Futures Specifications

Kibot provides historical intraday and daily data for 82 futures contracts spanning 12 categories. This reference covers every contract Kibot carries, including exchange details, contract sizes, tick increments, trading months, and rollover timing. Symbol conventions are in Futures symbols; session windows are in Trading hours. Use it to verify specifications before building backtests, configuring data feeds, or sizing positions. All contracts listed are available through standard data packages; tick, 1-minute, 5-minute, 15-minute, 30-minute, 60-minute, and daily intervals are supported for most symbols, subject to each contract's historical availability.

Master Specifications Table

Specifications by Category

Equity Index

The core U.S. and international equity index futures. These are among the most liquid contracts globally and form the backbone of most futures trading strategies. All use quarterly expiration cycles (March, June, September, December).

Micro Equity

Micro-sized versions of flagship equity index futures, introduced by CME to lower capital requirements. Each micro contract is 1/10th the size of its standard E-mini counterpart.

QO and QI are alternate ticker symbols for MES and MNQ respectively (per Kibot's futures-specifications reference). The underlying contract specifications are identical; some data vendors and platforms use one symbol convention over the other.

S&P Sector

S&P Select Sector futures allow directional or relative-value trades on individual GICS sectors within the S&P 500. All trade on CME with quarterly expirations.

Mini Index

Smaller-sized index contracts that predate the current micro lineup. These may have lower liquidity than E-mini or Micro E-mini equivalents.

Currency

CME currency futures cover major, minor, and emerging market pairs. Standard-size contracts trade in quarterly months; E-micro versions offer 1/10th exposure. Several cross-rate contracts are also available.

Energy

Crude oil, natural gas, and refined products traded on NYMEX. Energy futures use all 12 calendar months for expiration. Physical delivery applies to most contracts; BZ (Brent Crude) is cash-settled.

Grain

Agricultural futures traded on CBOT. Grains are quoted in cents per bushel (or per pound/ton for oil and meal). Rollover timing is typically 8 business days before first notice day. Grain contracts follow crop-year cycles that affect spread behavior and seasonal liquidity.

Livestock

CME livestock futures are physically delivered (live cattle, feeder cattle) or cash-settled (lean hogs). Trading months vary by contract and do not follow the standard quarterly pattern.

Metal

Precious and base metals traded on COMEX and NYMEX. Gold and silver are among the most actively traded commodities worldwide. E-micro versions (MGC, SIL) provide 1/10th exposure to full-size contracts.

Treasury

U.S. Treasury futures from CBOT cover the full yield curve from 2-year notes to ultra-long bonds. Tick sizes are expressed in fractions of a point (32nds or 64ths of 1% of par value). The 30-Day Fed Funds contract is the primary tool for trading short-term interest rate expectations.

Volatility

The VIX futures contract tracks the CBOE Volatility Index, which measures expected 30-day implied volatility of the S&P 500. VIX futures are cash-settled and have unique expiration timing.

Cryptocurrency

CME Bitcoin futures provide regulated exposure to bitcoin price movements. Contracts are cash-settled against the CME CF Bitcoin Reference Rate.

Special Rules and Notes

Micro Contract Relationships

Micro contracts are fractional versions of their full-size counterparts. This matters for backtesting position-sizing logic and margin calculations:

Micro contracts track identical underlying indices/commodities. Price data between micros and their full-size equivalents should be functionally identical, though slight differences can appear in tick-level data due to separate order books.

Grain Crop-Year Cycles

Grain futures follow old-crop/new-crop cycles that affect spread behavior and seasonal volume patterns. For Corn (C), old crop months are H (March) and K (May); new crop begins with N (July), with the transition occurring around May when the planting season starts, and the Z (December) contract serves as the primary new-crop benchmark. For Wheat (W), old crop months include H (March) and K (May); new crop begins with N (July), aligning with the summer harvest, the July contract is the traditional delivery month marking the crop transition. For Soybeans (S), old crop covers F (January) through N (July); new crop starts with Q (August) as the new harvest approaches, and the X (November) contract is the primary new-crop pricing month. When building continuous contracts, be aware that old/new crop rollovers can introduce basis shifts that differ from standard calendar rollovers.

Currency Serial Months

Major currency futures (EU, BP, JY, CD, AD, SF) list quarterly contracts as their primary months (H/M/U/Z), but CME also lists serial (non-quarterly) months with lower liquidity. Kibot data covers the primary quarterly months. The E-micro currency contracts (M6E, M6A, M6B, MCD, MSF) similarly focus on quarterly expirations.

Physical vs. Cash Settlement

Most futures in this catalog are physically delivered, meaning the seller must deliver the underlying commodity or financial instrument at expiration. Notable cash-settled exceptions are BZ (Brent Crude), HE (Lean Hogs), GF (Feeder Cattle), VX (VIX), BTC (Bitcoin), and FF (Fed Funds). The practical impact is that cash-settled contracts tend to have smoother convergence to the underlying near expiration, while physically delivered contracts may exhibit delivery squeezes or basis volatility in the final trading days. For backtesting purposes, rollover logic should account for this distinction, physical delivery contracts typically warrant earlier rollovers to avoid thin liquidity in the delivery period.

VIX Expiration Logic

VIX futures (VX) expire on a Wednesday that is 30 days before the third Friday of the following calendar month. This means VIX expiration does not follow the standard third-Friday-of-the-contract-month pattern used by most other futures. The 1-day rollover offset in Kibot's continuous contract data reflects the abrupt liquidity shift that occurs around VIX settlement.

Rollover Offset Reference

The "Rollover Offset" column indicates how many business days before the contract's expiration (or first notice day) Kibot shifts the continuous contract to the next front month. Contracts with no offset listed ( ) use standard expiration-day rolls or are not included in Kibot's continuous contract series. Common offsets are 1 day (VX); 2 days (GC, SI, HG, MGC); 5 days (ES, NQ, YM, RTY, EMD, MES, MNQ, EU, BP, JY, CD, AD, SF, CL, NG, HO, RB, QM, BZ, TY, FV, TU, US, UB, TN); and 8 days (C, W, S, BO, SM).

Trading Month Codes

For quick reference, these are the standard futures month codes used throughout this document:

Symbol Conventions

Kibot uses simplified root symbols (e.g., ES, CL, GC) without exchange-specific prefixes or suffixes. These symbols correspond to the base contract identifiers used by CME Group, NYMEX, COMEX, CBOT, and CFE. If you are mapping Kibot symbols to other data platforms (IQFeed, CQG, TT, etc.), note that symbol conventions vary. See Futures symbols for a complete mapping of Kibot symbols to IQFeed and other vendor formats, including individual contract month notation.

Key Takeaways

• Kibot covers 82 futures across 12 categories: Equity Index, Micro Equity, S&P Sector, Mini Index, Currency, Energy, Grain, Livestock, Metal, Treasury, Volatility, Cryptocurrency.
• Tick sizes and tick values are fixed per contract, a single ES tick is 0.25 index points worth $12.50; a TU tick is 1/128 worth $15.625.
• Trading months vary widely: equity indices and most currencies are quarterly (H/M/U/Z), energies and many emerging currencies use all 12 months, and grains, livestock, and metals follow product-specific patterns.
• Rollover offsets cluster at 1 day (VX), 2 days (metals), 5 days (most liquid financials and energies), and 8 days (grains); contracts with a dash have no Kibot continuous series or use expiration-day rolls.
• MES/QO and MNQ/QI are alternate symbols for the same CME micro contracts; different vendors pick different conventions.
• Cash-settled contracts (BZ, HE, GF, VX, BTC, FF) behave differently near expiration than physically delivered ones.

Related

• Futures symbols, Month codes (F–Z) and symbol construction rules (e.g., ESH26).
• Futures expirations, Calendar and rules for when each contract stops trading.
• Trading hours, Session hours by product group (equity, grain, energy, etc.).
• Continuous futures, How rollover offsets are applied to build continuous series.
• Data sources, Underlying exchange feeds behind each category.