Futures Beta | Contract Selection - Create Continuous Ticker

[RobertMacLeodLatte]

Problem Statement

• The Futures Market operates on a standard "Continuous" Contract when regarding their candle bars.
• As no underlying asset exists, only the derivative asset, to keep consistency with the expected market norms, Contracts roll off and back on based on volume and time.

Concept

• Create a "Continuous Ticker" which will automatically select the currently traded contract
• This mainly becomes important during turnover periods at the end of every fiscal quarter, when dates squeeze and volume begins to shift.

Naming-Criteria

• Continuous Ticker for NQ: NQ!
• Actual Contract: NQZ5
  • The largest Volume Contract
• avoid all other contract selections

Example of Contracts Available

• https://www.cmegroup.com/markets/equities/nasdaq/e-mini-nasdaq-100.quotes.html