Could you consider buiding up permanent Continuous contracts for the best known futures like e mini nasdaq, e mini S&P, and also in Eurex: Eurostock 50, Dax?

Thanks

renard

We have this partially implemented in our system, and are awaiting testing on the rollover process before releasing it. The symbology will be [symbol#]. For example, @ES# will be the Emini continuous contract. I don't have an ETA yet, but it is in the works!

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Jay Froscheiser
DTN Market Access, LLC.

This is excellent. Please post a message when this becomes available.

C'est Grand!
Merci

Renard Blanc

any update on the progress of #ES#????

thanks in advance.

I also like the sound of a "continuous" contract for the emini, etc. but I have a couple questions.

1) How is it calculated? I assume that each time the lead month rolls over, the new lead month's prices will be the real, current prices and the PREVIOUS contracts's prices will be adjusted?

2) How far back will it be available? Are you saying you will be providing some "historical" data for a year? Two years? ???

3) Will this contract include the EXCHANGE generated trade timestamp at least to the SECOND? A major concern of mine (as well as the Tick ID and Sequence Sasha mentioned)?

3) Will it include the Bid/Ask prices AND BID/ASK SIZES? Currently, when I load up a Time and Sales window the bid/ask SIZES only start loading as of the moment I open the window and then dissappear whenever I change a setting on the window..

I, like Sasha, am not trying to "blame DTN" for anything, but facts are facts. When your feed slows down I need to know IMMEDIATELY. That way the problem can be addressed whether it's on my side or yours.

Without beating a dead horse, I just want to be sure I'm saying this clearly. What I believe is the single most important piece of information needed to audit and ensure quality is the EXCHANGE GENERATED TRADE TIME DOWN TO AT LEAST THE SECOND. Anything in addition to that is great (ID, Sequence), but that needs to be the first.

Thank you.

Continuous contracts are in development on the server team. No ETA is available yet.

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Jay Froscheiser
DTN Market Access, LLC.

...still i would find this VERY helpful. i hope to see it added as a feature in the near future.

Didn't see this thread and started one on this same topic. Jay...I didn't realize that this has been "in the works" since September. What is the hold up...its just data. Other companies are doing it...so apparently it can be done.

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Tradinoncoffee

Another rollover has come and gone...

Any ETA yet? I would like a continuous EuroFX symbol.

This code is running in a pre-production mode currently. We haven't fully tested the roll functionality, but once we do, we will notify everyone. It will be available for all by the next contract expiration.

There are a couple schools of thought on rolling, and various ways other feeds implement it. Would you rather see the contracts roll based on volume (we will check previous volume on all contracts and make the one with the most volume the front month) or Open Interest or Contract Expiration or Some Other method?

Please don't respond here. Respond on the Poll available here: http://forums.dtniq.com/index.cfm?page=topic&topicID=376

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Jay Froscheiser
DTN Market Access, LLC.

@EU# is still @EUH5. What is going on, this should have rolled over to M5 on Thursday morning?

I noticed that all the index continuous contracts had not been rollled yet also today, except for ES, which was rolled last Friday. I asked customer support about this last week and was told that the decision had been made that as soon as volume shifted from the current active contract to the next, the roll over would be done.

I contacted customer service today to ask why the other indexes had not been rolled yet, since volume has clearly shifted now. Upon checking it out, I was told that they would be rolled tomorrow. I asked if that had been part of the plan, since I had originally been told that the roll would occur once the volume shifted. Well, seems someone in "that department" forgot the original plan. So much for beta testing.

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Tradinoncoffee

Someone from DTN needs to take charge of this situation because there are people like myself who rely on continuous futures data to trade. DTNs continuous futures symbols are in a complete mess.

@EU# finally rolled yesterday (15/3) morning - but that is the wrong day. DTN have used the last trade date as defined here:
http://www.cme.com/trading/prd/contract_list_EC2465.html
to decide when to roll. However, the industry standard is to roll before this date, either when open-interest or volume of the incoming contract excedes that of the outgoing. DTN went to all the trouble of running this poll to establish the preferred roll method:
http://forums.dtniq.com/index.cfm?page=topic&topicID=376
and then completely ignored it!

If you are going to roll using the standard volume or open-interest method, you should have rolled the Euro FX last Thursday morning (10\3).

Please can you change @EU# to be @EUM5 for Thursday, Friday, and Monday.

I know continuous futures symbols are a new service for DTN, but it shows a lack of market knowledge to use any other method than volume or open-interest, and a lack of customer service to not have acted to rectify the problem sooner.

Just a response would be nice? Do you care?

Yes, we care. As was posted when we first provided info of these symbols, it was being released in beta mode. We care enough to ask our users, hence the survey on our forums about rolling contracts. Had we stated that these symbols are fully supported outside of a beta mode, the complaints would be valid. The information people have provided in this thread, as well as that of the survey, are helping us to create the best methodology to process these symbols.

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Jay Froscheiser
DTN Market Access, LLC.

Jay,

I appreciate your continuous futures service is still in beta, and I apologise for criticising DTN unduly.

Please can you change @EU# to be @EUM5 for Thursday, Friday, and Monday.

Many thanks,

Brendan

The holes in the continuous ES contract on minute charts seem to keep growing. Was just one day and now its 3 days: 3/14, 3/15, 3/16 and part of 3/17. Is anyone aware of this???

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Tradinoncoffee

To assist the QA effort, CL# (and +CL#) is still printing APR 05 which is no longer trading. I guess something didn't make it from http://www.nymex.com/jsp/markets/CL_spec.jsp to your system.

"Last Trading Day
Trading terminates at the close of business on the third business day prior to the 25th calendar day of the month preceding the delivery month. If the 25th calendar day of the month is a non-business day, trading shall cease on the third business day prior to the business day preceding the 25th calendar day."

Jay,

After saying in January that continuous futures symbols would "be available for all by the next contract expiration", and then none of them rolling properly in March or even being usable due to corrupt data (@EU# is still corrupt 14/3 - 17/3), can you confirm:

1. which method you will use to roll in June.
2. that the "beta" status of your continuous futures will be removed before June. You've had plenty of time, experience, and feedback to go live now. Many of your competitors have had this service for years.

Many thanks,

Brendan

QM# still stuck on May contract. Needs to roll to June.

I tried to access weekly data on the continuous contract for the ES (@ES#) and got one candle. Are the continuous contracts still in beta testing, and if so, when are they estimated to be released? Is this enhancement still even on the list?

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Tradinoncoffee

I also just tried to download the continuous contract for the ES (@ES#) and for daily data I received 79 days. For intraday (1 minute) data I received 90 days. Is this the maximum available at this point?

John

Jay,

After saying in January that continuous futures symbols would "be available for all by the next contract expiration", and then none of them rolling properly in March or even being usable due to corrupt data (@EU# is still corrupt 14/3 - 17/3), can you confirm:

1. which method you will use to roll in June.
2. that the "beta" status of your continuous futures will be removed before June. You've had plenty of time, experience, and feedback to go live now. Many of your competitors have had this service for years.

Many thanks,

Brendan

Jay,

Can you provide us with a realistic date when the continuous Futures data will be available.

Bill

Jay,

It's now June. Most futures will roll in a matter of days. Please can you urgently tell us the status of DTN's continuous futures symbols?

In particular:
1. What method you will use to roll them.
2. Whether this is now a supported service.

Many thanks,

Brendan

FYI, the CME currency futures should roll on Monday 6th of June according to http://www.cme.com/trading/prd/fx/rolldates3745.html

Are we going to actually get continuous contracts. Maybe someone with high security clearance could peek inside the beta department and let us know if we have a shot at them this time around.

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Tradinoncoffee

I spoke to Jay on the phone earlier in the week, he said there's new code in place that should roll the continuous futures properly this time. It seems not all the existing continuous futures are running this new code, so if you are concerned that the one you trade isn't, I recommend you give DTN a call and request that it be included.