eSignal #F question - can i use it all the time?

[50 cent]

When watching eminis with eSignal, is there any argument against using NQ #F, ES #F, and also YM #F instead of M3 or U3 and so on? This way I don't need to worry about expirations, and can see a clearer continuous picture of the contracts when I look at larger time frames. Anybody using those on a constant basis?

Thanks
50

 

[bundlemaker]

As #F is always using the most current (and thus highest volume) contract I can't think of any reason to not use it. That's exactly what I do.

 

[Magna]

Could any tech support personnel from eSignal please comment on this. Is there any downside to always using ES #F instead of ES U3 (or previously ES M3)? I'm not so concerned with the hassle of quarterly changes on all my charts, but mostly to have an overall historical view in order to see daily/weekly S/R, longer term moving averages, etc. Otherwise, whenever there is a contract switchover (like last week) I can't see daily and weekly views, etc. until days and weeks have gone by starting at the switchover date. And using ES U3 wreaks havoc with the 200ma on daily and longer intraday timeframes like 30m, 60m and 120m.

 

[prox]

During the rollover, there is often slight price discrepancies that will throw off intraday indicators, MAs, even occasionally pivot highs or lows.

It'll all settle out within a day or two, so it isn't really a big deal.

 

[eSignal Support]

Quote from Magna:

Could any tech support personnel from eSignal please comment on this. Is there any downside to always using ES #F instead of ES U3 (or previously ES M3)? I'm not so concerned with the hassle of quarterly changes on all my charts, but mostly to have an overall historical view in order to see daily/weekly S/R, longer term moving averages, etc. Otherwise, whenever there is a contract switchover (like last week) I can't see daily and weekly views, etc. until days and weeks have gone by starting at the switchover date. And using ES U3 wreaks havoc with the 200ma on daily and longer intraday timeframes like 30m, 60m and 120m.

I'll let other traders comment on the positive or negative use of continuous contracts for trading purposes but we do have an extensive FAQ about how we handle continuous contracts that's worth reading. Please let us know if we can provide any additional information.

Thanks.

 

[Magna]

Thank you Scott, I read the FAQ, it didn't address what I was talking about.

Quote from prox:

During the rollover, there is often slight price discrepancies that will throw off intraday indicators, MAs, even occasionally pivot highs or lows.

It'll all settle out within a day or two, so it isn't really a big deal.

I'll use this as a lead-in to give some examples because I don't think you understand what I'm talking about either prox, and it is a big deal. For instance, let's say I have charts setup for 9:30-16:15 (or a total of 6 hr 45min). And I have the commonly used 200sma on the chart. And it is a 60 minute chart. The 200sma requires 200 units to make a current calculation, on a 60min chart that means 200 hrs, at 6.75 hrs per day that means 29.6 days. So when the contract rolled over last week, and I started using ES U3, that means I won't even begin to see the 200sma on my 60min chart for 30 trading days (approx a month and a half). On a 120min chart I won't begin to see a 200ma for 60 trading days or approx. the entire length of the contract (three months). Even a lowly 50sma on a 120min chart won't begin to display for 15 days! And that's just the beginning of the moving average, as it takes quite a few days after that to form a usable line.

If those examples aren't clear, let's try some more. The contract switches over, and like before I start using ES U3. When I switch to weekly-view I get nothing, when I switch to daily view I get at most a few days before the official switchover date. So I can't discern daily or weekly support or resistance, pivots, ATR's, MA's, etc. because they haven't formed yet in the new contract and I can no longer see the old contract. I'm not so concerned with the slight discrepencies that occur on the switchover date of June 12 (and June 13). I'm more concerned with my charts being functional and usable as I've described above. I hope this clarifies things, and again I ask the question: is there any downside (outside of slight differences on the contract switchover date and the following day) in simply using ES #F all the time?

 

[tango29]

Hello esignal customer rep! I sent in a note to tech support, but i'll take this chance to try here also. Would it be possible to have the Electronic 30yr bond(ie. zb #f) roll with volume instead of following the current rule of 2 days prior to expiration? It actually rolls 3 - 4 weeks before expiration normally.
Thank you

 

[eSignal Support]

Quote from tango29:

Hello esignal customer rep! I sent in a note to tech support, but i'll take this chance to try here also. Would it be possible to have the Electronic 30yr bond(ie. zb #f) roll with volume instead of following the current rule of 2 days prior to expiration? It actually rolls 3 - 4 weeks before expiration normally.
Thank you

Unfortunately, we won't be changing our server-based methodology for Continuos contracts anytime soon. When we introduced Continuos contracts several years back, we had to commit to specific routines so the data would be consistent. We occasionally get requests to change the way we are handling certain contracts but we also get feedback to keep them exactly the way they are.

Our eventual plan is to allow the user to control these settings on their desktop, thereby letting each user do as they wish. That will take quite a bit of new code and we'll need to consider how 3p apps will handle that as well. This project hasn't been scheduled as of yet.

Hope that helps.

Thanks.

 

[eSignal Support]

Quote from Magna:

I hope this clarifies things, and again I ask the question: is there any downside (outside of slight differences on the contract switchover date and the following day) in simply using ES #F all the time?

I do understand your question and I agree that moving averages of any extended length are hard to use on the standard quarterly contract symbol. For exactly the reasons you state, I think that's why people find these symbols so useful. Is there a downside? None that I'm aware of but since I'm not a futures trader, I don't feel qualified to answer much more extensively than that and would prefer other traders step in and provide insight. I did a search here on ET for past conversations on this topic and I found this link. See point #5. Hope it helps.

Thanks.

 

[eSignal Support]

Quote from eSignal Support:


Is there a downside? None that I'm aware of but since I'm not a futures trader, I don't feel qualified to answer much more extensively than that and would prefer other traders step in and provide insight. Thanks.

I should also add that the use of these #F symbols do vary by contract type. Some rollover to the next contract while the previous contract is still trading heavily. If there is a downside in terms of short-term trading, I would think it's on those contracts that stray the farthest from replicating the action of the main contract. The previously referenced FAQ outlines how rollovers are handled in eSignal. Just another 2 cents!

Thanks.