How to get the current month MES ticker

API Developers
1

Hello, wanted to start a thread about the best way to go about getting the ticker for a current contract month. I searched the forum, and didn’t find any prior discussions.

So it seems placing an order requires the full contract ticker name, and it doesn’t allow continuous tickers like ‘@MES’. Question, is it possible to place an order using a contract ID instead of ticker?

Right now to get the full ticker name, I have these calls:

  1. https://demo.tradovateapi.com/v1/contract/suggest?t=MES
    This returns all of the MES months

  2. https://demo.tradovateapi.com/v1/contractMaturity/items?ids=[array of contractMaturityId from the previous request]

  3. From response #2, select the contract where isFront = true

Is this the recommend way of determining the current contract for MES? What’s everyone else doing?

2

The /suggest operation will return the best maturity first, so the zeroth position is usually the contract to choose. MES runs H, M, U, and Z expiration months, followed by the last digit of the current year (so for the contract expiring in June 2022, MESM2). Here’s a list of the CME group’s month codes. It should be noted that you can request charts for continuous tickers such as @MES, you just can’t trade them because they don’t refer to a specific maturity.

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3

Thank you @Alexander!

Is it possible for you to tell me which date the /suggest zeroth position for MES changed from MESH2 (March 22) to MESM2 (June 22), just recently?

This would give me a more complete understanding of how to build code around using /suggest for determining the current month maturity.

For example, for MES, these were official published dates from CME:
Roll date: 3/10/22
Expiration: 3/18/22

Majority of volume moved to the June contract on 3/14 - 3/15

What date did /suggest zeroth position change to June? Is it based on official roll date, expiration, volume, or something else calculated by Tradovate?

4

Contract march contract expired last friday. Most people stop using the expiring contract a week before. So… the “roll” started about: march 10,11th.

Unfortunately… tradovate doesn’t roll the frontmonth in my experience… so you’ll have to stop trading the contract early if you want avoid low liquidity.

Consider this javascript which I used

//from the maturities.. find the 'isFront=true'.. then find the contract that equals that maturity
const maturity = maturities.find(function({ isFront, expirationDate }) {
    const expiry = new Date(expirationDate)
    const now = new Date()

    //https://stackoverflow.com/questions/3224834/get-difference-between-2-dates-in-javascript
    const _MS_PER_DAY = 1000 * 60 * 60 * 24;
    const dateDiffInDays = Math.floor((expiry - now) / _MS_PER_DAY)

    //Rollover is 8 days before expiry but..apparently isFront isn't accurrate near rollover - tradovate has value as true through expiration
    //and I don't want to be trading in the final minutes of a contract about to expire

    //expires every 3 months.. so 31 days *3 + 8.. lazy math = 100 days
    return( (isFront && dateDiffInDays > 7) || (!isFront && dateDiffInDays<100 ) )

    log.verbose(`maturity Found:${JSON.stringify(maturity,0,4)}`)
}
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5

@EOD_Trader thank you for describing your experience with isFront, and it is what I was worried about.

I think I’ll get all the maturity dates using contractMaturity/items, and then select the contract where the difference between now and expirationDate is the smallest, but more than a few days. Sounds like a similar approach to yours.

6

As far as I know, contractSuggest returns a sorted list of active contracts by maturity, so the contract at index 0 will always be the front month contract (someone please correct me if I’m wrong).

I recently implemented a linear search that finds the first of those contracts from contractMaturityItems with over 14 days before expiration. Very similar to what @EOD_Trader has, but simpler.

7

@Arthur code to share?

8

Sure, why not.

Since I have previously shared my implementation of contractSuggest, this is a continuation where contract is the array of contracts that contractSuggest returns. You would also want to return more than one result, which I had done in that example.

let id = null;

// Roll from front to back month contract 14 days before expiration
for (let i in contract) {
    let expiration = await tvGet("/contractMaturity/item", { id: contract[i].contractMaturityId });
    let expirationDays = Math.floor((new Date(expiration.expirationDate) - new Date()) / 86400000);
    if (expirationDays > 14) {
        id = i;
        break;
    }
}

contractId = contract[id].id;

Like the previous example I posted, it uses @Alexander’s helper function, tvGet. Since you would only be using the front month or back month contract, the loop will not go beyond the second result to set the expiration cycle.

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