Routing Historical Futures Charts to Active Full or Mini Contracts

Summary

This article explains a cross-order approach for futures markets where a continuous or historical chart is useful for indicators but cannot itself be traded. Contract expiries can reset price histories, making longer lookback calculations impractical on individual monthly series. The proposed system maps orders from the historical chart to the currently active tradable contract, with an added option to route between full-size and mini contracts.

The implementation identifies supported contract families, follows their expiry-letter conventions, and searches for the active expiry. The article emphasizes that symbol naming and chart data conventions differ across contract types, so traders need to understand what their historical chart represents. The described resolver targets the active contract and does not cover arbitrary past or distant future expiries. This installment outlines the routing changes in a replay and chart-trading system; it does not evaluate a trading strategy or provide performance evidence.

Key ideas

• Historical futures data can preserve indicator continuity across monthly contract expiries.
• Orders placed from a historical chart need a mapping to a currently tradable contract.
• Contract expiry letters and symbol prefixes can be used to identify the active series.
• The proposed extension allows routing between full and mini contracts within supported families.
• The resolver's scope is limited to the active contract and depends on correct interpretation of symbol conventions.

Tags

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.