IMPORTANT
The IQFeed Continuous Contracts begin tracking the upcoming contract two-three days prior to Rollover however, the historical data is not premium adjusted until rollover. The solution is that during this time of the quarter (2-3 days prior to roll) use the non-continuous contract. For example, during this time period, instead of using @ES# as your symbol or DTNMA symbol alias, use @ESMYY. Once the actual roll date has occurred, you can return to using the Continuous contract.
If you are using a DTN IQFeed or eSignal and tracking a continuous contract, rollover is not required. Continuous contracts for DTN IQFeed end with a # such as @ES#. Continuous contracts for eSignal end with #F such as ES #F. However, if you are using a symbol which contains the month (letter) and year (number) such as ESM0, @ESM0, ES M0, or @ESM10, you will need to go through the rollover process.
Also see: Rollover Of Futures Contract Forum
DTN 2-Digit Year Code
DTN has changed to using a 2-digit year code (@ESU0 becomes @ESU10). When you are following the instructions in the video, and right-click on the symbol in a quote page and choose "rollover", you will be presented with a window to verify new symbol. The symbol it presents will likely be incorrect and need to be adjusted accordingly. If you're rolling @ESHM0 or @ESM10 for instance, make sure the new symbol is @ESU10. Simply change and click "Proceed".
Adjusting Data / Removing Calendar Spread Gaps
Many users wish to remove the gap (calendar spread gap) created in the continuous contract (@ES#) data when a contract rolls over. For DTN users (DTN IQFeed or DTNMA), the data on continuous futures contract is now automatically adjusted (see next paragraph).
DTN Gap-Adjusted Data on Continuous Futures Contracts
DTN now automatically provides pre-adjusted data on continuous futures contracts! This applies to both DTN IQFeed users as well as brokerage feed users getting backfill from DTNMA. To adjust data after a rollover, simply right-click in your chart and choose "Download Data: Full Data". To learn more about this pre-adjusted data, see the support article Automatically Download Adjusted Data on continuous futures contracts from DTN
Maintaining Adjusted Data Thru Rollover
To learn how to best manage and maintain this adjusted data through a rollover period, watch the video Maintaining Adjusted Data Thru Rollover. In short, for the majority of users (those that are retaining 20 days or less of tick data and backfilling from DTN), the following process will work: After rollover, right click on a chart and choose "Download Data: Full Data". The download will take a minute and will result in adjusted data.