Continuous contract

Continuous contracts are constructed by rolling data from expiring futures contracts into the next available contracts based on predefined roll rules. Chaining successive contracts together eliminates gaps caused by contract expirations and provides a continuous historical price time series. This makes continuous contracts useful for backtesting strategies, conducting historical analyses, and modeling price movements over time.

Roll rules define how a continuous contract transitions from one futures contract to the next as the current contract approaches expiration. These rules ensure a smooth price series for analysis and backtesting by specifying the criteria for rolling forward to a new contract. Roll rules can prioritize calendar schedules, market liquidity (open interest), or trading activity (volume), depending on the trader's needs.

• Calendar roll: Contracts roll forward based on their expiration dates, ensuring a time-based sequence.
• Open interest roll: Contracts are ranked by open interest at the previous day’s close, rolling to the contract with the highest open interest or the specified rank.
• Volume roll: Contracts are ranked by trading volume from the previous day, rolling to the contract with the highest volume or the specified rank.

While calendar, open interest, and volume are the most commonly used roll rules, other strategies—such as fixed-date rolls, price-based rolls, or custom user-defined rules can be implemented.

Databento provides continuous contract symbology as a smart symbology feature, allowing a single symbol to dynamically reference different instruments over time according to predefined roll rules. This eliminates the need for manual adjustments as contracts roll forward before expiration.