TradeStation Help
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.
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 of the Delivery Month
Character 5 (back adjustment calculation method)
N = None (set using the Unadjusted Back Adjustment Method setting on the Custom Futures tab)
C = Constant (set using the Absolute Difference Back Adjustment Method setting on the Custom Futures tab)
R = Ratio (set using the Ratio Back Adjustment Method setting on the Custom Futures tab)
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
@ESM18=11INC represents a custom continuous contract based on the E-Mini S&P 500 June 2018 with a rollover to the 1st nearest contract based on the 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 occurring 9 days prior to expiration and using a ratio back adjustment calculation.
Example 3
@ESM18=105NC+MZ represents a custom continuous contract based on the E-Mini S&P 500 June 2018 with a rollover to the 1st nearest contract 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.