Futures Symbology (2024)

TradeStation Help

The symbology for futures symbols depends on if it is an individual contract or a continuous contract. Futures symbols also use aliases to indicate what type of trading activity they represent, electronic only, pit only, or both electronic and pit. There is also an alias available for the day session of symbols that trade electronically 24 hours a day.

The symbols used for the Order Bar and the display of data in TradeStation may differ from the symbols used for the Account: Futures window for some futures and futures options. See Futures/Futures Options Symbology Comparison for more information. You can also download the TradeStation Futures Symbol Reference, a document detailing the futures symbols that are traded on each exchange.

Individual Contracts

The symbology for an individual futures contract is the root (which may be one or two characters), followed by the month code, a two-digit year code, a decimal and the alias extension (optional).

Monthly Expiring Futures: [Symbol root][Month code][Year code].[Optional Extension]

Continuous Contract Root Symbol

The symbology for a continuous futures contract is an at-sign (@) followed by the symbol root and an optional alias extension (preceded by a decimal point). This allows you to plot and back-test a futures contract by automatically linking the current and previous contracts at rollover points to ensure continuity.

You may not automate strategies or place an order using the symbol root continuous contract (see Continuous Contract Individual Symbol below).

@[Symbol root].[Optional Extension]

For example, continuous futures contracts for the S&P 500 Electronic are displayed as @SP.For more information on continuous contracts, see Continuous Futures Contracts.

Continuous Contract Individual Symbol

The at-sign (@) may also be used with an individual contract symbol to plot and back-test the historical continuous contract data while also permitting orders to be placed for the specified individual contract, including automated strategy orders.

@[Symbol root][Month code][Year code].[Optional Extension]

For example, a continuous individual contract futures symbol for the S&P 500 June 2003 is displayed as @SPM03.

Custom Continuous Contract Parameters

A continuous contract root or individual symbol can include custom continuous parameters that allow you to determine the values used for describing custom contract rollovers.

@[Symbol root][Month code][Year code].[Optional Extension]=[Custom Continuous Parameters]

For example, a custom continuous contract symbol based on the S&P 500 June 2006 with a September 2006 rollover (based on open interest and using a constant back adjust)is displayed as @SPM06=11INC.See Custom Continuous Futures Symbology for more information.

Alias Extensions

The following extensions are used to indicate the type of trading activity. Extensions are optional; if you don't add an extension after a futures symbol, the data for the electronic only will be displayed.

.P = Pit only

.C = Composite (This extension includes data from both electronic and pit activity)

.D = Electronic day only

This extension is available only for those symbols that trade 24 hours a day electronically, such as the E-Mini S&P 500 which starts trading at 15:45 Central and continues until 15:15 Central. For example, to view only the day session for the E-Mini S&P 500 March 2003 Electronic, you would append .D to the symbol, so it would become ESH03.D.

The extension is appended to the symbol root after a decimal.

[Symbol root].[Optional Extension]

For example, SPM03.P indicates a future contract of the S&P 500 June 2003 Pit.

Daily Expiring Futures

The CME recently launched the 3 Month Eurodollar Forward Rate Agreement (FRA) futures. This futures market, unlike many other futures markets, uses a daily expiration. For that reason, we have created a new symbology to handle markets that make use of a daily expiration. This new symbology indicates the day of the month on which the contract expires. The symbology for all futures markets that do not use a daily expiration will not change. Therefore, all of the futures symbology that you are currently using will not change.

The format of the symbology for the daily expiring futures:

[Symbol Root][Day code][Month code][Year code]

The day codes range from _1 to 31. The first day on the month would be indicated by _1, the second of the month by _2, the third by _3, etc., up until the ninth day of the month, which is indicated by _9. The tenth day of the month is indicated by 10, the eleventh day of the month by 11, etc., all the way up to the thirty-first (if applicable) day of the month, which is indicated by 31. The 1 character month code is the standard 1 character month code that is used for all futures in TradeStation. Likewise, the 2 digit year code is the same as the standard 2 digit year code that is used for all futures in TradeStation.

Here is a specific example of the symbology for a daily expiring future that would appear in TradeStation. The symbol root for the FRA futures is 3F. Therefore, the symbology for the July 21, 2004 FRA futures would break down as follows:

3F + 21 + N + 04

As an actual symbol, it would look like this: 3F21N04

This rule will apply to any markets utilizing daily expiration that may be added in the future. At this time, the FRA futures (symbol root 3F) are the only futures in TradeStation that make use of daily expirations.

In the Symbology expressions given in this section, [x] denotes a parameter that should be replaced with a value. The brackets ([ ]) are not a part of the expression. For example, [Symbol root] should be replaced with a symbol, such as ORCL. Items in italics are optional.