CME Futures Listing Cycles and Contract Selection for Backtests
Article Machine Learning for Trading
Summary
This reference summarizes listed contract months for 35 CME futures products across equity indexes, Treasuries, energy, metals, currencies, interest rates, agriculture, livestock, and crypto. It explains the exchange’s month-code system and distinguishes monthly, quarterly, and product-specific bi-monthly listing schedules. The tables give representative listing patterns, including quarterly cycles for equity indexes and major Treasury contracts, monthly contracts for energy products, and crop or delivery-related schedules for agricultural and livestock markets.
The practical focus is selecting contracts for historical data collection. Exchange listings indicate which contracts may trade, while vendor definitions and actual activity determine which have data; far-deferred listed contracts may have no trades. The document notes that near-term serial FX contracts have limited historical depth and recommends quarterly FX contracts for backtesting. It also cautions that some near-term platinum and palladium monthly contracts have limited liquidity. These are contract-calendar and data-availability notes, not evidence of a trading strategy; the schedules are a dated snapshot and do not themselves establish liquidity or continuous-series construction.
Key ideas
- CME products follow monthly, quarterly, or product-specific delivery month schedules expressed with standardized month codes.
- A listed contract may not have trades or available historical data, particularly at distant expiries.
- Quarterly FX contracts offer greater historical depth than near-term serial months in the described data context.
- Some near-term platinum and palladium monthly contracts have limited liquidity despite their listings.
- Historical backtests should select contract months that reflect the liquid contracts and data actually available.
Tags
Full text
# CME Futures Contract Specifications # CME Futures Contract Specifications This document captures the official CME contract specifications for the 35 products in the ML4T futures universe. Data sourced directly from CME Group website (December 2025). ## Contract Month Patterns CME uses three main listing patterns: 1. **Monthly** - Contracts for all 12 calendar months (26 consecutive months typical) 2. **Quarterly** - Mar (H), Jun (M), Sep (U), Dec (Z) plus 3 serial months 3. **Bi-monthly** - Specific months based on harvest/delivery cycles ### CME Month Codes | Code | Month | Code | Month | |------|-------|------|-------| | F | January | N | July | | G | February | Q | August | | H | March | U | September | | J | April | V | October | | K | May | X | November | | M | June | Z | December | --- ## Equity Index Futures (4 products) All quarterly: **H, M, U, Z** | Product | Name | Listed Contracts | |---------|------|------------------| | ES | E-mini S&P 500 | Quarterly (H,M,U,Z) for 5+ years | | NQ | E-mini Nasdaq 100 | Quarterly (H,M,U,Z) for 5+ years | | YM | E-mini Dow | Quarterly (H,M,U,Z) for 5+ years | | RTY | E-mini Russell 2000 | Quarterly (H,M,U,Z) for 5+ years | --- ## Treasury Futures (4 products) All quarterly: **H, M, U, Z** | Product | Name | Listed Contracts | |---------|------|------------------| | ZN | 10-Year T-Note | Quarterly (H,M,U,Z) | | ZB | 30-Year T-Bond | Quarterly (H,M,U,Z) | | ZF | 5-Year T-Note | Quarterly (H,M,U,Z) | | ZT | 2-Year T-Note | Quarterly (H,M,U,Z) | --- ## Energy Futures (4 products) All monthly: **All 12 months** | Product | Name | Listed Contracts | |---------|------|------------------| | CL | Crude Oil WTI | Monthly for 9+ years | | NG | Natural Gas | Monthly for 12+ years | | RB | RBOB Gasoline | Monthly for 3+ years | | HO | Heating Oil | Monthly for 3+ years | --- ## Metals Futures (5 products) ### Base Metals (3 products) - Monthly | Product | Name | Listed Contracts | Source | |---------|------|------------------|--------| | GC | Gold | "Monthly contracts listed for 26 consecutive months and any Jun and Dec in the nearest 72 months" | CME Verified | | SI | Silver | "Monthly contracts listed for 26 consecutive months and any Jul and Dec in the nearest 60 months" | CME Verified | | HG | Copper | "Monthly contracts listed for 24 consecutive months and any Mar, May, Jul, Sep, and Dec in the nearest 63 months" | CME Verified | ### PGM (2 products) - Quarterly | Product | Name | Listed Contracts | Pattern | Source | |---------|------|------------------|---------|--------| | PL | Platinum | "Monthly contracts listed for 3 consecutive months and any Jan, Apr, Jul, and Oct in the nearest 36 months" | F, J, N, V | CME Verified | | PA | Palladium | "Monthly contracts listed for 3 consecutive months and any Mar, Jun, Sep, Dec in the nearest 36 months" | H, M, U, Z | CME Verified | **Note**: PL and PA use quarterly patterns, NOT monthly like GC/SI/HG. Near-term monthly contracts have limited liquidity. --- ## Currency Futures (7 products) ### G10 Currencies (6 products) Quarterly: **H, M, U, Z** (plus 3 serial months for near-term) | Product | Name | Listed Contracts | Source | |---------|------|------------------|--------| | 6E | Euro FX | "Quarterly contracts (Mar, Jun, Sep, Dec) listed for 20 consecutive quarters and serial contracts listed for 3 months" | CME Verified | | 6J | Japanese Yen | Same pattern as 6E | Inferred | | 6B | British Pound | Same pattern as 6E | Inferred | | 6A | Australian Dollar | Same pattern as 6E | Inferred | | 6C | Canadian Dollar | Same pattern as 6E | Inferred | | 6S | Swiss Franc | Same pattern as 6E | Inferred | **Note**: Serial months (non-quarterly) have limited historical data. For backtesting, use quarterly contracts only. ### Emerging Market Currencies (1 product) Monthly: **All 12 months** | Product | Name | Listed Contracts | Source | |---------|------|------------------|--------| | 6M | Mexican Peso | "Monthly contracts listed for 13 consecutive months and 2 additional quarterly contracts (Mar, Jun, Sep, Dec)" | CME Verified | --- ## Interest Rate Futures (1 product) | Product | Name | Listed Contracts | |---------|------|------------------| | SR3 | Three-Month SOFR | Monthly (all 12 months) - IMM quarterly + serial months | --- ## Agriculture Futures (5 products) | Product | Name | Contract Months | Pattern | |---------|------|-----------------|---------| | ZC | Corn | H, K, N, U, Z | Mar, May, Jul, Sep, Dec | | ZS | Soybeans | F, H, K, N, Q, U, X | Jan, Mar, May, Jul, Aug, Sep, Nov | | ZW | Wheat | H, K, N, U, Z | Mar, May, Jul, Sep, Dec | | ZM | Soybean Meal | F, H, K, N, Q, U, V, Z | Jan, Mar, May, Jul, Aug, Sep, Oct, Dec | | ZL | Soybean Oil | F, H, K, N, Q, U, V, Z | Jan, Mar, May, Jul, Aug, Sep, Oct, Dec | --- ## Livestock Futures (3 products) | Product | Name | Contract Months | Pattern | |---------|------|-----------------|---------| | LE | Live Cattle | G, J, M, Q, V, Z | Feb, Apr, Jun, Aug, Oct, Dec | | HE | Lean Hogs | G, J, K, M, N, Q, V, Z | Feb, Apr, May, Jun, Jul, Aug, Oct, Dec | | GF | Feeder Cattle | F, H, J, K, Q, U, V, X | Jan, Mar, Apr, May, Aug, Sep, Oct, Nov | --- ## Crypto Futures (2 products) Monthly: **All 12 months** | Product | Name | Listed Contracts | |---------|------|------------------| | BTC | Bitcoin | Monthly for nearest months + quarterly | | ETH | Ether | Monthly for nearest months + quarterly | --- ## Data Collection Notes ### Source ### Important Distinction **CME Listed Contracts** vs **Databento Available Data**: - CME lists what contracts CAN trade - Databento definition data shows what contracts ARE actively trading - Far-deferred contracts may be listed but have no trades (no data) - For historical backtesting, use the pattern that matches liquid contracts ### Serial vs Quarterly Months For FX futures (6E, 6J, etc.): - **Quarterly** (H, M, U, Z): Full historical depth, most liquid - **Serial** (non-quarterly): Only near-term, limited history - **Recommendation**: Download quarterly only for backtesting --- ## Configuration Summary For the `individual_contracts.yaml` download config: | Category | Products | Pattern | Months | |----------|----------|---------|--------| | Equity Index | ES, NQ, YM, RTY | Quarterly | H, M, U, Z | | Treasury | ZN, ZB, ZF, ZT | Quarterly | H, M, U, Z | | Energy | CL, NG, RB, HO | Monthly | All 12 | | Base Metals | GC, SI, HG | Monthly | All 12 | | PGM | PL | Quarterly | F, J, N, V | | PGM | PA | Quarterly | H, M, U, Z | | G10 FX | 6E, 6J, 6B, 6A, 6C, 6S | Quarterly | H, M, U, Z | | EM FX | 6M | Monthly | All 12 | | Rates | SR3 | Monthly | All 12 | | Grains | ZC, ZS, ZW | Bi-monthly | Specific | | Oilseeds | ZM, ZL | Bi-monthly | Specific | | Livestock | LE, HE, GF | Bi-monthly | Specific | | Crypto | BTC, ETH | Monthly | All 12 | --- *Last updated: 2025-12-20*
Shown in full with attribution under the source's licence. Licence: MIT
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.