Underlying Futures Contract: ICE Gasoil (G)
Depth: Continuous Futures Contract #1 (G1)
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 metric tons
Deliverable Good: One or more lots of 100 metric tonnes of gasoil, with delivery by volume namely 118.35 cubic metres per lot being the equivalent of 100 metric tonnes of gasoil, at a density of 0.845 kg/litre in vacuum at 15°C.
Tick Size: .US dollars and cents
Pricing Unit: 25 cents per tonne
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.