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»Forums Index »Archive (2017 and earlier) »Data and Content Support »Continuous futures contract symbols often not useful
Author Topic: Continuous futures contract symbols often not useful (4 messages, Page 1 of 1)

-Interested User-
Posts: 3
Joined: Sep 15, 2009

Posted: Sep 18, 2009 08:26 AM          Msg. 1 of 4

the problem with some continuous futures symbols is that it often uses the 'wrong' contracts. The continuous symbols should "roll" into the next contract when the majority of the volume trades in the next contract, not when until it expires. I have attached a chart showing the problem in ZG (electronic 100oz Gold futures). As you can see, at every other month there is nearly no volume in the contracts you use, since everyone already trades in the next contract. Which makes these charts somewhat useless.

Alternatively, you could make historic data available on a per contract basis, instead of only the continuous data, so that every user can construct his own continuous symbol locally.

Here are some of the symbols(exchange tickers) with this problem: ZG, GC, ZN, Zs, ZW

File Attached: ZG#contIQ.jpg (downloaded 745 times)

-Interested User-
Posts: 3
Joined: Sep 15, 2009

Posted: Sep 18, 2009 08:34 AM          Msg. 2 of 4
For some reason the chart didnt upload to the forum, please try this link:

Or just look at a @ZG# daily chart with volume.

-Interested User-
Posts: 4
Joined: Nov 16, 2009

Posted: Dec 14, 2009 09:31 PM          Msg. 3 of 4
Any chance of adding a new symbol that will adjust properly based on the spread between the old contract and the forward month contract?

GC has problems as well.

-VP, Product Operations-
Posts: 1746
Joined: May 3, 2004


Posted: Dec 14, 2009 09:36 PM          Msg. 4 of 4


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