Recommended Roll Dates for Continuous Futures Data Files

 
 

Recommended Roll Dates for Continuous Futures Data Files

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 linked 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.” A "Roll Date" of '0' means the symbol rolls at expiration.

Recommended Roll Dates

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