I'm looking at the 1 min charts for @C# and @S# and I'm seeing that the daily volumes appear to essentially disappear to negligible amounts. The problem appears to be worse on the @S# contract.

For example, as recently as 9-15-2010 to present, the number of contracts per day is roughly 40k in total, but they drop to around 10k starting from 6/25/2010. Some days are in the 100s of contracts traded which doesn't make sense to me.

For the @C# contract, from 8-31-2010 I see the number of contracts drop to below 10k and then jump to over 100k on 9-15-2010.

This pattern appears throughout the entire 1-min dataset for @C# and @S#.

Is there a possible problem with how the rollover days were calculated for these continuous contracts?

Hi, Would anyone know the answer to this?

thanks,

Steve

Hello Steve, with these contracts @C# & @S#, they will roll on the date of Expiration, so most of the trading has already rolled to the next contract by then. So you will usually see the volumes drop around that time and when the Continuous contract rolls to the next month it will display that next months higher volumes instead. If you have any other problems or questions please let us know.

Thanks.

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Curtis Thompson
curtis.thompson@dtn.com
Trading Markets Customer Service
1-800-397-7000 x3614

Hi Curtis,

Thanks for the response, Curtis.

I was wondering if you could clarify:

Are you saying that the continuous contracts for corn and soy, @C# and @S#, will give data for the wrong contract every few months (ie. not the "active" contract), during the rollover period? I'm looking at the tick data returned for @C# for the last month and it definitely seems to extend to tick data.

What other contracts does this problem occur with? I've analyzed the equity indexes such as the ES, YM and TF, and they don't appear to have this problem of rolling over too early. Do they suffer from the same problem?

This is extremely important for me to understand because the data I require needs the most active contract, and if I can't rely on your data being accurate, then I need to know.

thanks,

Steve

Hello Steve,

With these two grain futures, the data that you see near the expiration is correct for that current front month however, if the trading has rolled already to the next front month our continuous contracts will not reflect that till it actually rolls.

As to other future contracts the rollovers for them will vary depending on the contract specifications for them, for example on the mini futures (ES, YM, TFS) these will roll 8 days prior to expiration, and most of the trading rolls around the same time for these.

Currently we do not have a continuous contract that follows what the volume or Open Interest is doing within a specific future. However, we are looking into possibly having a separate continuous contract that will roll with Volume or through some other process to more closely follow what the actual trading is doing. This is still in early development so we do not currently have an exact ETA of when these will be released.

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Curtis Thompson
curtis.thompson@dtn.com
Trading Markets Customer Service
1-800-397-7000 x3614

Hi, is there any update regarding continuous contracts rolling with volume/OI?