QCharts - Continuous Contract Symbols (Using #F)
A continuous contract is designed to piece the trading activity of the most active contracts together, and then chart that activity to see how the prices have fluctuated over time. For continuous futures contracts, you simply need to use the symbol, a space then #F in place of the month code and year to create a continuous contract. For example, ES #F, CL #F, LC #F. The current, most active contract will generally mirror the data you see on the #F symbol in a quote sheet. #F symbols are available for US-based futures contracts only.
Intention of #F Symbols
We created the #F for futures so users can track a long term trend of the futures contracts they are following. These symbols will work in any window in QCharts, however, we recommend that you use them in daily charts for long term trend analysis. By their own nature, continuation charts usually have gaps at the rollover dates which will often affect any analytics that are applied to daily charts. Keep in mind that these #F symbols are designed to be a continuation of PRICES, not activity.
Rollover Details
Rollovers for #F are done in the afternoon (after the markets close at 13:15 PT,) so they are in place for the next morning. Even though the actual stock index rollovers occur on a Thursday morning, we roll the corresponding #F symbols on Wednesday afternoon so they will be in place for the Thursday Open. That creates a bit of an overlap for Wednesday night's trading, since the Globex and A/C/E sessions are still using the old contract as the front month.
The rollover date we generally use is the 2nd day before the last trading day for the expiring contract. We avoid using the last 2 trading days since they typically can be extremely volatile and can have huge hi/lo ranges that don't reflect the activity of the whole market. However, we want to roll them as close to expiration date as possible, so the "First Notice Day" date of any contract is not a consideration. For some markets, we do the rollover earlier; below is a list of some of these:
Stock Indexes -- Forced rollover at the exchange. 8 days before the 3rd Friday of the expiration month (Thursday). Same day as when $PREM is rolled.
CME Currencies -- Forced rollover at the exchange. 9 days before the 3rd Wednesday of the expiration month (Monday). The Canadian Dollar is forced one trading day later.
Special Case Currencies (BR & 6L) -- Rollover on last day of the previous month due to all activity being in the front month.
CBOT Interest Rates (US, FV, TN, TY, TU, YH, ZB, ZF, ZN & ZT) -- Forced rollover at the exchange. This is generally the last business day of the previous month (First Notice Day).
Metals (GC, SI, ZG, ZI, YG & YI) -- 25 days before expiration, due to an extreme lack of activity in the expiring contract. Otherwise, the daily hi/lo ranges would be too small, or nonexistent.
Grains (CT, KE, KW, MW and MWE) -- 2 weeks before expiration, due to an extreme lack of activity in the expiring contract. Otherwise, the daily hi/lo ranges would be too small, or nonexistent.
Mini Grains (YC, YK and YW) -- Rollover at the end of the previous month due to a 15 day offset.
NK (Nikkei 225) -- Rollover on day prior to Last Trade Date.
Others (CC, KC, PA, PL, RR & ZR) -- 3 weeks before expiration, due to an extreme lack of activity in the expiring contract. Otherwise, the daily hi/lo ranges would be too small, or nonexistent.
Charting Expired Contracts
In order to chart expired futures contracts you will need to enter the symbol, a space, the expiration month code and then the 4 digit year.
For example:
US Z2007 is the US 30yr Bonds for December 2007
AX U2007-DT is the September 2007 DAX on the Eurex exchange