Hi,

I have a concern about the rollover dates for the CBOT agricultural futures (e.g., corn, @C#, and soybeans, @S#). These are listed as "roll on expiration date" in the symbol guide:
http://www.iqfeed.net/symbolguide/index.cfm?symbolguide=guide&displayaction=support§ion=guide&web=iqfeed&guide=commod&web=IQFeed&symbolguide=guide&displayaction=support§ion=guide&type=cbot&type2=cbotmini&type3=cbot_gbx

I'm trying to use these symbols to backtest a strategy that runs on minute bars. The problem is that these contracts roll on their expiration date, but the volume for these contracts falls off a cliff roughly two weeks before the expiration, as traders move to the next contract. This means that the trading volume for these symbols is highly inconsistent.

With the continuous corn contract (@C#C), for example, the typical daily volume is roughly 100,000 contracts/day. However, this volume starts to decline one month before the rollover. By the last week, the volume is in the low thousands.

You can see this in the attached charts, which show daily bars and 5-minute bars for @C#C. In the daily chart, note how the volume falls consistently every two months, such as around late February/early March, late April/early May, and late June/early July.

The two five-minute charts show the bars for the period just before and just after the July rollover date. The "before" chart shows very low volume, with only a handful of trades and many bars with zero trades. The "after" chart shows normal volume, with hundreds of contracts per bar.

This inconsistent volume is a real problem for backtesting, particularly on minute-based bars. If I backtest a strategy on this data, then I'll get inconsistent results with the days that have low volume, since there isn't enough trading volume for any strategy to work on those days.

This could be fixed if the symbols had earlier rollover dates -- i.e., if they rolled over to the next contract around the time that the actual trading volume moves towards the next contract. (This seems to be about one month prior to the rollover date.)

Is there a reason that these symbols are set to "roll on expiration date"? Would it be possible to change this, or perhaps to create another set of symbols for these contracts that are the same, but have earlier rollover dates?

Thanks very much.
Edited by Xyzzy on Aug 4, 2013 at 02:29 PM
Edited by Xyzzy on Aug 4, 2013 at 02:31 PM

Hello Xyzzy, for these grain contracts, they have been based on the Roll on Expiration date for several years, however the last time I heard was that our Market Data Services Dept. was looking into possibly changing the roll rules for the Grains. Unfortunately, that was a while ago, and I am waiting to hear back from them currently as to, if and when they will be changed. As soon as we hear from them we will post here with an update.

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Curtis Thompson
support@iqfeed.net
support@dtniq.com
support@prophetx.com
Trading Markets Customer Service
1-800-397-7000

Hello Xyzzy, I apologize for the delay in response to your question. According to our Market Data Services Dept. There are no plans at this time to change the roll dates on the grains. This may be available in the future at the client/software level to roll on volume or open interest.

If you have any other problems or questions please let us know.

Thank you for using DTN IQFeed.

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Curtis Thompson
support@iqfeed.net
support@dtniq.com
support@prophetx.com
Trading Markets Customer Service
1-800-397-7000