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»Forums Index »Archive (2017 and earlier) »Data and Content Support »US Index Continuous Contract Futs Rollover (ES, NQ YM ER)
Author Topic: US Index Continuous Contract Futs Rollover (ES, NQ YM ER) (5 messages, Page 1 of 1)

tradinoncoffee
-Interested User-
Posts: 38
Joined: Dec 9, 2004


Posted: Sep 11, 2008 12:37 AM          Msg. 1 of 5
DTN has been doing a great job of rolling over their continuous contract symbols that I was a bit surprised when globex opened and it appears that it is still using Sept contract data. Do you plan to roll these over before the open tomorrow? I did like the way it was being done the past few roll overs of opening globex with the next contract. Hope someone isn't asleep at the switch on these continuous contract symbols.

Tradinoncoffee

DTN_Steve_S
-DTN Guru-
Posts: 2093
Joined: Nov 21, 2005


Posted: Sep 11, 2008 08:19 AM          Msg. 2 of 5
Thanks for the report.

It looks like all of these have rolled to December contracts currently.

Stan S
-DTN Guru-
Posts: 256
Joined: Apr 13, 2006


Posted: Sep 11, 2008 10:11 AM          Msg. 3 of 5
Here is what I got from our Market Integrity dept as to the roll over problem.

Rollover process for these contracts has a Flaw. The rollover process does take place but with the pricing values only. The problem is when the contacts are rolled ie SEP to DEC, the Future description does not roll until a refresh is received. The description is fundemental data and requires a seperate refresh. To simplify, the contract pricing values will roll and be displayed. The Description will not roll resulting with a SEP contract with DEC data.

I hope this helps.

nsolot
-DTN Guru-
Posts: 273
Joined: Sep 4, 2004


Posted: Sep 11, 2008 11:13 AM          Msg. 4 of 5
Well, I'm a wee bit confused...

Usually, my Interactive Brokers flashes a rollover option, but didn't do that today.

When I look at ES & NQ, today's volume is still slightly higher for the September contracts than December.

It it possible something has changed with regard to roll over of most active contracts? Maybe tomorrow is the day?

nsolot
-DTN Guru-
Posts: 273
Joined: Sep 4, 2004


Posted: Sep 11, 2008 07:20 PM          Msg. 5 of 5
This evening IB software offers up the automatic rollover to the Dec contracts.
 

 

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