Underlying Futures Contract: LIFFE London Cocoa (C)
Depth: Continuous Futures Contract #2 (C2)
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: 10 tonnes
Deliverable Good: Physical Delivery: Standard Delivery Unit (SDU) – bagged cocoa with a nominal net weight of ten tonnes. Large Delivery Unit (LDU) – bagged cocoa with a nominal net weight of 100 tonnes. Bulk Delivery Unit (BDU) – loose cocoa with a nominal net weight of 1,000 tonnes
Tick Size: GBP per metric tonne
Pricing Unit: 1GBP 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.