Can you clearly explain when to switch E-mini contract months?

Originally posted by Tech Analysis
Funny thing, though, is that the Z2 candles are more active. Hell with it; I switched to Z.

Does anyone have THE answer out there ??
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The answer is the same as it has always been - you rollover to the next contract at the open on the Thursday before the current one expires. Period.
 
I have eSignal also and it seems to be reporting volume from the prior session (like the exchange reports it) not the true volume for that day.

I got the following volume reports from the CME website. The volume figures are for the same day (not the prior session)

http://www.cme.com/prices/bulletinindex.cfm

from Globex Bulletins

TRADE DATE: 06/12/02 (Wed)
E-MINI
JUN 02 607619
SEP 02 7704

TRADE DATE: 06/13/02 (Thurs)
E-MINI
JUN 02 43143
SEP 02 375702

Note the rollover from June to Sept occurred Thursday, the week before the last trading day.

But when go to daily bars for eSignal it reports the volume for ES Sept 02 on 6/14 as being 375,702. It says the volume for ES Sept 02 on 6/13 is 7,074.

Esignal is reporting the volume from the prior session.

The Z2 candles are more active because Dec is now the front month.
 
Originally posted by Tech Analysis
Thanks, Puffy. It seemed like those U2 candles were kinda inconsistent w/the volume.
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I don't know what it is with Esignal and rollover day - but they seems to have some issues every time.

Sometimes they don't rollover their "continuous" contract (the #F version) until one day after the actual rollover.
 
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