Futures Continuous Contract Data Setting

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A futures product has multiple contracts which are formed by their contract code, contract month and contract year.

The 'Futures Continuous Contract Data Setting' can be found in some of the models in 'Dashboard' such as "Time Series Model" and "Spread Analysis Model". 

Click on 'Settings' (represented by a gear icon) at the top right corner of the window and you will be able to see the following. By ticking the checkbox ‘CONT’, the ‘Contract Month’ and ‘Contract Year’ UI will switch into a form that allows the user to key in a serial number. By keying in the serial number, the system will be able to acknowledge and select the user’s desired contract.

Example:

For the product "ICE-LF ICE Gas Oil LS", there are many contracts under this product that are valid for the user to choose from, starting from U19.

When the user keys a number in the ‘Serial No.’ form:

"1" = Using "LFU19" which is the first valid contract under this product (as at 2019-08-30). One month later, the contract "LFU19" would expire and "1" would be equivalent to contract "LFV19".

"3" = Using "LFX19" which is the third valid contract under this product (as at 2019-08-30). One month later, the contract "LFU19" would expire and "3" would be equivalent to contract "LFZ19".

 

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