TradeStation Help

Symbol Lookup - Custom Futures

The Custom Futures tab allows you to define a custom continuous future symbol with your choice of contract parameters and calculations. You can directly enter a custom continuous future symbol directly from the command line. For more information about the format and rules for these symbols, see Custom Continuous Futures Symbology.

Access using the menu bar Insert > Symbol menu sequence and click Lookup. You can also use the Main toolbar and click the Symbol Lookup $image\symbol_lookup.gif$ icon.

The following methods are available to search for symbols:

Symbol Root - Enter the desired symbol root for the futures contract to use in the Symbol Root box.
Find Root - Searches a future symbol using a description in the Symbol Lookup dialog. For example, if you enter AD as your search criteria, the search will return all symbols whose descriptions contain AD, such as Canadian Dollar but not Australian Dollar.

Select from the following settings to modify your custom back adjusted continuous contract symbol:

Months to Include- Check the desired months next to the contract month(s) to include in the continuous contract. All valid contract months for the symbol root are checked by default.
Base continuous data series on- Select the contract that will be used as the base data series for the continuous contract. This represents the proximity of the month that will used to build the continuous data series.

Rollover Trigger- Select the method and associated parameters used to trigger the rollover rule for the continuous contract. In addition, you can choose to be notified when the rollover occurs.
- Activity [ ] consecutive trading days of higher- Select this setting for the rollover to be triggered based on the specified number of consecutive trading days of a higher value of open interest, volume, or a combination of the two, selected from the drop-down list.
- Time [ ] trading days- Select this setting for the rollover to be triggered based on the specified number of trading days associated with a contract date (expiration, delivery, etc.) selected from the drop-down list.
- Offset by [ ] month(s) prior- Enter an offset(in months) to specify an earlier trigger date.

Back Adjustment Method- Select the method to use when calculating the back adjusted prices for the continuous contract from the drop-down list.
- Absolute Difference (default) - At rollover, the close of the base contract is compared to the next (rolling to) contract and the absolute price difference (positive or negative) is added to the historical (pre-rollover) prices of the continuous contract.
- Ratio - At rollover, the close of the base contract is compared to the next (rolling to) contract and the ratio of the two prices (rolling to/rolling from) is multiplied to the historical (pre-rollover) prices of the continuous contract.
- Unadjusted - At rollover, no price comparison or adjustment is made to compensate for price gaps that occur.

Use this symbol for trading - Check this setting to create a tradable symbol that includes the contract month and year along with coded rollover parameters to place orders on your custom continuous contract from the TradeStation Order Bar or via automated strategies.

Click OK to create the continuous contract based on the parameters specified or Cancel to exit without changes.

To have a rollover notification message sent to the Event Log, make sure that the notification check box is selected on the Setting the Desktop Preferences accessed using the File > Preferences > TradeStation Desktop menu sequence.