Underlying Futures Contract: CME Canadian Dollar CAD (CD)
Depth: Continuous Futures Contract #1 (CD1)
Roll Date: Roll on Open Interest Switch. Contracts roll when the open interest of the back contract exceeds that of the front contract. This roll method is also sometimes called ""liquidity-based rolling"" since a trading position based on this rule will always be concentrated in the most liquid futures contract.
Price Adjustment: Unadjusted. Prices are not adjusted in any way. Continuous contracts reflect raw prices from the underlying contracts.
Methodology: To read more about the Stevens roll date and price adjustment methodology, see the Documentation tab on the Stevens Continuous Futures database home page.
Contract Size: 100,000 Canadian dollars
Deliverable Good: 100,000 Canadian dollars
Tick Size: $.0001 per Canadian dollar increments ($10.00/contract). $.00005 per Canadian dollar increments ($5.00/contract) for CAD/USD futures intra-currency spreads executed on the trading floor and electronically, and for AON transactions.
Pricing Unit: US dollars and cents
Columns: Open, High, Low, Settle, Volume, Previous Day Open Interest. Note that Open Interest is always reported for the previous trading day, to avoid lookahead bias.