The Importance of Custom Futures Symbols at Index Rollover

In recent years, the US stock index futures markets have shifted their rollover practices, and TradeStation’s standard continuous contracts have not been adjusted accordingly. With volume-centric analysis tools like Insider Bars, this can cause significant differences in analysis results. For best results, you should use custom continuous contracts which may be tailored to current market practices.

Life used to be simple: Everyone switched from the old S&P contract to the new one on Thursday before expiration. Then electronic markets and overnight trading entered the picture, and things changed. In today’s world, the contract switch occurs at the beginning of the Friday overnight session (Thursday evening in the US).

So what happens if you continue to use the old switch-a-day-early timing?

  • Reduced liquidity
  • Missing bars
  • Less accurate volume analysis

Here are some examples from today, Thursday, after TradeStation rollover. The blue bars and blue volume displays are standard TradeStation @ contracts, and the red bars are the old September contracts. (Times are US Central Time Zone)

Emini S&P 500 Overnight Trading

Note how the old contract (red) still has the vast majority of the volume.

Emini S&P 500 at Stock Market Open

Even after stocks open, the old contract volume dwarfs the TradeStation @ symbol.

Emini Midcap Futures

You don’t even have to look at the volume display  to see the difference here; minutes go by with no trades!

As you can see, it makes a big difference when you roll too early — especially when using volume analysis like Insider Bars.

Custom continuous futures SYMBOLS

TradeStation has an excellent custom futures function, which allows you to roll your contracts as needed. To read more about how this works, click here.

US stock index futures roll based on expiration date. To mimic TradeStation’s @ contracts, you would use @ES=107XC for Emini S&P 500. What you want to do though is to make the symbol roll one day later than TradeStation’s. To do this, use @ES=106XC. You can also create custom futures symbols via chart settings. And, you can make tradable symbols, e.g., @ESZ18=106XC. And you can do all the same with pit session stock index symbols, for example @ESZ18.D=106XC.

These symbols are all back-adjusted. If you wish to make an unadjusted symbol, use “XN” instead of “XC”.

Insider Bars is all about delivering the most precise analysis possible. And to do that, you need to use the right data. I would strongly encourage you to employ custom continuous futures.