TYPES OF DATA

Commodities pricing data is available for individual or continuous contracts. Individual contract data consists of quotations for individual commodities contracts.
At any given time, there may be several contracts actively trading.
Most speculators trade the front-month contracts, those that are most liquid and closest to expiration, but are not yet past first notice date. As each contract nears expiration, or passes first notice date, the trader “rolls over” any open position into the next contract.

Working with individual contracts, therefore, can add a great deal of complexity to simulations and tests.

Not only must trades directly generated by the trading system be dealt with, but the system developer must also correctly handle rollovers and the selection of appropriate contracts.