symbol on a daily interval the volume shown will be yesterdays closing volume.

Try the #V on a daily interval.

[yuio789]

Thanks a lot. But, unfortunately, I am still confused.

The following 30-minute graphs were taken from my QCharts at approximately the same time.

This first one is TF #F.

[yuio789]

This one is TF H9.

[yuio789]

And this one is TF Z8.

Since the volume of TF #F is quite bigger than the sum of both TF H9's and TF Z8's volumes, I just wonder how the volume of TF #F is calculated.

[Larry Marchman]

yuio,

TF #F should be the current "front month", which is H9.
I show them in sync.
Z8 is previous and old and fading regarding volume.
Only the quarterly contracts should be in #F...H,M,U,Z.
The other months are low volume pit only stuff not to be concerned with.

LAM

[yuio789]

Cheers Larry.

Unfortunately, I still get substantially different results in my TF #F and TF H9 real-time charts . The first graph below is a 30-minute one for TF #F, taken at 10:40:29 am, 19/12/2008, and the last bar was for the 10:00:00 to 10:29:59am period.



The following one is a 30-minute one for TF H9, taken 4 seconds later, and the last bar was also for the 10:00:00 to 10:29:59am period.



Since both graphs were taken around 10:40am, the 4 seconds should not be an issue for the last bar in both graph, because both bars were for the 10:00:00 to 10:29:59am period, but there is this huge difference in volume (29,492 vs. 13,563).

I am really sorry for making all this fuss, but I seem to get consistently inaccurate volume real-time in my QCharts. Another example is the real-time daily volume.

The following graph was taken at 11:01:54am, 19/12/2008. According to it, the daily volume until then was 152,205. But when I got into intraday bars, from 16:15:00, 18/12/2008 till that point, the total daily volume so far was less than 55,000. Again, a huge difference.



Because I trade based on price and volume information, such inaccurate volume hinders my trading to a great degree.

[yuio789]

Sorry, this is the first graph.

[yuio789]

This is the second graph.