Tick Data Futures FAQ

Futures FAQ

If you have any questions about our data or software products, you can likely find the answers here amongst our FAQ, File Format Guides, and TickWrite® User Guides. However, if you cannot find the answer to your question and/or prefer to speak with one of our data experts, please contact Tick Data today.

Can I create continuous files of multiple futures contracts?

YES. Using several of our Data Delivery Options it is simple to build continuous contracts using several different roll methodologies and adjustment types.

What if I find a problem with my data?

Tick Data works very diligently to ensure the data is as clean and robust as possible. However, no data set is perfect. If you find any questionable anomalies, please contact our Support Desk. We will make every attempt to fix the problem.

How is my data delivered?

Our preferred method of delivering data is via download.  However, if the data set is too large to deliver via download, we will ship your data to you on external hard drive (shipping & handling charges will apply).

Is the data clean?

Our mission is to provide clean historical intraday data. We employ several proprietary tick filtering algorithms and verification methodologies to remove or repair what we deem to be suspect ticks. Most of our data file contain both raw and filtered prices.

Does the futures data contain a second or millisecond time stamp?

Since Jun-1-2003, all of our futures data contains a second time stamp (e.g. HH:MM:SS). Prior to then, some of our data has seconds, but most does not. From Jul-1-2011 forward, all futures data contains a millisecond time stamp (e.g. HH:MM:SS.000).

Why do the futures trading volumes observed in End-of-Day data not equal the volumes in Tick Data’s “Daily” data files?

Tick Data’s “Daily” files are produced by aggregating the open, high, low, close and volume from a day’s tick-by-tick trade data. Official “End-of-Day” (EOD) data is acquired by EOD data vendors (including online and electronic outlets like Yahoo!, Bloomberg and CSI Data), who receive the official information from exchanges or data wholesalers. Official EOD data includes trades that did not occur on the exchange, such as Exchange-For-Physicals (EFPs) and block trades. Prior to Jul-1-2011, these off-exchange transactions are not found in our intraday trade data. They did not actually trade on the exchange, but since they must clear through the exchange’s clearing house, they are included in the official figures. From Jul-1-2011 on, these trades are in our data, though they are excluded from output by default. They can be included in the output by checking the “Use Excluded Records in Output” box under TickWrite’s Formatting/Filtering tab.

Is quote data available for all futures contracts?

We have futures quote data available for all symbols starting Jan-4-2010. Quote data is top of book (Level 1 or BBO) and includes corresponding trade data free of charge. Trade and quote data are not interlaced and are delivered in separate files. See a complete listing of our available futures data »

What is the source of the futures and cash index data?

Since Tick Data began offering historical intraday data in 1984, we have sourced our futures and cash index data from various reputable sources, including data vendors and directly from exchanges. The data was not collected in real-time, but rather was downloaded from the source after the close of trading. The data is then validated, filtered and compressed for delivery to our clients. However, some exchanges do not grant redistribution rights, or don’t archive their data, or archive their data in a manner that the resulting files are not usable for our purpose of building a complete, accurate high-frequency research data set. So for all futures & cash index data since January 2010 we use a triple-redundant data collection & archival process whereby a direct exchange data feed is collected into three (3) geographical diverse data centers, over three separate lines. The resulting archives are then compared to ensure the most complete, accurate archive possible.

Does Tick Data provide the complete history of trading for each contract month?

Prior to Jul-1-2003, we were limited by the original Tick Data file naming convention, which only allowed for 11 months of history for each contract month. For example, the June 2001 Eurodollar contract (EDM01) could not contain history prior to July 2000 or the files would have the same name. In July 2003, we changed our format and file naming convention to allow the storage of data for all contract months. It took a few years to capture data for far-out contracts, but since then we have data for all active contract months.

Does the futures data contain trade volume information?

All electronic session data since Jul-1-2003 contains trade volume, but prior to that date, there is no trade volume data available. Additionally, trade volume information is not available for Pit sessions, so Pit trades are designated by having a volume value of “0.”

How can I receive updates to the data?

Tick Data offers daily update subscriptions for all markets (limited number of options quote data symbols) that can be retrieved automatically using TickWrite 7’s Scheduler feature. Clients can subscribe to data updates in one-year terms. Learn more about data update subscriptions

Does the data include GLOBEX, electronic or the overnight sessions?

Data for electronic and overnight sessions is included for all applicable markets beginning Jul-1-2003. Prior to then, our futures data contains only day session data.

Is the E-mini data 24 hours?

Our E-mini data, futures contracts that represent a fraction of the value of normal contracts, contains the full 24-hour session, with volume, beginning on Jul-1-2003. Prior to then, it begins each day at 12:00 a.m. and ends at 3:15 p.m. Central time.

In what format does the data come?

We deliver all of our data (both as-traded and time series) in comma-delimited text files.

In what time zone is the data?

All of our data is delivered in the time zone of the instrument’s exchange. For Options, that means OPRA's native time zone, U.S. Eastern Time. Forex data is also in U.S. Eastern Time. Using one of our data tools, you can output the data in any time zone.

What software can I use to analyze the data?

Virtually any software that can import delimited text files can read our data (e.g. OneTick©, Microsoft Excel®, NinjaTrader®, MetaTrader®, TradeStation®, MATLAB®, etc.). If you have questions about whether or not your software can analyze our data, contact us.

Do I need Windows® to use the data?

No. The delimited text files (both as-traded and time series) can be used with any operating system. Likewise, our TickWrite® Web data management software is browser-based and can be used with any OS. However, if you wish to use our TickWrite® 7 data management software, it is only available for Windows® or Linux®.

TickWrite Support

  • Instructions for creating Futures Data time series begin on page 44 of the TickWrite User Guide.
  • Instructions for creating Cash Index and Indicator Data time series begin on page 61 of the TickWrite User Guide.

Recommended Roll Dates

TickWrite offers a variety of roll methods for creating continuous futures data files. While most futures contracts will roll using TickWrite’s default FRONT and AUTO settings for “Contract” and “Roll Method” respectively, some contracts will not roll using these settings. The table below details recommended “Contract” and “Roll Method” settings for each futures symbol. Some symbols require additional setting, which are also noted. Very thinly-traded symbols that do not have enough data to produce continuous files are noted as “Too Thin to Roll.”

SymbolDescriptionExchangeSectorRoll DateRecommended “Contract” – “Roll Method”
ADAustralian Dollar FuturesCME GROUPCurrency11Most Active – AutoRoll
AGSilver FuturesShanghai Futures ExchangeMetals22Most Active – AutoRoll
AIDJ UBS Commodity Index FuturesCME GROUPCommodity Index11Most Active – AutoRoll
ALAluminum Futures MCXMulti Commodity Ex. of IndiaMetals29Front – AutoRoll
ALAAluminum FuturesShanghai Futures ExchangeMetals8Most Active – AutoRoll
AMAluminum Mini Futures MCXMulti Commodity Ex. of IndiaMetals28Front – AutoRoll
AUAustralian 90-Day Bank Bill FuturesASX Trade24Interest Rate01st Back – AutoRoll
AUGGold FuturesShanghai Futures ExchangeMetalsN/AMost Active – AutoRoll
AXAustralian 10-Year Bond FuturesASX Trade24Interest Rate0Most Active – AutoRoll
AYAustralian 3-Year Bond FuturesASX Trade24Interest Rate0Front – AutoRoll
AZ30-Day Interbank Cash Rate FuturesASX Trade24Interest Rate3Front – AutoRoll
BBBlockboard FuturesDalian Futures ExchangeIndustrialN/AToo Thin to Roll
BDBig Dow DJIA ($25) FuturesChicago Board of TradeEquity Index12Too Thin to Roll
BFEuro-OAT FuturesEurexInterest Rate5Most Active – AutoRoll
BGICash Settled Live Cattle Futures BMFBBolsa de Mercadorias e FuturosAgriculture20Most Active – AutoRoll
BLEuro-Bobl 5-Year FuturesEurexInterest Rate28Most Active – AutoRoll
BMBovespa Futures, MiniBolsa de Mercadorias e FuturosEquity Index14Front – Expiration
BNEuro-Bund 10-Year FuturesEurexInterest Rate28Most Active – AutoRoll
BOSoybean Oil FuturesChicago Board of TradeAgriculture*20Most Active – AutoRoll
BPBritish Pound FuturesCME GROUPCurrency10Most Active – AutoRoll
BRIBOVESPA Index FuturesBolsa de Mercadorias e FuturosEquity Index0Most Active – AutoRoll
BRLBrazilian Real FuturesCME GROUPCurrency8Front – AutoRoll
BSShort-Term Euro-BTP FuturesEurexInterest Rate6Most Active – AutoRoll
BTLong-Term Euro-BTP FuturesEurexInterest Rate6Most Active – AutoRoll
BUBitumen FuturesShanghai Futures ExchangeEnergyN/AMost Active – AutoRoll
BXEuro-Buxl 30-Year FuturesEurexInterest Rate28Most Active – AutoRoll
BZEuro-Schatz 2-Year FuturesEurexInterest Rate28Most Active – AutoRoll
CLondon Cocoa Futures ICEICE Futures Europe CommoditiesAgriculture8Most Active – AutoRoll
CAFTSE China A50 Futures SGXSingapore Exchange (was SIMEX)Equity Index29Most Active – AutoRoll
CBCanadian 10-Year FuturesMontreal ExchangeInterest Rate*27Most Active – AutoRoll
CCCocoa FuturesICE Futures US SoftsAgriculture*15Most Active – AutoRoll
CDCanadian Dollar FuturesCME GROUPCurrency10Most Active – AutoRoll
CFCAC 40 Index FuturesEuronext Derivatives ParisEquity Index0Most Active – AutoRoll
CFCCotton No.1 FuturesZhengzhou Commodity ExchangeAgricultureN/AMost Active – AutoRoll
CLLight Crude Oil Futures NYMEXNew York Mercantile ExchangeEnergy*19Most Active – AutoRoll
CMCorn E-Mini FuturesChicago Board of TradeAgriculture*20Most Active – AutoRoll
CNCorn FuturesChicago Board of TradeAgriculture*20Most Active – AutoRoll
COBrent Crude Oil Futures ICEICE Futures Europe CommoditiesEnergy0Most Active – AutoRoll
COKECoke FuturesDalian Futures ExchangeMetalsN/AMost Active – AutoRoll
CORNCorn FuturesDalian Futures ExchangeAgricultureN/AMost Active – AutoRoll
CRCrude Oil Futures MCXMulti Commodity Ex. of IndiaEnergy20Most Active – AutoRoll
CRUDDubai Crude Oil TOCOMTokyo Commodity ExchangeEnergy3Front – Inception; “Days After” = 1
CSDCE Corn Starch FuturesDalian Futures ExchangeMetalsN/AMost Active – AutoRoll
CSCCash-Settled Cheese FuturesCME GROUPAgricultureN/AMost Active – AutoRoll
CTCotton #2 FuturesICE Futures US SoftsAgriculture*20Most Active – AutoRoll
CUCopper Futures MCXNew York Mercantile ExchangeMetals29Front – Date = 29
CUCCopper Cathode FuturesShanghai Futures ExchangeMetals13Front – AutoRoll
CXCanadian Bankers’ Acceptance 3-Month (BAX)  FuturesMontreal ExchangeInterest Rate28Most Active – AutoRoll
DADAX Index FuturesEurexEquity Index17Most Active – AutoRoll
DCClass III Milk FuturesCME GROUPAgricultureN/AMost Active – AutoRoll
DJDJIA ($10) FuturesChicago Board of TradeEquity Index12Most Active – AutoRoll
DMGerman Mark FuturesCME GROUPCurrency10Most Active – AutoRoll
DOU.S. Dollar Futures BM&F BOVESPABolsa de Mercadorias e FuturosCurrency30Most Active – AutoRoll
DRUSD/INR Currency Futures MSEINatl Stock Exchange of IndiaCurrency27Most Active – AutoRoll
DXDollar Index Futures ICEICE Futures US CurrenciesCurrency1Most Active – AutoRoll
DYDry Whey FuturesCME GROUPAgricultureN/AMost Active – AutoRoll
ECEuro FX FuturesCME GROUPCurrency10Most Active – AutoRoll
ECFEUA Futures ICEICE Futures Europe CommoditiesEnergy14Most Active – AutoRoll
ECORapeseed FuturesEuronext Derivatives ParisAgriculture23Most Active – AutoRoll
EDEurodollar  Futures CMECME GROUPInterest Rate*15Most Active – AutoRoll
EEEuro FX E-mini FuturesCME GROUPCurrency10Most Active – AutoRoll
EIMSCI Emerging Markets Mini FuturesICE Futures US IndicesEquity Index12Most Active – AutoRoll
ELEurodollar Futures NYSE Liffe USICE Futures Europe FinancialsInterest Rate21Front – AutoRoll
EMLIBOR 1-Month FuturesCME GROUPInterest Rate*28Front – AutoRoll
ENNikkei 225 Futures SGXSingapore Exchange (was SIMEX)Equity Index0Most Active – AutoRoll
EOAmsterdam AEX Index FuturesEuronext Derivatives AmsterdamEquity Index*20Most Active – AutoRoll
ERRussell 2000 eMini ICE/CME CombinedCME GROUPEquity Index12Most Active – AutoRoll
ESS&P 500 E-Mini FuturesCME GROUPEquity Index12Most Active – AutoRoll
ETDenatured Ethanol Futures CBOTChicago Board of TradeEnergy*20Front – AutoRoll
EUEuro FX E-micro FuturesCME GROUPCurrency13Most Active – AutoRoll
FBFiberboard FuturesDalian Futures ExchangeAgricultureN/AToo Thin to Roll
FCFeeder Cattle FuturesCME GROUPAgriculture*29Most Active – AutoRoll
FCPOCrude Palm Oil FuturesBursa MalaysiaAgriculture17Most Active – AutoRoll
FF30-Day Federal Funds FuturesChicago Board of TradeInterest Rate*283rd Back – AutoRoll
FGGlass FuturesZhengzhou Commodity ExchangeIndustrialN/AMost Active – AutoRoll
FI5-Year Deliverable Interest Rate Swap FuturesChicago Board of TradeInterest Rate7Front – Date = 7
FKLIFTSE Bursa Malaysia KLCI FuturesBursa MalaysiaEquity Index29Most Active – AutoRoll
FNCNX Nifty Index Futures SGXSingapore Exchange (was SIMEX)Equity Index27Most Active – AutoRoll
FS5-Year Interest Rate Swap FuturesChicago Board of TradeInterest Rate*28Most Active – AutoRoll
FTFTSE 100 Index FuturesICE Futures Europe FinancialsEquity Index21Front – Expiration
FUFuel Oil FuturesShanghai Futures ExchangeEnergyN/AToo Thin to Roll
FVUS 5-Year T-Note FuturesChicago Board of TradeInterest Rate*28Most Active – AutoRoll
FVSVXSTOXX FuturesEurexEquity Index14Front – Days Prior to Expiration = 1
FXXPStoxx Europe 600 Index FuturesEurexEquity Index19Most Active – AutoRoll
GASOGasoline Futures TOCOMTokyo Commodity ExchangeEnergy28Front – Inception; “Days After” = 1
GCGold Futures COMEXCommodity Exchange, Inc.Metals*27Most Active – AutoRoll
GDGold Futures MCXMulti Commodity Ex. of IndiaMetals30Most Active – AutoRoll
GLLong Gilt FuturesICE Futures Europe FinancialsInterest Rate5Front – Date = 5
GMGold Mini Futures MCXMulti Commodity Ex. of IndiaMetals20Most Active – AutoRoll
GNFNon-Fat Dry Milk FuturesCME GROUPAgricultureN/AMost Active – AutoRoll
GOLow Sulphur Gasoil Futures ICEICE Futures Europe CommoditiesEnergy0Most Active – AutoRoll
GPGold Petal Futures MCXMulti Commodity Ex. of IndiaMetals23Most Active – AutoRoll
HCH-Shares Hang Seng China Enterprises IndexHong Kong Futures ExchangeEquity Index29Front – Expiration
HCHHot-rolled Coil FuturesShanghai Futures ExchangeMetalsN/AMost Active – AutoRoll
HGCopper High Grade Futures COMEXCommodity Exchange, Inc.Metals*27Most Active – AutoRoll
HIHang Seng Index FuturesHong Kong Futures ExchangeEquity Index28Front – Expiration
HMMini Hang Seng Index FuturesHong Kong Futures ExchangeEquity Index29Most Active – AutoRoll
HOHeating Oil #2 Futures NYMEXNew York Mercantile ExchangeEnergy*27Most Active – AutoRoll
HUUnleaded Gasoline Futures NYMEXNew York Mercantile ExchangeEnergy*27Most Active – AutoRoll
IBIBEX 35 Index FuturesMeff Renta Variable (Madrid)Equity Index18Front – Expiration
IDMSCI Indonesia Index FuturesSingapore Exchange (was SIMEX)Equity Index27Most Active – AutoRoll
IGNYH (RBOB) Gasoline Futures ICEICE Futures Europe CommoditiesEnergy0Most Active – AutoRoll
IIFTSE MIB Index FuturesBorsa Italiana (IDEM)Equity Index18Most Active – AutoRoll
IMFTSE MIB MiniBorsa Italiana (IDEM)Equity Index17Front – AutoRoll
INUK Natural Gas Futures ICEICE Futures Europe CommoditiesEnergy0Most Active – AutoRoll
IOHeating Oil Futures ICEICE Futures Europe CommoditiesEnergy0Most Active – AutoRoll
IRODCE Iron Ore FuturesDalian Futures ExchangeMetalsN/AMost Active – AutoRoll
IUSGX INR/USD FutureSingapore Exchange (was SIMEX)Currency27Most Active – AutoRoll
IXIBEX 35 Mini FuturesMeff Renta Variable (Madrid)Equity Index16Most Active – AutoRoll
JAPlatinum Futures TOCOMTokyo Commodity ExchangeMetals0Front – Inception; “Days After” = 1
JBJapanese 10-Year Bond Futures JPXOsaka ExchangeInterest Rate12Most Active – AutoRoll
JBMMini 10-Year Japanese Government Bond FuturesSingapore Exchange (was SIMEX)Interest Rate9Most Active – AutoRoll
JDEgg FuturesDalian Futures ExchangeAgricultureN/AMost Active – AutoRoll
JEJapanese Yen E-Mini FuturesCME GROUPCurrency10Most Active – AutoRoll
JGGold Futures TOCOMTokyo Commodity ExchangeMetals0Front – Inception; “Days After” = 1
JMGold Mini-sized Futures TOCOMTokyo Commodity ExchangeMetals28Most Active – AutoRoll
JMCOCoking Coal FuturesDalian Futures ExchangeMetalsN/AMost Active – AutoRoll
JOOrange Juice FuturesICE Futures US SoftsAgriculture1Most Active – AutoRoll
JP400Nikkei 400 Futures JPXOsaka ExchangeEquity Index11Most Active – AutoRoll
JRJaponica Rice FuturesZhengzhou Commodity ExchangeAgricultureN/AToo Thin to Roll
JYJapanese Yen FuturesCME GROUPCurrency10Most Active – AutoRoll
KCCoffee “C” FuturesICE Futures US SoftsAgriculture*20Most Active – AutoRoll
KEKorean 3-Year FuturesKorea ExchangeInterest Rate20Most Active – AutoRoll
KEROKerosene Futures TOCOMTokyo Commodity ExchangeEnergy24Front – Inception; “Days After” = 2
KMKOSPI 200 FuturesKorea ExchangeEquity Index0Front – Expiration
KRKEuro/Swedish Krona FutureICE Futures US CurrenciesCurrency11Most Active – AutoRoll
KWKC HRW Wheat FuturesCBOT/CME GROUPAgriculture*16Most Active – AutoRoll
LBLumber FuturesCME GROUPAgriculture*24Most Active – AutoRoll
LCLive Cattle FuturesCME GROUPAgriculture*29Most Active – AutoRoll
LDLead Futures MCXMulti Commodity Ex. of IndiaMetals29Most Active – AutoRoll
LHLean Hogs FuturesCME GROUPAgriculture*24Most Active – AutoRoll
LRLate Indica Rice FuturesZhengzhou Commodity ExchangeAgricultureN/AToo Thin to Roll
M6AE-micro Australian Dollar FuturesCME GROUPCurrency12Most Active – AutoRoll
M6BE-micro British Pound FuturesCME GROUPCurrency12Most Active – AutoRoll; Use Begin Date 1/3/2011
MAMethanol FuturesZhengzhou Commodity ExchangeIndustrialN/AMost Active – AutoRoll
MBMunicipal Bonds FuturesCME GROUPInterest Rate*28Most Active – AutoRoll
MCMini H-Shares China Enterprises Index FuturesHong Kong Futures ExchangeEquity Index28Most Active – AutoRoll
MCDE-micro Canadian Dollar/American Dollar FuturesCME GROUPCurrency12Most Active – AutoRoll
MDS&P 400 MidCap FuturesCME GROUPEquity Index12Too Thin to Roll
MEMexican Peso FuturesCME GROUPCurrency10Most Active – AutoRoll
MFCJCAC 40 Index Mini FutureEuronext Derivatives ParisEquity Index17Most Active – AutoRoll; Use Begin Date 1/20/2014
MGMSCI EAFE Mini FuturesICE Futures US IndicesEquity Index12Most Active – AutoRoll
MGCE-micro Gold FuturesCOMEX/CME GROUPMetals*29Most Active – AutoRoll
MIS&P 400 MidCap E-Mini FuturesCME GROUPEquity Index12Most Active – AutoRoll
MJYE-micro Japanese Yemerican DollarFuturesCME GROUPCurrency12Most Active – AutoRoll
MLLead Mini Futures MCXMulti Commodity Ex. of IndiaMetals29Most Active – AutoRoll
MSSoybean E-Mini FuturesChicago Board of TradeAgriculture*20Most Active – AutoRoll
MWWheat E-Mini Futures CBOTChicago Board of TradeAgriculture*20Most Active – AutoRoll
NANatural Gas Futures MCXMulti Commodity Ex. of IndiaEnergy27Most Active – AutoRoll
NBBank Nifty Futures NSENatl Stock Exchange of IndiaEquity Index25Most Active – AutoRoll
NDNASDAQ 100 Index FuturesCME GROUPEquity Index12Most Active – AutoRoll
NENikkei 225 Futures JPXOsaka ExchangeEquity Index0Front – Days Prior to Expiration = 1
NFS&P CNX Nifty Index Futures NSENatl Stock Exchange of IndiaEquity Index26Most Active – AutoRoll
NGNatural Gas Futures NYMEXNew York Mercantile ExchangeEnergy0Most Active – AutoRoll
NINickel Futures MCXMulti Commodity Ex. of IndiaMetals29Most Active – AutoRoll
NINSHFE Standard Nickel Cathode FuturesShanghai Futures ExchangeMetalsN/AMost Active – AutoRoll
NJNorwegian Krone/Swedish Krona Futures ICEICE Futures US CurrenciesCurrency12Too Thin to Roll
NKNikkei 225 Futures CMECME GROUPEquity Index0Front – Expiration
NLNickel Mini Futures MCXMulti Commodity Ex. of IndiaMetals30Most Active – AutoRoll
NMNikkei 225 mini Futures JPXOsaka ExchangeEquity Index9Most Active – AutoRoll
NQNASDAQ 100 E-Mini FuturesCME GROUPEquity Index12Most Active – AutoRoll
NTUS Dollar/Norwegian Krone Futures ICEICE Futures US CurrenciesCurrency7Most Active – AutoRoll
NYNikkei 225 Futures Yen-Denominated CMECME GROUPEquity Index*10Most Active – AutoRoll
NZNew Zealand Dollar FuturesCME GROUPCurrency11Most Active – AutoRoll
OAOats FuturesChicago Board of TradeAgriculture*20Most Active – AutoRoll
OBOne-Day Interbank Deposit FuturesBolsa de Mercadorias e FuturosInterest Rate22Most Active – AutoRoll
OIRapeseed Oil FuturesZhengzhou Commodity ExchangeAgricultureN/AMost Active – AutoRoll
PAPalladium Futures NYMEXNew York Mercantile ExchangeMetals*26Most Active – AutoRoll
PALMPalm Olein FuturesDalian Futures ExchangeAgricultureN/AMost Active – AutoRoll
PBPork Bellies FuturesCME GROUPAgriculture*29Most Active – AutoRoll
PBLLead FuturesShanghai Futures ExchangeMetals12Most Active – AutoRoll
PLPlatinum Futures NYMEXNew York Mercantile ExchangeMetals*26Most Active – AutoRoll
PMWheat PM FuturesZhengzhou Commodity ExchangeAgricultureN/AToo Thin to Roll
POLYPolyethylene FuturesDalian Futures ExchangeIndustrialN/AMost Active – AutoRoll
PPPolypropylene FuturesDalian Futures ExchangeIndustrialN/AMost Active – AutoRoll
PTS&P Canada 60 FuturesMontreal ExchangeEquity Index9Most Active – AutoRoll
PVCPVC FuturesDalian Futures ExchangeIndustrialN/AMost Active – AutoRoll
QGNatural Gas E-Mini FuturesNew York Mercantile ExchangeEnergy0Most Active – AutoRoll
QMCrude Oil E-Mini Futures NYMEXNew York Mercantile ExchangeEnergy*19Most Active – AutoRoll
RASouth African Rand FuturesCME GROUPCurrency10Most Active – AutoRoll
RBSteel Rebar FuturesShanghai Futures ExchangeMetals15Most Active – AutoRoll
RCRobusta Coffee FuturesICE Futures Europe CommoditiesAgriculture*12Most Active – AutoRoll
RFEuro/Swiss Franc Physically Deliverable FutureCME GROUPCurrency12Most Active – AutoRoll
RF1Russell 1000 eMini ICEICE Futures US IndicesEquity Index12Most Active – AutoRoll
RIEarly Rice FuturesZhengzhou Commodity ExchangeAgricultureN/AToo Thin to Roll
RLRussell 2000 FuturesICE Futures US IndicesEquity Index12Most Active – AutoRoll
RMRussell 1000 eMini ICE/CME CombinedCME GROUPEquity Index12Most Active – AutoRoll
RMRRapeseed Meal FuturesZhengzhou Commodity ExchangeAgricultureN/AMost Active – AutoRoll
RPEuro/British Pound FuturesCME GROUPCurrency12Most Active – AutoRoll
RRRough Rice FuturesChicago Board of TradeAgriculture*20Most Active – AutoRoll
RSRapeseed FuturesZhengzhou Commodity ExchangeAgricultureN/AToo Thin to Roll
RS1Russell 1000 eMini CMECME GROUPEquity Index12Most Active – AutoRoll
RSS3Rubber Futures TOCOMTokyo Commodity ExchangeAgriculture27Front – Inception; “Days After” = 2
RTYRussell 2000 eMini CMECME GROUPEquity Index12Most Active – AutoRoll
RURussian Ruble Futures CMECME GROUPCurrency8Front – AutoRoll
RUBNatural Rubber FuturesShanghai Futures ExchangeIndustrialN/AMost Active – AutoRoll
RYEuro/Japanese Yen FuturesCME GROUPCurrency12Most Active – AutoRoll
SThree Month Euro Swiss Franc FuturesICE Futures Europe FinancialsInterest Rate111st Back – AutoRoll
SBSugar #11 FuturesICE Futures US SoftsAgriculture*25Most Active – AutoRoll
SEKSwedish Krona FuturesCME GROUPCurrency9Most Active – AutoRoll
SFSwiss Franc FuturesCME GROUPCurrency10Most Active – AutoRoll
SFFFerroalloy FuturesZhengzhou Commodity ExchangeMetalsN/AMost Active – AutoRoll
SGMSCI Singapore Index Futures SGXSingapore Exchange (was SIMEX)Equity Index28Most Active – AutoRoll
SISilver Mini Futures MCXMulti Commodity Ex. of IndiaMetals30Front – Date = 30
SIRIndian Rupee/USD FuturesCME GROUPCurrency8Most Active – AutoRoll
SLSilver Micro Futures MCXMulti Commodity Ex. of IndiaMetals25Front – Expiration
SMSoybean Meal FuturesChicago Board of TradeAgriculture*20Most Active – AutoRoll
SMMManganese Silicon FuturesZhengzhou Commodity ExchangeIndustrialN/AMost Active – AutoRoll
SNSHFE Standard Tin FuturesShanghai Futures ExchangeMetalsN/AMost Active – AutoRoll
SOILSoybean Oil FuturesDalian Futures ExchangeAgricultureN/AMost Active – AutoRoll
SOYBNo.2 Soybean FuturesDalian Futures ExchangeAgricultureN/AToo Thin to Roll
SOYBNNo.1 Soybean FuturesDalian Futures ExchangeAgricultureN/AMost Active – AutoRoll
SOYMSoybean Meal FuturesDalian Futures ExchangeAgricultureN/AMost Active – AutoRoll
SPS&P 500 FuturesCME GROUPEquity Index12Most Active – AutoRoll
SRSilver Futures MCXMulti Commodity Ex. of IndiaMetals2Most Active – AutoRoll
SRSWhite Sugar FuturesZhengzhou Commodity ExchangeAgricultureN/AMost Active – AutoRoll
STSterling 3-Month FuturesICE Futures Europe FinancialsInterest Rate*153rd Back – AutoRoll
SVSilver Futures COMEXCommodity Exchange, Inc.Metals*27Most Active – AutoRoll
SWSwiss Market Index FuturesEurexEquity Index13Front – Expiration
SYSoybean FuturesChicago Board of TradeAgriculture*20Most Active – AutoRoll
TAPurified Terephthalic Acid (PTA) FuturesZhengzhou Commodity ExchangeIndustrialN/AMost Active – AutoRoll
TBT-Bills FuturesCME GROUPInterest Rate*28Front – AutoRoll
TFRussell 2000 eMini ICEICE Futures US IndicesEquity Index12Most Active – AutoRoll
TMTOPIX Mini  Futures JPXOsaka ExchangeEquity Index0Most Active – AutoRoll
TN10-Year Deliverable Interest Rate Swap FuturesChicago Board of TradeInterest Rate8Front – Date = 8
TPTOPIX Futures JPXOsaka ExchangeEquity Index0Most Active – AutoRoll
TS10-Year Interest Rate Swap FuturesChicago Board of TradeInterest Rate*28Most Active – AutoRoll
TUUS 2-Year T-Note FuturesChicago Board of TradeInterest Rate*28Most Active – AutoRoll
TWMSCI Taiwan Index Futures SGXSingapore Exchange (was SIMEX)Equity Index27Most Active – AutoRoll
TYUS 10-Year T-Note FuturesChicago Board of TradeInterest Rate*28Most Active – AutoRoll
UBUltra T-Bond FuturesChicago Board of TradeInterest Rate*28Most Active – AutoRoll
UREuribor 3-Month FuturesICE Futures Europe FinancialsInterest Rate*15Most Active – AutoRoll
USUS 30-Year T-Bond FuturesChicago Board of TradeInterest Rate*28Most Active – AutoRoll
UTUltra 10-Year T-Note FuturesChicago Board of TradeInterest Rate*28Front – Date = *28
VHSTOXX Europe 50 Index FuturesEurexEquity Index13Most Active – AutoRoll
VXVIX FuturesCBOE Futures ExchangeEquity Index8Most Active – AutoRoll
WWhite Sugar Futures ICEICE Futures Europe CommoditiesAgriculture16Most Active – AutoRoll
WCWheat Futures CBOTChicago Board of TradeAgriculture*20Most Active – AutoRoll
WHWheat WH FuturesZhengzhou Commodity ExchangeAgricultureN/AMost Active – AutoRoll
WMWheat No. 2 Milling Futures NYSE LiffeEuronext Derivatives ParisAgriculture*15Front – Date = *15; Exclude ‘Q’ Contract
WRWire Rod FuturesShanghai Futures ExchangeMetalsN/AMost Active – AutoRoll
WTWTI Light Sweet Crude Oil Futures ICEICE Futures Europe CommoditiesEnergy0Most Active – AutoRoll
XAEuro Stoxx Banks FuturesEurexEquity Index18Front – Expiration
XAEE-Mini Energy Select Sector FuturesCME GROUPEquity Index16Most Active – AutoRoll
XAFE-Mini Financial Select Sector FuturesCME GROUPEquity Index15Most Active – AutoRoll
XAKE-Mini Technology Select Sector FuturesCME GROUPEquity Index14Most Active – AutoRoll
XAPE-Mini Consumer Staples Select Sector FuturesCME GROUPEquity Index13Most Active – AutoRoll
XAUE-Mini Utilities Select Sector FuturesCME GROUPEquity Index12Most Active – AutoRoll
XBRBOB Gasoline Futures NYMEXNew York Mercantile ExchangeEnergy*27Most Active – AutoRoll
XGGold Mini-sized Futures NYSE LiffeICE Futures US MetalsMetals*27Most Active – AutoRoll
XKStoxx Europe 600 Banks FuturesEurexEquity Index17Front – Expiration
XMMini-DAX Index FuturesEurexEquity Index17Front – Date = 17
XOStoxx Europe 600 Oil & Gas FuturesEurexEquity Index16Front – Days Prior to Expiration = 1
XPASX SPI 200 Index FuturesASX Trade24Equity Index13Most Active – AutoRoll
XREuro Stoxx Basic Resources FuturesEurexEquity Index19Most Active – AutoRoll
XUEuro Stoxx Oil & Gas FuturesEurexEquity Index18Front – Days Prior to Expiration = 1
XXEURO STOXX 50 Index FuturesEurexEquity Index13Front – Expiration
YMDow Jones ($5) E-mini FuturesChicago Board of TradeEquity Index12Most Active – AutoRoll
YSSilver Mini-sized Futures NYSE LiffeICE Futures US MetalsMetals21Most Active – AutoRoll
YXNYSE Comp FuturesICE Futures US IndicesEquity Index12Most Active – AutoRoll
ZCThermal Coal FuturesZhengzhou Commodity ExchangeEnergyN/AMost Active – AutoRoll
ZIZinc Futures MCXMulti Commodity Ex. of IndiaMetals30Front – Expiration
ZNZinc Mini Futures MCXMulti Commodity Ex. of IndiaMetals20Most Active – AutoRoll
ZNZZinc FuturesShanghai Futures ExchangeMetalsN/AMost Active – AutoRoll

NOTE: An asterisk next to Roll Date indicates this roll date is in month prior to expiration month.

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