Underlying Futures Contract: CBOT Soybeans (S)
Depth: Continuous Futures Contract #4 (S4)
Roll Date: Roll on Last Trading Day. Contracts roll on the last trading day of the expiring or front contract. Thus the continuous contract history is a non-overlapping end-to-end concatenation of underlying individual contracts, spliced on successive expiry dates.
Price Adjustment: Backwards Ratio Method. Price histories of each underlying contract are multiplied by a constant amount, starting with the newest contract and working backwards, so as to eliminate jumps in price between consecutive contracts. Note that in this method, the entire contract history is recalculated on every roll date.
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: 5,000 bushels (~136 metric tons)
Deliverable Good: #2 Yellow at contract price, #1 Yellow at a 6 cent/bushel premium, #3 Yellow at a 6 cent/bushel discount
Tick Size: 1/4 of one cent per bushel ($12.50 per contract)
Pricing Unit: Cents per bushel
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.