ppteam

CoolMax

ES为啥有个缺口？
换下期的合约了？

ppteam

No gap in ES Dec 2009 chart.
Tomorrow is rollover day, but I think vol of ES Dec 2009 contract should still be more than ES Mar 2010 contract vol.

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Rollover Day is on Thursday 10 December 2009

Rollover day is when we switch from trading the contract that will expire this quarter to the contract that will expire the following quarter.

The futures contract that we focus on (the e-mini S&P500 or ES) expires on the third Friday of the months of March (H), June (M), September (U) and December (Z). The rollover days, however, are 8 days before expiration on the second Thursday of each of these months. These months have the letter designations H, M, U, and Z. Depending on the charting and trading platform that you're using you would usually have to switch your reference to the following month by letting the software know the contract and expiry month/year. On eSignal "ES H5" refers to the e-mini S&P contract that expires on the third Friday March 2005. Using eSignal and the #F designation it will switch to the new contract on the rollover day for you.

I have bit more to explain about how eSignal uses the #F designation to make rollover day easier for you. On Globex, the trading day starts at 16:30 EST the evening before the "day" and ends at 16:15 EST on the "day." So, for example, Thursday's trading session starts at 16:30 EST on Wednesday and ends at 16:15 EST on Thursday. If you have a chart that is plotting the symbol ES #F, then this chart will switch the symbol that is being plotted at the start of the Rollover Day which in this case is actually 16:30 EST before the "day" which in our case is the second Thursday in each quarter. So the symbol swap happens at 16:30 EST on the Wednesday before that Thursday.

Why is this useful? If you have 15 charts that plot several E-mini contracts on several timeframes then you have to manually edit each chart and change the symbol from the current to the next quarter. If you've specified #F then this will happen automatically for you and save you from forgetting or missing a chart - especially if you have multiple pages/layouts of charts that you load.

CoolMax

This is the gap I'm talking about

trueself

ppteam

3# CoolMax

TOS automatically change the default ES from dec 2009 to mar 2010.