Hi,

Can you tell me where I can find a list of exactly when each futures contract is rolled over?

I have the API, and the documentation did not say anything about this, and apparently it is not included in the P or Q records of the API. Maybe it is posted somewhere else?

Also, I am looking at the continuous 6E contract from you and what I see on ThinkorSwim. I noticed that on ToS there is a dip in volume on September 11 of this year, presumably (because that is when they cut over) that I don't see on your feed.

I just wanted to also confirm that you are doing a clean cutover from one contract to the other and not some more complex algorithm that sums both contracts. Whatever you are doing, the volume chart looks a lot cleaner!

Thank you,
-Bob

Hi Bob,

Yes - you can find the rollover rules by going to our Symbol Guide page at:
http://www.iqfeed.net/symbolguide/index.cfm?symbolguide=guide&displayaction=support§ion=guide&web=iqfeed

Click the link for the exchange that you want (CME, for example) and then you will see the IQFeed symbol @EUZ12 (your 6E) and the rollover rule to the right - rolls 2 trading days before expiration for the @EU#.

I show that the @EU# was based on the September contract until the afternoon close on September 13. After that, the @EU# was based on December prices.

Thanks!

Actually, a follow on question.. What is the math for calculating the backadjustment of the old contract? Do you just take the price difference between the two contracts at the time of rollover or something else.

Thanks,
-Bob

Hi,

Yes, using the example above: On September 13, the December @EU contract closed at 1.2995 and the September contract at 1.2986 - so the December was .0009 higher. If you look at the daily data for @EU#C, you will see that the daily data before September 13 has been adjusted so it is now .0009 higher than the September contract was (with previous rolls included before the September contract).

Thanks Bob.