Continuous contract

A continuous contract is a synthetic price series built by chaining successive futures expiries according to a roll rule, so that a chart or a backtest can span more than one contract. It is a construction: the roll dates and any price adjustment are choices, and the series never existed as a single tradable instrument.

Senzoukria · Glossary · Updated September 2026

How a continuous series is built

Each futures contract has a short life, so long histories are assembled by concatenating contracts. Two decisions define the result. The roll rule decides on which day the series switches from one expiry to the next: at a fixed number of days before expiry, when volume or open interest crosses over, or on the exchange's roll date. The adjustment rule decides what to do with the price gap on that day: leave it (unadjusted), shift earlier prices by the gap (back-adjusted) or scale them (ratio-adjusted).

Adjustment choices and their effect
AdjustmentPrices before the rollUse
NoneAs tradedLevel-based work on real prices; gaps remain at rolls
Back-adjustedShifted by the roll gapSmooth returns; historical prices are no longer the traded ones
Ratio-adjustedScaled by the roll ratioPercentage returns over long horizons

Limits for order flow

  • Executed bid and ask volume, delta and depth belong to individual contracts; a continuous series carries prices, not a merged tape.
  • Back-adjusted prices place historical levels where no trade ever occurred, so a naked POC or value area on such a series is not a traded level.
  • Two providers using different roll rules produce different continuous series for the same product, and their daily totals will not match.

In Senzoukria

The Backtest screen's Databento import builds its own series from a file for one contract root: as the import hint states, spreads are dropped, the dominant contract is kept minute by minute and rollover days are excluded. The result reports how many contracts were stitched. These imported bars carry no delta and no levels, so footprint rules cannot be evaluated on them; that requires recorded executions. Live charts and Replay always work on one named contract, never on a continuous series.

Common mistakes

  • Comparing volume between a continuous series and a single contract month.
  • Running a level-based test on back-adjusted prices and reading the levels as if they had traded.
  • Forgetting to record the roll and adjustment rules with a backtest, which makes the result impossible to reproduce.

This page in other languages

Frequently asked questions

Is a continuous contract something I can trade?
No. It is a series built from several contracts for charting and research. Orders are placed on a specific expiry, normally the front month. When a strategy developed on a continuous series goes live, its execution must be mapped onto the actual contract and the roll handled explicitly.
Can I build a footprint on a continuous contract?
Only within one contract's coverage. A footprint groups executed bid and ask volume by price for a given instrument, and those executions are recorded per contract. A continuous series can chain the bars, but the delta and the volume at price on either side of a roll come from different books and different price levels.

Keep reading

Strategy researchTest a trading strategy, from observation to challenge rulesDefine an observation, question it with the copilot, write a rule and explore costs, drawdown and fictional challenge limits in an interactive example.Quant · Start hereQuant trading for beginners: from idea to backtestDefine a testable rule, choose suitable data and evaluate later periods after costs.Order flow · HubOrder flow trading: the complete guideThe hub. What order flow is, what it shows — aggression, delta, imbalance, absorption, liquidity — and the tools that read it, each linked to a full guide.