rollover

How to read this calendar gathering currently the most frequently traded US futures contracts (CME/CBOT/NYMEX/COMEX/ICE) :

It's that time of the quarter (or month), time to roll over your futures contract to the new month. At the time of editing this topic, ESM4 (June 2024) is about to expire and ESU4 (Sept 2024) is becoming the new front-month contract. To keep relevant long term view analysis (especially the one involving Volume profile), the vast majority of our users wish to remove the gap created in the continuous contract (@ES#) data when a contract rolls over. Let's review this simple procedure:

Investor/RT uses DTN premium adjusted continuous contract historical data while other charting products are likely using the raw @ES# continuous contract historical data. The adjusted contract is premium adjusted so that charting of price on front month rollover days is smooth, no discrete gap up that has to do with time premium and little to do with market sentiment. We provide a means to turn off this default behavior in Investor/RT using a configuration variable.