Pre-calculated continuations for energy futures data resides in the contract's Continuous folder. For example, these contracts have pre-calculated continuations:
CL, NG, HO, FB and FP
There are two types of continuous data available:
N Month Out Continuation Series - The folder contains relations, such as CL_02, CL_03 out to CL_12 which represent the 2nd month out continuation series through the 12th month out continuation series with rollover set at “expiration date”. These series are provided as pre-calculated MIM relations (although they can be custom built using the MIMIC Adjust Contract feature that allows you complete control over rollover data and rollover policy). The advantage of having the series set up as relations is that they can be more easily referenced by the API’s or in a spreadsheet without using an expression. Also, because the series is pre-calculated, it will be returned to an application more quickly.
Continuous Calendar Month Series - Continuous folders also contain monthly continuation series that are pre-calculated. These use futures contract month letters to identify the month:
CL_F = January Crude
CL_G = February
CL_H = March
CL_J = April
CL_K = May
CL_M = June
CL_N = July
CL_Q = August
CL_U = September
CL_V = October
CL_X = November
CL_Z = December
For each month, the series represents a continuous nearby contract for that delivery month. CL_F is January Crude nearby – a series that always looks for the nearest January crude contract, etc.