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United Kingdom
Elite_Member
Experience: Beginner
Platform: Bookmap
Broker: Stage 5, Rithmic
Trading: US Equity Index Futures
Posts: 1,250 since Sep 2013
Thanks Given: 3,500
Thanks Received: 2,532
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@sinpeople
If you want to look at a long term chart and see back a long way then use the continuous data, ##-##. If you look at the new ES contract, the ESZ7 as the volume rolled from U-September to Z-December yesterday, the chart only goes back about six months before it stops. If you use any form of volume analysis such as Daily or long term volume profiles then use the continuous chart also because in the new contract there is no serious representative volume before yesterday. The continuous contract, as well as back adjusted the data so the bars represent a continuous contract, also carries across the volume so those mentioned long term volume studies work.
Some people not using volume studies and wanting to accurately know the exact levels of recent swing highs and lows, especially after a contract has just rolled, like now; prefer to use the actual month contract to see the real swing values and not back adjusted values.
With contracts that are automatically adjusted you need to be careful of when the company roll the contract to make sure your DOM is also showing the correct symbol. The ES often rolls on a Thursday but this Thursday just gone would have been a day early as the roll wasn't really until the Friday. On Friday the ESZ7 volume was 330k contracts traded after the first hour, and the ESU7 was 220K. I have no idea how Kinetick decides when to roll so don't know whether there continuous contract rolled on Thursday or Friday
Probably more information than you wanted to know. Personally I would just use the continuous contract but be careful on the few days around rollover to be sure which contract is actually trading.
Also if you are holding positions for a few days and not day trading, you can't trade a continuous contract so on the DOM you can only select the exact month. If holding a trade across rollover you would need to close out of the ESU7 and open a new trade in ESZ7 yourself as the contract expires about a week after rollover. You don't want to be holding a contract when it expires.
Contract specification here: E-mini S&P 500 Futures Quotes - [AUTOLINK]CME[/AUTOLINK] Group
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