Rollover Database: FX Futures

[Joerg]

Hello,

could you please have a look on the following website: http://www.cmegroup.com/trading/fx/#crossRates
and add the most liquid contracts to the rollover database: RP, RY, RF?

On http://www.cmegroup.com/trading/fx/#emergingMarkets some other contracts are listed whereby the most liquid ones (6M, 6L, 6Z) already are included in the NT database. Could you please make one correction: The 6L contract (Brazilian real) rolls every month in difference to the other FX contracts.

Many thanks,
Joerg

[NinjaTrader_DrewO]

Hello,

Thanks for posting.

I'm seeing these instruments are not native to the platform, but could be manually added and charted if enabled for this data from your data provider. Should you wish to add an instrument to your database that is not located in the preloaded lists, please follow these steps:

-Navigate to the Control Center > Tools > Instruments window.
-Left-click on the ‘add’ button that appears near the lower right-hand corner of the Instruments window.
-Enter instrument-specific symbol mapping, exchanges, and other information on the Instrument editor that appears. This information will largely depend on your broker or data feed provider’s specific settings regarding the instrument in question.
-Left-click the OK button once each field has been filled out with correct information.

If you're requesting that these instruments be included in the database by default in the future, I'd be happy to submit a Feature Request on your behalf to the Development team to consider such a change in a future release of the platform.

[Joerg]

Dear Drew,

many thanks for your fast reply. The possibility to setup custom symbols is a solution but then every user has to do it separately. In my opinion it is less a new feature rather than an update of the existing rollover database which is updated by NT anyway. Maybe your colleagues can insert the three mentioned symbols with the next update.

The second question I asked is only an error correction. The symbol 6L already exists in the predefined symbols but it contains not the correct rollover dates. The defined dates seem to be identical to the quarterly roll dates of the other FX futures but the Brazilian real futures need to be rolled every month.

Best regards,
Joerg

[bomberone3]

Hi Drew,
I completely agree by Joerg.
Here there is a list of your competitors that offers many futures to trade with historical data and roll.
Please if you do not have one of the following instrument, you should add to NT.

http://www.ampfutures.com/trading-info/contract-specifications/

Stock Index

Name Symbol Exchange Contract Size Months Tick / $ Value
Dow Jones $5 Mini YM CBOT/Globex $5 x Index Value H,M,U,Z 1 / $5.00
CBOE Volatility Index (VIX) VX CFE/CBOE $1000 x Index Value see exch. 0.05 / $50.00
E-mini S&P MidCap 400 EMD CME/Globex $100 x Index Value H,M,U,Z 0.1 / $10.00
E-mini S&P 500 Index ES CME/Globex $50 x Index Value H,M,U,Z 0.25 / $12.50
E-micro S&P CNX Nifty 50 Index MNF CME/Globex $2 x Index Value H,M,U,Z .5 / $1.00
NIKKEI 225 NKD CME/Globex $5 x Index Value H,M,U,Z 5 / $25.00
E-mini NASDAQ 100 Index NQ CME/Globex $20 x Index Value H,M,U,Z 0.25 / $5.00
Russell 2000 Index Mini ($50) RTY CME/Globex $50 x Index Value H,M,U,Z 0.1 / $5.00
DAX Index FDAX Eurex €25 x Index Value H,M,U,Z 0.5 / €12.50
Mini Dax FDXM Eurex €5 x Index Value H,M,U,Z 1 /€5.00
Dow Jones Euro STOXX 50 FESX Eurex €10 x Index Value H,M,U,Z 1 / €10.00
STOXX Europe 600 Index FXXP Eurex €50 x Index Value H,M,U,Z 0.1 /€5.00
Mini VSTOXX FVS Eurex €100 x Index Value see exch. 0.05 /€5
Russell 2000 Index Mini ($50) TF ICE Futures U.S. $50 x Index Value H,M,U,Z 0.1 / $5.00
CAC-40 Index FCE LIFFE € 36,000 H,M,U,Z 0.5 / €5
FTSE 250 Index Y LIFFE €2 x Index Value H,M,U,Z 0.5 / £1
FTSE 100 Index Z LIFFE £10 x Index Value H,M,U,Z 0.5 / £5
Mini-Nikkei 225 MJNK Osaka - Japan (JPX) ¥100 X Index Value H,M,U,Z 1 / ¥5
Nikkei 225 (Osaka) JNK Osaka - Japan (JPX) ¥1000 X Index Value H,M,U,Z 1 / ¥10
TOPIX JTPX Osaka - Japan (JPX) ¥10000 X Index Value H,M,U,Z 0.5 / ¥5000
Mini TOPIX JMT Osaka - Japan (JPX) ¥1000 X Index Value H,M,U,Z 0.25 / ¥250
JPX-Nikkei Index 400 J400 Osaka - Japan (JPX) ¥100 X Index Value H,M,U,Z 5 / ¥500
S&P CNX Nifty Index EN Singapore Exchange (SGX) $2 x Index Value H,M,U,Z .5 / $1.00
NIKKEI 225 Index NK Singapore Exchange (SGX) ¥500 X Index Value All ¥5 / ¥2500
USD Nikkei 225 Index NU Singapore Exchange (SGX) $5 x Index Value H,M,U,Z 5 / $25.00
MSCI Taiwan Stock Index TW Singapore Exchange (SGX) US$100 x SGX MSCI Taiwan Index H,M,U,Z 0.1 / $10.00
SFE SPI 200 AP Sydney Futures Exchange (SFE) $25 X Index Value H,M,U,Z 1 / A$25.00

Currencies

Name Symbol Exchange Contract Size Months Tick / $ Value
Australian Dollar 6A CME/Globex 100K AUD H,M,U,Z 0.0001 / $10.00
British Pound 6B CME/Globex 62.5K £ H,M,U,Z 0.0001 / $6.25
Canadian Dollar 6C CME/Globex 100K $ H,M,U,Z 0.00005 / $5.00
EuroFX 6E CME/Globex 125K € H,M,U,Z 0.00005 / $6.25
Japanese Yen 6J CME/Globex 12.5 mil ¥ H,M,U,Z 0.000005 / $6.25
Mexican Peso 6M CME/Globex 500K MXN All 0.00001 / $5.00
New Zealand Dollar 6N CME/Globex 100K NZD H,M,U,Z 0.0001 / $10.00
Swiss Franc 6S CME/Globex 125K CHF H,M,U,Z 0.0001 / $12.50
E-mini EuroFX E7 CME/Globex 62.5K € H,M,U,Z 0.0001 / $6.25
E-mini Japanese Yen J7 CME/Globex 6.25 mil ¥ H,M,U,Z 0.000001 / $6.25
E-micro AUD/USD M6A CME/Globex 10K AUD H,M,U,Z 0.0001 / $1.00
E-micro GBP/USD M6B CME/Globex 6,250 £ H,M,U,Z 0.0001 / $0.625
E-micro CAD/USD MCD CME/Globex 10,000 CAD H,M,U,Z 0.0001/ $1.00
E-micro EUR/USD M6E CME/Globex 12,500 € H,M,U,Z 0.0001 / $1.25
E-micro JPY/USD MJY CME/Globex 1.25 mil ¥ H,M,U,Z 0.000001 / $1.25
E-micro CHF/USD MSF CME/Globex 12,500 CHF H,M,U,Z 0.0001 / $1.25
Dollar Index DX ICE Futures U.S. $1000 X Index Value H,M,U,Z 0.005 / $5.00

Energies

Name Symbol Exchange Contract Size Months Tick / $ Value
Brent Crude Oil BRN ICE Europe 42K gal All 0.01 / $10.00
Gas Oil GAS ICE Europe 100 tonnes H,M,U,Z 0.25/$25.00 / $4.20
WTI Light Sweet Crude Oil WBS ICE Europe 42K gal All 0.01 / $10.00
Crude Oil CL NYMEX/Globex (NYMEXG) 42K gal All 0.01 / $10.00
Heating Oil HO NYMEX/Globex (NYMEXG) 42K gal All 0.0001 / $4.20
Natural Gas NG NYMEX/Globex (NYMEXG) 10,000 mmBtu All 0.001 / $10.00
E-mini Natural Gas QG NYMEX/Globex (NYMEXG) 2,500 mmBtu All 0.005 / $12.50
E-mini Heating Oil QH NYMEX/Globex (NYMEXG) 21K gal ALL 0.001 / $21.00
E-mini Crude Light QM NYMEX/Globex (NYMEXG) 21K gal All 0.025 / $12.50
E-mini Unleaded Gasoline QU NYMEX/Globex (NYMEXG) 21K gal All 0.0001 / $2.10
NY Harbor RBOB Gasoline RT NYMEX/Globex (NYMEXG) 42K gal All 0.0001 / $4.20

Metals

Name Symbol Exchange Contract Size Months Tick / $ Value
Gold GC COMEX/Globex (COMEXG) 100 oz G,J,M,Q,V,Z 0.1 / $10.00
Copper HG COMEX/Globex (COMEXG) 25K lbs All 0.0005 / $12.50
E-micro Gold MGC COMEX/Globex (COMEXG) 10 oz G,J,M,Q,V,Z 0.10/$1.00
miNY Copper QC COMEX/Globex (COMEXG) 12,500 lbs All 0.002 / $25.00
miNY Silver QI COMEX/Globex (COMEXG) 2,500 oz F,G,H,K,N,U,Z 0.0125 / $31.25
miNY Gold QO COMEX/Globex (COMEXG) 50 oz F,G,J,M,Q,V,Z 0.25 / $12.50
Silver SI COMEX/Globex (COMEXG) 5,000 oz F,H,K,N,U,Z 0.005 / $25.00
1000 oz Silver SIL COMEX/Globex (COMEXG) 1,000 oz F,H,K,N,U,V,X,Z 0.01 / $10.00
Palladium PA NYMEX/Globex (NYMEXG) 100 oz H,M,U,Z 0.05 / $5.00
Platinum PL NYMEX/Globex (NYMEXG) 50 oz F,J,N,V 0.1 / $5.00
Mini Gold YG ICE US 33.15 oz All 0.1 / $3.215
Mini Silver YI ICE US 1,000 oz All 0.001 / $1.00
100 oz Gold ZG ICE US 100 oz G,J,M,Q,V,X,Z 0.10 / $10.00
5000 oz Silver ZI ICE US 5,000 oz F,H,K,N,U,V,X,Z 0.001 / $5.00

Financials

Name Symbol Exchange Contract Size Months Tick / $ Value
US 10-Year Interest Rate Swap SR CBOT/Globex $100K H,M,U,Z $15.625 / 1/32
Ultra T-Bond UB CBOT/Globex $100K bond H,M,U,Z 1/32 / $31.25
US 3-Year US Treasury Notes Z3N CBOT/Globex $300K note H,M,U,Z 1/128 / $15.625
US 30-Year Treasury Bond ZB CBOT/Globex $100K bond H,M,U,Z 1/32 / $31.25
US 5-Year Treasury Note ZF CBOT/Globex $100K note H,M,U,Z 1/128 / $7.8125
US 10-Year Treasury Note ZN CBOT/Globex $100K note H,M,U,Z 1/64 / $15.625
Fed Funds 30-Day Interest Rate ZQ CBOT/Globex $5 mil All 0.005 / $20.835
US 2-Year Treasury Note ZT CBOT/Globex $200K note H,M,U,Z 1/128 / $15.625
Eurodollar GE CME/Globex $1 mil H,M,U,Z 0.01 / $25.00
LIBOR One Month GLB CME/Globex $3 mil All 0.005 / $12.50
Euro-BTP Futures FBTP Eurex 100K€ H,M,U,Z 0.01 / €10.00
Euro Bund 10-Year FGBL Eurex 100K € H,M,U,Z 0.01 / € 10.0
Euro Bobl 5-Year FGBM Eurex 100K € H,M,U,Z 0.01 / € 10.00
Euro Schatz 2-Year FGBS Eurex 100K € H,M,U,Z 0.005 / €5.00
Euro-Buxl FGBX Eurex 100K€ H,M,U,Z 0.02 / €20.00
Euro-Oat FOAT Eurex 100K€ H,M,U,Z 0.01 / €10.00
Short Sterling 3-Month L LIFFE £500,000 H,M,U,Z 0.005 / £6.25
Long Gilt R LIFFE £100K H,M,U,Z 0.01 / £10
OSE Tokyo 10-Year (BIG) JGB Osaka - Japan (JPX) ¥100,000,000 H,M,U,Z ¥0.01 / ¥10,000
SGX Mini 10-Year JGB JB Singapore Exchange (SGX) ¥10,000,000 H,M,U,Z ¥0.01/ ¥100
90-Day Bank Accept IR Sydney Futures Exchange (SFE) A$1,000,000 H,M,U,Z 0.01 / $24.00
10-Year Aus Treasury Bond XT Sydney Futures Exchange (SFE) A$100,000 H,M,U,Z 0.005 / $47.00
3-Year Aus Interest Rate Swap YT Sydney Futures Exchange (SFE) A$100,000 H,M,U,Z 0.01 / $30.00

Grains

Name Symbol Exchange Contract Size Months Tick / $ Value
Mini-Sized Corn XC CBOT/Globex 1,000 bu H,K,N,U,Z 1/8 / $1.25
Mini-Sized Soybeans XK CBOT/Globex 1,000 bu H,K,N,U,Z 1/8 / $1.25
Mini-Sized Wheat XW CBOT/Globex 1,000 bu H,K,N,U,Z 1/8 / $1.25
Corn ZC CBOT/Globex 5,000 bu H,K,N,U,Z 1/4 / $12.50
Ethanol ZE CBOT/Globex 29k gal All 1/10 / $29.00
Soybean Oil ZL CBOT/Globex 60K lbs F,H,K,N,Q,U,V,Z 1/100 / $6.00
Soybean Meal ZM CBOT/Globex 100 tons F,H,K,N,Q,U,V,Z 0.10 / $10.00
Oats ZO CBOT/Globex 5,000 bu H,K,N,U,Z 1/4 / $12.50
Rough Rice ZR CBOT/Globex 2,000 cwt F,H,K,N,U,X 0.005 / $10.00
Soybeans ZS CBOT/Globex 5,000 bu F,H,K,N,Q,U,X 1/4 / $12.50
Wheat ZW CBOT/Globex 5,000 bu H,K,N,U,Z 1/4 / $12.50

Softs

Name Symbol Exchange Contract Size Months Tick / $ Value
Milk Class III DC CME/Globex 200K lbs All 0.01 / $20.00
Lumber LBS CME/Globex 110K board feet F,H,K,N,U,X 0.10 / $11.00
Cocoa CC ICE Futures U.S. 10 tons H,K,N,U,Z 1 / $10.00
Cotton CT ICE Futures U.S. 50k lbs H,K,N,V,Z 0.0001 / $5.00
Coffee KC ICE Futures U.S. 37.5k lbs H,K,N,U,Z 0.0005 / $18.75
Orange Juice OJ ICE Futures U.S. 15k lbs H,K,N,U,X 0.0005 / $7.50
Sugar #11 SB ICE Futures U.S. 112k lbs H,K,N,V 0.0001 / $11.20

Meats

Name Symbol Exchange Contract Size Months Tick / $ Value
Feeder Cattle GF CME/Globex 50K lbs F,H,J,Q,U,V,X 0.00025 / $12.50
Lean Hogs HE CME/Globex 40K lbs G,J,K,M,N,Q,V,Z 0.00025 / $10.00
Live Cattle LE CME/Globex 40K lbs G,J,M,Q,V,Z 0.00025 / $10.00

And the Italian Futures and mini futures.
The ftse Mib (Italian MIB30 future) exists in 2 different multipliers, 1 and 5.
SFT-2754

https://ninjatrader.com/support/forum/showthread.php?t=105056

[NinjaTrader_DrewO]

Hello,

Thanks for your feedback.

I'm going to do some further investigation into this item and report any items to the Database Management Team for further information.

[bomberone3]

Hello,

Thanks for your feedback.

I'm going to do some further investigation into this item and report any items...

Please,
Add the Italian Futures and Mini futures in NT7 and NT8 by default.(also Dax and mini dax )
The ftse Mib (Italian MIB30 future) exists in 2 different multipliers, 1 and 5.
SFT-2754

[NinjaTrader_DrewO]

Hello,

I'm happy to add a vote on your behalf to this Feature Request.

[Joerg]

Hello,

many thanks for adding the missing expiration months to the rollover database, now all 12 months are included. Could you please check the point values for the following two contracts, they seem to differ from the exchange specifications (http://www.cmegroup.com/trading/fx/#emergingMarkets):

6L: 100,000 (currently 50,000)
6Z: 500,000 (currently 1,000,000)

Could you please provide an update regarding the addition of the cross currency futures mentioned in my initial post?
RP: EUR/GBP
RY: EUR/JPY
RF: EUR/CHF

Typically some thousand contracts are traded daily on CME.

Many thanks,
Joerg

[NinjaTrader_DrewO]

Joerg,

Thanks for your reply.

I am seeing the same values on my end for these contracts and will report this item for further investigation.

There would not be an update available for this feature request at this time. Meanwhile, the instruments can be manually added with the instructions in our previous post.

[NinjaTrader_DrewO]

Joerg,

The Database Management team has addressed these items and these changes will be available in the next database update in NinjaTrader 8.

The changes would be available in the next release of NinjaTrader 7.