Thanks. I probably shouldn't have said contract size info as that's the easy to find info! What about margin requirements, rollover and expiry dates etc.? I know it's all on the exchange's sites, but it's a real pain to find and I wondered if there is a central place that everyone goes to for such info.
The only legitimate source for contract size and expiry dates is the site of the exchange, where the instrument is traded. Typically, if you look somewhere else - and this includes the contract info of my broker or the NinjaTrader default settings - you will find
- false expiry dates
- false dates for first notice
- false contract sizes
For the margin requirement, however, you will have to ask your broker, because that is the palce where they are fixed. No other website can tell you margin requirements.
As you are probably not a hedge fund operator trading a large portofolio of different futures contracts, it should be easy to gather the information for the few contracts to trade from the exchange and the broker site.
Rollover dates are more tricky. For some futures contracts there are official rollover dates. CME for example has a rollover schedule for its financial futures. For other futures contracts there are no official rollover dates. For CL Pinnacle Data uses a different rollover scheme than CSI Data, and both schemes are not suitable for trading. So it is up to you to monitor volume and open interest and enter your preferred values into the instrument manager of your trading software.
I use an excel sheet to monitor last trading, first notice and rollover dates for the few contracts that I trade, but it does not follow any official rules.
The following user says Thank You to Fat Tails for this post:
The margin listed on CME's site etc is going to be the overnight margin. Your broker is who controls the intraday margin, and it will vary from broker to broker.
For rollover, the best source is indeed the CME site. Some platforms like MultiCharts make it simple to do rollover, you can define a custom contract and specify your rollover condition such as Volume on the front month exceeding, and it will do everything for you. Otherwise you can have the current and front month up in an analyzer window and just watch the volume (usually near the third Friday of the month for commodities, and second or third week of the end of the quarter for most indexes).
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