Futures contract

A futures contract is a standardised, exchange-traded agreement to buy or sell a fixed quantity of an underlying asset at a price agreed today, for settlement on a set future date. Each contract has a published specification: underlying, size or multiplier, tick size, trading hours, expiry months and settlement method, and each expiry month trades as its own instrument with its own order book.

Senzoukria · Glossary · Updated September 2026

What the specification fixes

  • The underlying and the contract size or multiplier: how much of the asset, or how many dollars per index point, one contract represents.
  • The minimum price fluctuation, or tick size, and the tick value that follows from it.
  • The trading hours and daily break, which define the session used by every session-based study.
  • The listed expiry months and the last trading day of each, plus whether the contract settles physically or in cash.
  • These are published by the exchange; a charting tool reads them, it does not decide them.

One index, several contracts

The E-mini and Micro E-mini contracts on the same index track the same price but are separate instruments. A trade printed on the Micro is not printed on the E-mini; each has its own book, its own tape and its own volume. Within one product, each expiry month is again a separate instrument, and the front month, the one with the most activity, changes at each roll. Order flow, delta and volume profiles have to be built from the contract that is actually being traded, and a level found on one expiry cannot be carried to the next without accounting for the price difference between them.

In Senzoukria

The symbol picker in the desktop chart uses the front contract for futures, and the Rithmic Direct connection covers ES, NQ and the other CME contracts on the account's entitlement; paper and live plants are separate, the feed needs a market-data entitlement on that plant, and a free trial login is not enough. Replay asks for a Contract and a Session to replay, and the journal's Replay link requires a CME contract and an entry time. The backtest screen reports what is cached per contract and granularity, and states when the broker's archive does not reach back that far or when historical bars are not enabled on the account. Market data is billed by the data provider and the exchange, separately from the software.

Common mistakes

  • Comparing volume between a continuous series and a specific contract month, or between two session definitions, and concluding the data is wrong.
  • Reusing an imbalance ratio tuned on one contract on another with a different size per level.
  • Treating a successful broker login as proof of live, depth and historical entitlements; each is granted per account and per plant.
  • Placing a test order on a funded account to check the connection.

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Frequently asked questions

What is the front month?
The expiry with the most trading activity at the moment, usually the nearest one until the days before its expiry, when volume migrates to the next month. Charts that follow the front month roll from one contract to the next; the price difference between the two is real and shows up as a jump in a continuous series.
Is a Micro contract just a smaller E-mini?
Financially it represents a fraction of the index exposure, but as a traded instrument it is separate: its own order book, its own executions and its own volume. Order flow read on the Micro describes the Micro. The index multipliers differ, so a count in contracts is not comparable across the two.
Where does the market data for a futures contract come from?
From the exchange, through a data provider or broker connection such as Rithmic, under an entitlement attached to the account. The exchange and the provider bill for it. A charting application displays what the entitlement delivers; it cannot add depth or history the account is not licensed for.

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