Continuous Contracts

A continuous futures contract is a synthetic, long-term price chart created by "stitching together" a series of individual futures contracts. It is not a real, tradable instrument itself, but rather a representation of the active, front-month contract in the underlying root symbol at any given time.

The continuous futures contract symbol for ES futures can be represented as ES1!, the root contract symbol followed by 1!. As of this writing, ES1! represents or maps to ES 09-25, the active front-month.

As the front-month contract nears expiration, trading volume and open interest shift to the next contract in the series (e.g., from the September contract to the December contract), usually several days or weeks before the current contract stops trading. When this happens, the continuous contract will shift automatically to the next expiration.

CrossTrade uses NT8's internal rollover information to determine the active front-month and the roll date of the current contract.

Examples of valid continuous contracts:

• ES1!

• NQ1!

• MES1!

• MNQ1!

• MBT1!

• etc.

Important Note: Continuous contracts are only available in XT add-on version v1.8.3+. CrossTrade only supports representation of the active front-month, e.g., ES1!.

Do I need to use continuous contracts?

No, you do not. The benefit of continuous contracts is you only have to create the alert message for your strategy once and won't have to modify them every time the contract rolls into a new expiration. You can still hard-code an instrument name as ES 09-25, ES SEP25, or ESU5, if you wish.

Example Payload

The following command will place a market buy order in continuous contract ES1! under the Sim101 account:

key=your-secret-key; command=PLACE; account=Sim101; instrument=ES1!; action=BUY; qty=1; order_type=MARKET; TIF=DAY;