TradeStation Help

Continuous Futures Contracts

Continuous futures data is necessary for the back-testing of futures markets due to the limited life span of this type of market. Continuous futures data is linked at rollover points and the data is adjusted to ensure continuity.

Rollover Points

Rollover points are usually determined by the open interest. Typically, when the open interest of the next expiring contract exceeds that of the current expiring contract, the rollover is made. TradeStation's rollover points are similar, however, they are based on a modified interpretation. There are general rules specific to each market that describe when the typical rollover points occur. For example, if the typical open interest of the next expiring S&P 500 contract exceeds the open interest of the current S&P 500 contract on the sixth trading day prior to expiration, the TradeStation Network interprets the rollover on that day, regardless if the relationship between the open interest of the current contract and the open interest of the next expiring contract would have indicated a rollover point.

Adjustment Values

Once a rollover point is reached, the data must be adjusted. The TradeStation network does this by either adding or subtracting a constant to all data that exists before the rollover point, all the way back to the beginning of the data series.

This is the industry standard method of adjusting continuous contracts, and due to the nature of this adjustment method, the possibility exists that adjusted values may be negative. Negative values are typically only seen when looking at a continuous chart of a volatile market over a period of several years.