Underlying Futures Contract: SHFE Rebar (RB)
Depth: Continuous Futures Contract #1 (RB1)
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 Panama Canal Method. Price histories of each underlying contract are shifted up or down 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 ton
Deliverable Good: Standard products: 1# Standard Copper Cathode (Cu-CATH-2) as prescribed in the National Standard of GB/T467-2010, with Copper+Silver≥99.95%. Substitutions: Grade-A Copper (Cu-CATH-1) as prescribed in the National Standard of GB/T467-2010; or Grade-A Copper (Cu-CATH-1) as prescribed in BS EN 1978:1998
Tick Size: Yuan per ton
Pricing Unit: 10 Yuan per ton
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.