TradeStation Help

Custom Continuous Futures Symbology

A custom continuous futures contract symbol is created by adding several parameter characters to a continuous contract root or individual symbol as follows:
 

@[Symbol root][ Month code][ Year code].[Optional extension]=[Custom Continuous Parameters]

@[Symbol root].[Optional extension]=[Custom Continuous Parameters]


Only continuous individual contract symbols may be used with strategy automation. 

Custom Continuous Parameters (those following the equals sign) - Rules

Character 1 (contract on which to base the continuous data series)

1 = nearest contract (1st nearest)

2 = second nearest contract (2nd nearest)

3 = third nearest contract (3rd nearest)

 

Characters 2-4

For activity based rollovers:

Character 2 (consecutive occurrences of rollover event needed to trigger the actual rollover)

A number from 1-9

 

Characters 3-4 (activity based rollover event code)

IN   = Open Interest

VO  = Volume

OR  = Open Interest OR Volume

AN  = Open Interest AND Volume

 

For time based rollovers:

Characters 2-3 (number of days associated with the time based event used to trigger the actual rollover)

A two digit number from 00-99

 

Character 4 (time based rollover event code)

X = Trading Days Prior to the Expiration Date

D = Trading Days Prior to the Delivery Date

N = Trading Days Prior to the First Notice Date

E = Calendar Days Prior to the End of the Delivery Month

B = Calendar Days into the Beginning Delivery Month

 

Character 5 (back adjustment calculation method)

N   = None

C  = Constant

R  = Ratio

 

Character 6 (optional)  (number of prior months to offset a time based trigger)

A number from 1-9 that offsets a time based trigger by an additional 1-9 months

 

Additional characters (optional)  (expiration months to include or exclude in the continuous data series)

Additional Char 1 (include or exclude one or more contract expiration months)

+  = Include the expiration month characters that follow in the continuous contract

-   = Exclude the expiration month characters that follow from the continuous contract

 

Additional Chars 2-7 (expiration month codes to include/exclude)

Examples

Example 1

@SPM06=11INC represents a custom continuous contract based on the S&P 500 June 2006 with a rollover to the 1st nearest contract (September 2006) based on 1st instance of higher open interest and using a constant back adjustment calculation.  

 

Example 2

@ES=209XR represents a custom continuous contract based on the E-Mini with a rollover to the 2nd nearest contract (March 2007) occurring 9 days prior to expiration and using a ratio back adjustment calculation.  

 

Example 3

@ESM07=105NC+MZ represents a custom continuous contract based on the E-Mini June 2007 with a rollover to the 1st nearest contract (December 2007) occurring 5 days prior to expiration and using a constant back adjustment calculation. Note the December contract is the 1st nearest because only the June and December contracts are included in this continuous contract as specified by the +MZ suffix.