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| Author | Topic: Perpetual Contracts (7 messages, Page 1 of 1) |
 optional -Interested User- Posts: 10 Joined: Feb 25, 2008 |
Posted: Mar 18, 2008 03:02 PM
Msg. 1 of 7
Are there any symbols for perpetual contracts for various futures?
Thank you. |
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Stan S -DTN Guru- Posts: 256 Joined: Apr 13, 2006 
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Posted: Mar 18, 2008 03:09 PM
Msg. 2 of 7
Hi optional,
To get the continous symbols for futures, simply replace the month & year codes with #. i.e.... the S&P would be SP# rather than the SPM8. If Ican be any further help, please feel free to ask. Stan S We could learn a lot from crayons: some are sharp, some are pretty, some are dull, some have weird names, and all are different colors but they all have to learn to live in the same box. |
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optional -Interested User- Posts: 10 Joined: Feb 25, 2008 |
Posted: Mar 18, 2008 03:11 PM
Msg. 3 of 7
Thanks Stan.
Can you tell me anything about the methodology used to do the crossover? There are several out there. Edited by optional on Mar 18, 2008 at 03:17 PM Edited by optional on Mar 18, 2008 at 03:18 PM |
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Stan S -DTN Guru- Posts: 256 Joined: Apr 13, 2006
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Posted: Mar 18, 2008 03:16 PM
Msg. 4 of 7
Hi again,
I'm not certain on the details, but as a general rule they will roll to the next contract about a week before the old contract expires. This is roughly when most of the trading activity & open interest migrates to the new contract. I hope this helps. Stan S We could learn a lot from crayons: some are sharp, some are pretty, some are dull, some have weird names, and all are different colors but they all have to learn to live in the same box. |
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optional -Interested User- Posts: 10 Joined: Feb 25, 2008 |
Posted: Mar 18, 2008 03:18 PM
Msg. 5 of 7
For example, on the 10 year note, I enter TY# for the continuous contract. However, it still seems to be using the March contract even though the traders have moved on to the June contract. The volume on the March today was ~3100 while June was ~1 million.
I'm hoping for a crossover methodology that doesn't wait until the contract expires, but rather uses a volume crossover. Is there anybody I can talk to who could provide the details? |
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Stan S -DTN Guru- Posts: 256 Joined: Apr 13, 2006
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Posted: Mar 18, 2008 03:21 PM
Msg. 6 of 7
I will see what I can find. And can send you an email if you like. You can send me your email address to stanley.sullivan@dtn.com
We could learn a lot from crayons: some are sharp, some are pretty, some are dull, some have weird names, and all are different colors but they all have to learn to live in the same box. |
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LonnieS -King of IQ Development- Posts: 127 Joined: Jun 2, 2004
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Posted: Mar 18, 2008 03:25 PM
Msg. 7 of 7
Electronic contracts, those prefaced with a "@", will roll 8 days before the third Friday of the expiration month (when trading moves). All others roll with expiration.
These rules are under revision and will change to be more in compliance with actual trading in the future. Lonnie Shumate Development Manager, IQ Systems DTN Market ACCESS |
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