# Continuous contract

Also written continuous contracts, continuous futures, back-adjusted contract, panama adjustment.

*https://stockmarketstack.com/glossary/continuous-contract · next to Backtesting Frameworks & Algo Trading Libraries*

**Definition:** A single price series stitched together from a chain of expiring futures contracts, so a chart or a backtest can treat one market as one instrument. Two choices build it: when to roll from one delivery month to the next, and how to adjust the older prices for the gap at each roll. Different choices produce different histories from identical inputs.

## How it works

There is no instrument called "crude oil" or "the DAX future". There is a chain of separately
listed contracts, each with its own delivery month, its own expiry rule and its own order book.
ICE Futures Europe lists Brent Crude futures for up to 156 consecutive months, with trading in
each one ceasing at the end of the settlement period on the last business day of the second month
before the contract month. Eurex lists DAX futures on the March, June, September and December
cycle, with the last trading day the third Friday of the maturity month. A ten-year chart of either
market is therefore not a record of one thing trading; it is a splice of dozens.

Building the splice takes two decisions, and they are independent of each other.

**The roll rule — when to switch.** The common rules are a fixed calendar offset (roll N business
days before expiry, or on the first day of the delivery month), a volume crossover (roll when the
next month trades more than the front month), an open-interest crossover, or the Nth nearest
contract held at a constant distance from expiry. A crossover rule does not fire on the same date
every year, so it does not produce a series anybody else can regenerate without being told the
threshold.

**The adjustment method — what to do about the gap.** At the roll the two contracts are at
different prices, and that difference is not a return anybody earned. The options are to leave it
alone (unadjusted or spliced, which puts a fictional jump in the series at every roll), to
subtract the gap from all prior prices (difference or back-adjustment, sometimes called the Panama
method), or to scale all prior prices by the ratio of the two (proportional or ratio adjustment).
Forward-adjusted variants apply the same arithmetic in the other direction, holding the old prices
fixed and moving the recent ones.

## The prices in an adjusted series are not prices

This is the part that is easy to read past. A difference-adjusted series preserves the size of
every daily move in currency terms but destroys the price level: after enough rolls the historical
prices can be nothing like what traded, and in a market whose front month once settled below zero
the adjusted history can contain negative numbers where none were printed. A ratio-adjusted series
preserves percentage moves and destroys the absolute differences instead. An unadjusted series
preserves both properties within each contract and inserts a fake return at every roll, which is
the one that quietly poisons any statistic computed over the whole series.

So a level in an adjusted series cannot be compared with anything outside that series — not a
strike price, not a round number somebody watched, not a quote from a news story, not the same
market from another vendor built a different way. The same arithmetic applied to equities is in
[why adjusted close differs between sources](https://stockmarketstack.com/guides/why-adjusted-close-differs), where the roll
gap is replaced by a dividend or a split and the choice between difference and ratio is the same
choice.

## Why it matters here

Every product in [futures data and futures trading tools](https://stockmarketstack.com/collections/futures-data) that shows a
long-horizon futures chart is showing a construction, and the construction is rarely on the front
page. [CSI Data](https://stockmarketstack.com/tools/csi-data) builds eight of them and lets the roll timing be specified by
calendar date, by days relative to the delivery month or by thresholds on volume and open
interest; [Norgate Data](https://stockmarketstack.com/tools/norgate-data) ships unadjusted and back-adjusted series side by
side, which is the shape that lets you check one against the other.
[Backtrader](https://stockmarketstack.com/tools/backtrader) has continuous cash adjustment for futures-like instruments in its
simulated broker, and [QuantRocket](https://stockmarketstack.com/tools/quantrocket) and [AmiBroker](https://stockmarketstack.com/tools/amibroker) each
expect a series that was built somewhere upstream.

Two questions settle it before any result is read: which roll rule made this file, and which
adjustment method. A source that answers neither cannot be reproduced and cannot be reconciled with
a second source, which is the same failure [point-in-time](https://stockmarketstack.com/glossary/point-in-time) data addresses
for fundamentals — the number is not wrong so much as undated and unattributable.

## Where you will meet this

- [CSI Data](https://stockmarketstack.com/tools/csi-data.md)
- [Norgate Data](https://stockmarketstack.com/tools/norgate-data.md)
- [Backtrader](https://stockmarketstack.com/tools/backtrader.md)
- [QuantRocket](https://stockmarketstack.com/tools/quantrocket.md)
- [AmiBroker](https://stockmarketstack.com/tools/amibroker.md)
- [Kibot](https://stockmarketstack.com/tools/kibot.md)
- [StrategyQuant X](https://stockmarketstack.com/tools/strategyquant-x.md)
- [Tick Data](https://stockmarketstack.com/tools/tickdata.md)

## FAQ

### Which construction is the right one?

There is no single right one, which is why a vendor that ships several is being honest rather than indecisive. What matters is that the file says which roll rule and which adjustment method produced it, so the series can be reproduced and so two sources can be compared on the same basis. A price file that names neither is a file you cannot check.

### Why do two vendors disagree about the same market on the same day?

Because they are almost certainly not quoting the same contract. One may have rolled on the volume crossover a week earlier than the other rolled on a calendar rule, so for that week the two series describe different delivery months. Add a different adjustment method and the older history disagrees permanently, not just during the roll.

## Sources

1. [Brent Crude Futures contract specifications](https://www.ice.com/products/219/Brent-Crude-Futures) — ICE Futures Europe, read 2026-09-21
2. [DAX Futures (FDAX) contract specifications](https://www.eurex.com/ex-en/markets/idx/dax/DAX-Futures-139902) — Eurex, read 2026-09-21

*Last updated 2026-09-21. A reference page, corrected in place — not a dated post.*