eSignal has had continuous contract symbols for many years to allow users to chart U.S. domestic futures contracts. These familiar symbols use #F to replace the month and year code and can be entered into any of the eSignal windows. In a chart window, they display a continuous chart made by stringing contracts together and the front month of the specific contract in a quote or detail window.

These have been very useful symbols, but have had two limitations. The first is that the connection of the contracts is based on a calendar file we’ve created based on exchange specifications, and a user cannot change the dates we use to roll between contracts. The second limitation is that they have only worked with U.S. domestic symbols and not any of the International contracts.

With the introduction of eSignal 7.9, these two limitations have been eliminated. Read on to hear about the new format for continuous contracts and how you can set up your own rules for how a future’s contracts are strung together for charting.

New Format

Because we don’t want to create any problems for users still on older versions of eSignal, the #F symbology will continue to work as before. But, we needed a new format, so we looked for help from our new brothers and sisters at Future Source and patterned the new symbology after the format used in their Workstation product.

This new format replaces the month and year code with a number followed by an exclamation point (for example, 1!, 2!, 3!, …). This new format will replace the #F and take it a step further. 1! directly replaces the #F symbol. This will be the front month when entered into a quote or detail window. Using 2! will allow you to get the next forward contract, 3! will give you the following forward contract, and so on.

As an example, let’s assume that the current front month is June 05 (M5). SP M5 would be equivalent to SP 1!, SP U5 would be equivalent to SP 2!, and SP Z5 would be equivalent to SP 3!. (See Figure 1 for this comparison in a quote window.)

These new symbols are being created by the eSignal program locally on your computer and are not in the datafeed. This means that these symbols cannot be used in 3 rd party applications, such as MetaStock, which connect directly to the Data Manager, and they cannot be used with features such as DDE links into Excel. While this isn’t a perfect situation, the benefits of these new symbols completely outweigh this.

Figure 1: New Symbols in a Quote Window
alongside the Standard Symbols

International Flair

Because these new symbols are being created on the user’s desktop and not in the datafeed, you are able to build continuous contracts for any future symbol, including an international contract, such as the DAX. The symbol AX M5-DT can now be replaced by AX 1!-DT.

This opens up a whole new world for those of you who follow these contracts. For the first time, you can enter this new symbol into an historical chart and see data going further back than the current contract month. (See Figure 2 for a look at a historical chart of the DAX.)

Figure 2: Historical Advanced Chart of the DAX,
Using the New Continuous Contract Symbology

Basic Usage

While the section following this one will describe how you can set up your own rules for building a custom continuous symbol, it’s still possible to use these symbols without having to do anything other than entering the new symbols into a window.

We’ve set up default rules for all U.S. domestic contracts and are in the process of creating new rules for international contracts. We’re starting with the major contracts and working our way through the rest. A new file in the datafeed controls these defaults. If you enter one of these new symbols into a window, the application will first look to see if you’ve created a custom rule. If not, it will look to this new file to see if there’s a default rule available.

If there’s no custom rule and no default rule yet in the new file, the application will use a basic rule to string the past contracts together. It will roll the contracts on the 1 st of each of the 4 quarterly months (March, June, September and December). While this rule may not be the best for many of the contracts, it will at least allow you to get some level of data. For the cases where this default doesn’t work well, you’ll need to read the next section to learn how to create your own custom preferences.

Custom Settings

If there isn’t any existing default for a contract or if you’d prefer to have the contracts strung together in a different way than the manner in which we have the defaults set up, you’ll need to get familiar with the new settings tool to do it yourself. Click on Tools from the main eSignal menu and select Continuous Contracts Settings. This will bring up a configuration dialog window (as seen in Figure 3).

This is where you’ll create roll templates, assign contracts to these templates and decide which months to be included in the symbol. Some users may choose to include all contracts traded for a specific symbol while others may decide to only use some of the traded months.

Figure 3: Configuration Dialog

Let’s start with the Roll Templates, which are used to decide when to make a change between one contract and the next. Click on the New button to the right of the Roll Templates to get started. This will prompt you with a field to name the template. I suggest that you name it in a way that makes it obvious what roll preferences you’re setting up, so you won’t need to go back into each one before assigning them to symbols.

Once in the window, you’ll have three areas to make decisions in. The first is the type of roll date. You can choose day of the week, which is good for contracts where you want to roll over on something like the 2 nd or 3 rd Tuesday of a specific month. When you choose this, the Roll Date Base section will give you drop-down lists from which to pick the 1 st through the 4 th and from Monday to Sunday.

The last area is for an Offset. You may, as an example, want to roll the contracts three days before the second Monday, or three days after the fourth Thursday. You need to enter a negative number (such as –3) when offsetting to 3 days before and a positive number (such as 3) when offsetting to 3 days after a given day.

The other type of roll date is day of the month, which is what you’d want to use to pick a specific date on each roll month (such as the 15 th of the month as an example). When you choose this type, the Roll Date Base section changes to give you a single drop-down with a list from the 1 st to the 31 st.

Even though it may not make sense to think about an offset for this type of roll, there can be times when this is useful. Say, for example, that I want to roll 5 days before the end of the month: The date will be different depending on how many days are in each of the months selected.

To use this type properly, you really need to start with the 1 st of the following month and then do a -5 offset. Because of this need, there is a pull-down list to the right of the roll date base to choose the current month, the previous month and the next month. (See Figure 4 for an image of what the configuration would look like doing five days before the end of the month.)

One final thing about the offset has to do with if you want to base it on calendar days or business days. If you choose business days, the weekends and any trading holidays are removed from the calculation. Once the template is configured, click OK and the template name will appear in the pull-down list of Roll Templates.

Figure 4: Roll Template for Switching Contracts
5 Days before the End of the Month

Once you have your template(s) created, you can start assigning symbols to them. To do this, you need to click the New button to the right of the Contracts field. Enter the 2 or 3 letter root symbol in the first field without entering any month / year code or any exchange extension.

If this is a U.S. domestic future symbol that doesn’t have any exchange extension, you’re done and just need to click OK. If your symbol uses an exchange extension, such as –DT or –EUS, you’ll need to enter that extension without the dash in the second field. (See Figure 5 for the way you would enter the DAX as a new symbol.)

The new symbol will now be in the Contracts drop-down list and the one in focus. To assign a template to this symbol, select it from the pull-down list of Roll Templates. You also need to place a check mark for each of the months to include.

The only other thing to decide before closing the configuration window is whether you want historical charts using a specific symbol to back adjust by placing a check mark in the Back Adjustment section. When this is not selected, each contract in the chart will be strung together exactly as it is, which could create a gap between the close price of the last day of one contract month to the open price of the first day in the next contract month. This may be what you want to see if you want to make sure you’re looking at the actual prices.

If you’re doing any long-term technical analysis on the chart, you may want the contracts to string together in a smoother fashion and take out those gaps. When this feature is selected, a calculation is done at each of the roll dates going backward so that the close price of the previous contract is brought up or down by a necessary factor to get the bars in line with each other. This smoothes out the chart, but the OHLC values of each bar of the previous contract are then adjusted by the exact same price as was necessary to line up the bars on the roll date.

The values and ranges of each of the bars still remain intact, but they are lowered or elevated from their exact values. As you continue to go back through the contract months, this process continues. The value of the bars from a contract month several years back may be quite a bit different from the actual values as you make each of the adjustments, but they will still be accurate as far as the ranges go and in terms of how they look relative to the surrounding bars.

My advice would be to use this feature only when you’re concerned with the technical studies and not as concerned about the actual prices of each bar. The current contract will always be unchanged, so you don’t ever have to worry about looking at bad values for the current day’s data.

Figure 5: Symbol Entry for Setting Up the DAX

Continued Improvements

This new feature takes charting of future’s contracts to a whole new level, and we’ve already had a lot of very great feedback. We’ll continue to add more contracts to the default settings in the feed to make it easier for you to look at international contracts and may even look to our users to help us decide the best default rules for these contracts.

We’re also looking into more ways to improve this feature in the future. While we can only set rules based on the calendar right now, we’d also like to give you the ability to set more fluid rules based on Volume and Open Interest. This is something we’re working on, but it does add a great deal of complexity to the feature and will take some work before we can include it.

In the meantime, I hope you take the time to start using these new symbols and enjoy all the new benefits of being able to take more control of the data.