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»Forums Index »Archive (2017 and earlier) »POLLS & SURVEYS »Continuous Contract Roll Process

Poll:

Roll when Previous Volume is greater on the next contract (Front Month is contract with greatest Volume):			12 (80%)
Roll on Expiration Date:			2 (13%)
Other (Please describe with a new post):			1 (7%)
Roll when Open Interest is great on the next contract (Front Month is contract with greatest Open Interest):			0 (0%)

DTN_Jay_Froscheiser
-VP, Product Operations-
Posts: 1746
Joined: May 3, 2004

DTN IQFeed/DTN.IQ/DTN NxCore

Posted: Jan 10, 2005 09:30 AM

Msg. 1 of 7

What is your preferred method for contract roll processing on front month contracts (continuous contracts)?

Jay Froscheiser
DTN Market Access, LLC.

tradinoncoffee
-Interested User-
Posts: 38
Joined: Dec 9, 2004

Posted: Mar 1, 2005 10:10 PM

Msg. 2 of 7

My charting softward, Ensign Windows, provides a number of choices, but it seems that the 8th of the expiration month is the popular practice

Tradinoncoffee

Lucky
-Interested User-
Posts: 1
Joined: Jul 29, 2006

Posted: Jul 29, 2006 11:20 AM

Msg. 3 of 7

A choice to roll:

1. with volume increase
2. With increase in OI
3. Roll when BOTH OI and Volume increase
4. User defined Roll-date -- i.e. 8 days before contract expiration

jpm
-Interested User-
Posts: 5
Joined: Dec 13, 2012

Posted: Dec 13, 2012 09:30 PM

Msg. 4 of 7

Did you folks ever implement this contract roll improvement? it looks like 80% want it to roll based on volume. CQG rolls this way as well it would be great to implement this.

DTN_ToddH
-DTN Guru-
Posts: 287
Joined: Oct 6, 2011

Posted: Dec 14, 2012 08:09 AM

Msg. 5 of 7

Hello JPM,

We have been working on this project and expect to have a new continuous contract for the grains available in 2013 - but I do not have a specific date yet. Thank you for your interest.

jpm
-Interested User-
Posts: 5
Joined: Dec 13, 2012

Posted: Jan 28, 2013 06:33 PM

Msg. 6 of 7

Todd, it would be best if you folks did this also for energy, softs and index contracts such as the e-mini S&P. It looks like you folks are focusing just on grains for this feature (based on your comment). Other platforms such as CQG roll contracts this way.

Do you know when in 2013 this feature will be available?

DTN_ToddH
-DTN Guru-
Posts: 287
Joined: Oct 6, 2011

Posted: Jan 29, 2013 07:35 AM

Msg. 7 of 7

Hello jpm,

We already have rollover rules for the contracts that you mentioned that are designed to stay in the more active months. We mention the grains above because they still roll on expiration date in IQFeed. If you are interested, you can see the rollover dates on the Symbol Guide pages at www.iqfeed.net - they are listed with the symbols under their corresponding exchange links. Thank you.