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Robert2617

YM Contract Symbols

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I'm trying to make sense of which YM symbols to trade at what time. I'm somewhat confused. Here is a decent site explaining it but I would like to get verification. Rollover Days - Rollover Days and Volume

 

Based on this site, below is what I think is the prpoer schedule: (Please correct me and/or comment. Keep in mind I am using TradeStation so I would need the symbols TS uses.)

 

My best guess:

 

Trade YMH07 (March 2007 contract) from December 13, 2006 till March 6, 2007

Trade YMM07 (June 2007 contract) from March 7, 2007 till June 6, 2007

Trade YMU07 (September 2007 contract) from June 7, 2007 till September 12, 2007

Trade YMZ07 (December 2007 contract) from September 13, 2007 till December 12, 2007

 

Is this correct?:o

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all futures contracts have 2 important dates.

 

first notice and last trade.

 

first notice is when the exchange gives all open positions a chance to close out their trades, if they remain open, it shows they want delivery or deliver the goods.

 

last trade, is just that, the last day for that contract month to trade, if you don't clsoe your trade by this date, you will get assignment of your open trade. If it is a commodity, you'll get the goods dumped on your front lawn and if you are short, well then, guess you're gonna have to come up with the goods somehow. ;)

 

without getting your mind too wrapped up about this, just compare trade volume between months. Once the back month starts to trade more than the front month, its about roll-over time. Join the rest of the party in the back month. You'll even notice it from the price action, its not as smooth in the front month.

 

last trade for index futures should be the 3rd friday every 3 months, triple witching as they call it, all three derivatives expire, index futures, stock options and index options.

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Robert, if you are trading index futures you dont need to worry about it too much. These rollover days happen and are very obvious. First you will open your charts and see liquidity diminish drastically. This will most likely alert you that traders are now trading the next contract.

 

Always try to trade the contract with the higher liquidity. Usually liquidity starts to fade a day before the rollover day. I hardly pay attention to these dates... I just know rollover day is coming up and I just check my matrix to see the depth of bids/asks.

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Robert - if you are using TS, just put @YM as your symbol and it will move automatically to the contract with the highest volume at the time (which is where you want to be trading in my opinion).

 

Same thing for the other indexes - @NQ, @ES, @EC etc etc

 

You can also do this in TS - go to Symbol lookup, Custom Futures and then pick and chose your options there. I prefer the @ sign, much easier.

 

If you trade off of something different than TS, which I do, you will easily see if your DOM is matching your chart.

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Robert - if you are using TS, just put @YM as your symbol and it will move automatically to the contract with the highest volume at the time (which is where you want to be trading in my opinion).

 

Same thing for the other indexes - @NQ, @ES, @EC etc etc

 

You can also do this in TS - go to Symbol lookup, Custom Futures and then pick and chose your options there. I prefer the @ sign, much easier.

 

If you trade off of something different than TS, which I do, you will easily see if your DOM is matching your chart.

bf, thank you. I'm beginning to get a grasp on all this but your post raises another question for me. I agree with you that @YM makes good horse sense. I like it. However, SoulTrader mentioned in another thread to use @YM on the chart and it will automatically switch to the latest contract for you like you expressed as well but he also implied (or at least I took it that way) that when you place an order to buy or sell, you need to use the correct months symbol such as YMH07. In a nutshell, use @YM on the chart but buy and sell the current symbol. Which is it?

 

Option 1: Always use @YM on charts and in the order bar.

Option 2: Use @YM on the chart but use the current symbol in the order bar.

 

Thanks for you help guys. I'm just trying to get a crystal clear understanding of what I am planning to trade. :)

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Here's what I do:

 

TS is always set to @YM

 

My T4 (order entry software, not to be confused with TS) will also automatically roll once the contract is no longer being traded. Sometimes, my T4 still shows an 'old' contract simply b/c it is not expired yet, but you'll be able to tell real quick if your TS chart does not match your DOM.

 

Keep in mind that when you go to the new contract, very rarely are the prices identical to the old contract. In other words, if you set TS to roll with the @ sign, and you forget to move your DOM, when you go to place a trade on the DOM, the price level showing on your current chart will probably not be the current price on your DOM. As soon as that happens, a trigger in your head needs to go off. It should not make sense. That should tell you that your DOM may need to be bumped ahead a contract.

 

For example, right now my @YM chart is at 12,694. Now, if you go ahead on the YM chart to YMM07, the current price is 12,795. So, if I was by mistake trying to place a trade on the wrong DOM, something doesn't add up - why is the DOM off by 100 points? Well, it's the wrong DOM.

 

I don't trade on TS, so I'm not sure how their order entry software works.

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Hmm, well I guess I'm still in a pickle then. I'll be using TS only which means I still need to figure out whether I use..

 

Option 1: Always use @YM on charts and in the order bar.

or

Option 2: Use @YM on the chart but use the current symbol in the order bar.

 

If option 2 is the correct answer then I definately need to get the first question about the dates verified right or wrong.

 

Maybe SoulTrader will slip in here and clue me in since he has traded with TS.

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Robert,

 

I use @YM for my charts and time of sales. I use the current symbol which is YMH07 for the matrix. Usually what happens is the price on the matrix and the charts will not match if the matrix shows the old contract. You can tell right away if you are looking at the old contract or the new one.

 

Regarding those dates.... maybe you are right? hehe.. i never pay attention to them myself. I always have people reminding me its rollover day :)

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Robert - like Soul said, you just need to pay attention to the DOM and your chart. Knowing the exact date of rollover is not important if you simply follow your charts and make sure your DOM reflects that chart. Volume will start to pick up on the forward contract before the current contract expires, so you will always be moving with the highest volume contract.

 

I understand you want the details on dates and rollovers, but if you day trade, that is not important. What's important is trading the contract with the highest volume currently.

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Robert,

 

I use the current symbol for my everday trading and the continuous symbol (@) on any chart for which I want see historical data, since the current symbol only goes so far back. For example, if you want to look at two years worth of YM data for backtesting then use the continuous symbol. The continuous symbol will allways be in sync with the latest symbol after rollover day. (The prices vary between contracts and the continuous symbol has to be adjusted to match the latest symbol. This all happens on rollover day so the continuous can be squirrelly on rollover day and I don't use it at all on that day.)

 

Since I have linked my radarscreen, charts and order bar, when I click on the radarscreen symbol its changes them all, including the order bar, and since it does no good to have a continous symbol in the order bar (you cannot place an order on the continuous symbol) I used only the actual contract symbols here.

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