Underlying Futures Contract: SHFE Zinc (ZN)
Depth: Continuous Futures Contract #2 (ZN2)
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: 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 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.