Charts: Rollover Schedule
A continuation futures symbol is one that follows the near term contract month and automatically switches to the next contract month a few days ahead of contract expiration. Historical data is a composite of the near term contracts at the time. Prices are not adjusted for any rollover gaps between contract months at the rollover date.
eSignal provides a continuation symbol for many futures by using #F instead of the contract month and year in the symbol name. Example: ES #F
The rollover date is generally the 2nd day before the last trading day for the expiring contract. The last 2 trading days are avoided since they typically can be extremely volatile and can have large ranges. In order to roll contacts as close to their expiration date as possible, the 'First Notice Day' date of any contract is not a consideration.
Some markets rollover earlier, specifically:
PL, PA, GC, SI
|3 weeks before expiration, due to an extreme lack of activity in the expiring contract.
||Forced rollover at the exchange 9 days before the 3rd Wednesday of the expiration month (Monday). Canadian Dollar rolls one trading day earlier.
|CBOT Interest Rates
US, ZB, TY, TN, FV
ZF, TU, ZT, YH, YN
|Forced rollover at the exchange. Generally the last business day of the previous month (First Notice Day).
AB, ES, NQ, YM
|Forced rollover at the exchange 8 days before the 3rd Friday of the expiration month (Thursday). Same day as when $PREM is rolled.
||2 weeks before expiration, due to an extreme lack of activity in the expiring contract.
IQFeed provides a continuation symbol for many futures by using # instead of the contract month and year. Example: @ES#
The rollover schedule is still being finalized. Refresh for tick and intra-day charts is available. Refresh for daily, weekly, and monthly charts is still under development as of March 2005.
IB does not have a continuation symbol. However, Ensign Windows has implemented a continuation symbol using the same symbol format as the eSignal continuation symbol. Example: ES #F
The rollover schedule for each symbol is controlled by Ensign's Setup | Symbol Properties table.
The contract months are listed in the lower right hand corner. The Roll Day selects the day for the rollover. Users are encouraged to use the same rollover schedule as is used by the eSignal continuation symbols. The example shows the roll day for the ES symbol will be 8 days before the 3rd Friday.
Continuation symbols can be entered on the Setup | Manager list. Ensign Windows will resolve the #F reference to an actual contract month according to the Roll Day in the Symbol Properties table. For example, the 3rd Friday in March 2005 is March 18th. Therefore the rollover day is March 10th. On March 9th, the ES #F symbol would update with ES H5 data from the IB feed, and on March 10th, the ES #F symbol would switch to the ES M5 contract.
Historical refresh is provided by DTN Market Access (IQFeed). The refresh data is subject to the rollover schedule used by DTN Market Access, which may differ from the rollover schedule used by Ensign Windows. Therefore, each chart has an option on the chart property form so the user can select whether to refresh using the DTN Market Access continuation data or refresh with a specific contract symbol. The selection is made using the 'Select'' frame.
Adjacent to the chart symbol in parenthesis is the contract month that the #F resolved to when it connected to the IB data feed. The following chart caption shows that ES #F is following the June contract.
Refresh for tick and intra-day charts is available now. Refresh for daily, weekly, and monthly charts is still under development as of March 2005. Therefore, daily, weekly, and monthly charts should use the 1st bullet selection for a specific contract month in the 'Refresh with' frame .
To overcome the lack of continuation data being available for daily refresh, Ensign Software has available on its web site a library of daily continuation files that can be downloaded using the Internet Services form. Click this link to learn more about obtaining history files form the Data Library.
After downloading a daily continuation file, be careful to not perform a Refresh that would overwrite the continuation data just downloaded. Click menu Setup | Manager and change the auto refresh quantity for the History frame to either the Disabled selection or to a small number such as 2 days. For example, a refresh of 6 months would retrieve six months of a specific contract's data, such as ES M5, and overwrite the continuation data built from the ES Z4 and ES H5 contract months.
Ensign Internet uses DTN Market Access for its refresh source. Therefore, the discussion in the Interactive Brokers section is applicable and will not be repeated here.
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Last modified 8/4/11 2:49 PM