Hi, I'm a stock trader and just starting studying futures. It's very helpful this thread about volume. But I'm still in doubt about prices: considering a long term trader, how should she/he consider the previous months prices in a new contract chart? I understand that we can have both contracts been traded, so how can we merge the prices from the previous contracts to the new ones? Is it work like this? Sorry if it's a too stupid question, but I'm trying to figure it out. Thanks in advance.
Use a "Continuous Contract" if you need to plot over a few month's history. This takes into consideration rollover of a contract. Check out the CME website tutorials! http://www.cme.com/edu/
using a continuous contract like Ebo suggested is what most people do if you want to chart the contract. If you're using eSignal then tag #F onto the symbol instead of the contract month so ES #F instead of ES H6. Also if you're trading longer term and want to look at several months of data then better to look at the cash index and base your trading decisions off patterns in the cash because it is not affected by a changing premium over time. If you're day trading then use the future prices.
Don't forget rollover tomorrow! Top Tip: Change your symbols on both charts and trading platforms NOW before you forget and then no hassle or rush tomorrow before the market opens.
Thanks Guy. Everything is ready for the open now. It sure makes a mess out of the charts though. What a gap ;-) OT: Do you think the Big Dow will steal much thunder from the mini when it starts trading?
No I don't. Reason: Because CME are changing NQ size from .5 to .25 I think that CME are testing this change as a pre-cursor to changing the ES from .25 to .1. If that happens then ES will be protected.
I doubt it (I am a Merc member). ES volume is still growing month to month. NQ volume, on the other hand, has lost much to ER (and YM, I believe). So, Merc will probably not mess with a success (ES), but will thinker with NQ to attempt to reverse the drop the volume. Merc already tried to increase the messaging cancel / fill ratio for NQ to 20 : 1 (vs 5 : 1 for ES) during 4Q2005. This means that technically someone can stack the order book with 1 lot orders, and cancel orders until a "freakly" fill happens, therefore generating a tick or two of profit. This experiment didn't attract any increase to NQ volume, so now they are trying to reduce the tick size.
why are there even rollovers in index futures, its not like a physical commodity is being delivered also right now mar YM at 10997 and jun YM at 11073, why this difference?