Futures CFDs

How prices are built

A Futures CFD is a reference price that TickerLayer calculates with its own methodology for one contract month, one position of the front-month chain or one roll series of a listed futures market. The product and its methodology are on the Futures CFDs product page.

One price per month

The bid is the median of the live input bids for that month and the ask the median of the live input asks, so the book is never crossed. price is the mid of the two, spread the gap between them.

estimated

A month whose own book is empty or wider than 1% of its mid is never priced at that mid. A delivery month in its last days can quote a book like 3974 / 4536: real quotes, but no price to rely on. Such a month is carried from the nearest month of the same product that has a usable book, at the spread between the two the last time both had one (none when that was never seen), and kept inside its own bid and ask. It answers with estimated: true, estimated_from naming that month, live: false and that month’s timestamp; with no usable month in the product it answers 404 no price for this symbol. The curve lists only months with a book of their own.

live

true while a live input stands behind the price. When none does (the daily break, the weekend, a lost input) the last price is held with live: false. A far month that rarely trades can carry an old timestamp: read it, not only the flag.

market_status

open or closed by the product’s session clock; market_hours on GET /futures/products states it per product. Gold 24/7 (XAUUSD247) trades around the clock, weekends included, apart from a two-hour break on Saturday.

Units

As the market quotes the product, in unit: USD per barrel for crude oil, US cents per bushel for grains, points of par for Treasury notes, 100 minus the rate for three-month SOFR, index points for equity indices. Prices are never converted.

Times

timestamp is the event time of the price in epoch milliseconds. transaction_time_us is the same instant in microseconds, ingress_time_us when we received it and publish_time_us when the response or frame was built.

volume

Contracts traded in the current session as our inputs saw them, reset when the trade date turns; null when none were seen. On a roll series it is the volume of the front month.

Symbol forms

Every symbol starts with the product base, a plain name with no exchange code: WTIUSD, XAUUSD, US500, UST5Y. Three kinds follow the dot.

Months outside the cycle, such as the serial gold months, are listed as dated months with in_chain: false but never enter the chain. roll_date is the trade date a month leaves the front of the chain; it equals the last trading day for every product. A trade date’s session runs from 18:00 New York the evening before to 17:00 New York on the day.

Roll methods

Every roll series blends the chain front and the next month: bid, ask and price are each (1 - weight) × front + weight × next, where weight is the share of the next month, from 0 to 1. The four methods differ only in how the weight moves. All of them follow published calendar rules, so every step is known in advance on the roll calendar.

Roll fields

A roll series answers the quote fields plus method, weight, front and next (the two months it blends), front_price, next_price, front_estimated and next_estimated; .R5 and .R5C also carry roll_window_start and roll_window_end. bid_size and ask_size are null: a blend has no displayed size.

next_estimated

true when the next month had no reliable live price and its leg was carried as the front plus the last spread seen while both months were live. Once the weight is 1, the series prices from the next month alone, so an expiring front without a usable book does not take it down.

front_estimated

true when the front month had no usable book and its leg was carried from its nearest month that has one, as above. The series then has estimated: true while the front still carries weight.

At rotation

When the chain rotates, the old next month becomes the front of every roll series and the weights start over for the new cycle.

{
  "symbol": "US500.R5",
  "kind": "roll",
  "base": "US500",
  "name": "US 500 index",
  "unit": "index points",
  "contract": "US500.DEC26",
  "contract_month": "2026-12",
  "rank": 1,
  "last_trade_date": "2026-12-18",
  "roll_date": "2026-12-18",
  "first_notice_date": "2026-11-30",
  "market_status": "open",
  "trading_day_of_month": 17,
  "trading_days_in_month": 22,
  "bid": 7668.75,
  "ask": 7669,
  "price": 7668.875,
  "spread": 0.25,
  "bid_size": null,
  "ask_size": null,
  "volume": 34204,
  "live": true,
  "estimated": false,
  "timestamp": 1792778642387,
  "transaction_time_us": 1792778642387000,
  "ingress_time_us": 1792778642624000,
  "publish_time_us": 1792778642646000,
  "method": "r5",
  "weight": 0,
  "front": "US500.DEC26",
  "next": "US500.MAR27",
  "front_price": 7668.875,
  "next_price": 7744,
  "front_estimated": false,
  "next_estimated": false,
  "roll_window_start": "2026-11-05T23:00:00.000Z",
  "roll_window_end": "2026-11-12T22:00:00.000Z"
}

Roll fields on the front month (opt-in). To read the chain front and its rolled prices in one answer, add rolls: ?rolls=r5,cycle on REST, "rolls": ["r5", "cycle"] in a WebSocket subscribe. Accepted values are r5, r5c, cycle, notice and all. Every .C1 in the answer gains a rolls object with price, bid, ask and weight per method; every other field stays as it was, and so does the payload of a request without the parameter. Any other value answers 400 on REST and INVALID_ROLLS on the stream.

{
  "symbol": "WTIUSD.C1",
  "kind": "chain",
  "base": "WTIUSD",
  "name": "WTI crude oil",
  "unit": "USD per barrel",
  "contract": "WTIUSD.DEC26",
  "contract_month": "2026-12",
  "rank": 1,
  "last_trade_date": "2026-11-20",
  "roll_date": "2026-11-20",
  "first_notice_date": "2026-11-30",
  "market_status": "open",
  "trading_day_of_month": 17,
  "trading_days_in_month": 22,
  "bid": 102.99,
  "ask": 103.01,
  "price": 103,
  "spread": 0.02,
  "bid_size": 6,
  "ask_size": 5,
  "volume": 4464,
  "live": true,
  "estimated": false,
  "timestamp": 1792778642101,
  "transaction_time_us": 1792778642101000,
  "ingress_time_us": 1792778642342000,
  "publish_time_us": 1792778642467000,
  "rolls": {
    "r5": { "price": 103, "bid": 102.99, "ask": 103.01, "weight": 0 },
    "cycle": {
      "price": 102.68826087,
      "bid": 102.67826087,
      "ask": 102.69826087,
      "weight": 0.13043478260869565
    }
  }
}

Products

20 products across energy, metals, agriculture, rates and US equity indices. Each name links to the product’s symbol page.

curl -sS "https://api.tickerlayer.com/futures/products" \
  -H "x-api-key: <YOUR_API_KEY>"

{
  "products": [
    {
      "base": "WTIUSD",
      "name": "WTI crude oil",
      "group": "energy",
      "unit": "USD per barrel",
      "chain_months": ["JAN", "FEB", "MAR", "APR", "MAY", "JUN",
                       "JUL", "AUG", "SEP", "OCT", "NOV", "DEC"],
      "market_hours": "Sunday 18:00 to Friday 17:00 New York time, daily break 17:00 to 18:00",
      "chain": ["WTIUSD.C1", "WTIUSD.C2", "WTIUSD.C3"],
      "rolls": ["WTIUSD.R5", "WTIUSD.R5C", "WTIUSD.CYCLE", "WTIUSD.NOTICE"],
      "contracts": 32
    }
  ],
  "count": 20
}

curl -sS "https://api.tickerlayer.com/futures/contracts?base=US500" \
  -H "x-api-key: <YOUR_API_KEY>"

{
  "contracts": [
    {
      "symbol": "US500.DEC26",
      "base": "US500",
      "contract_month": "2026-12",
      "rank": 1,
      "in_chain": true,
      "last_trade_date": "2026-12-18",
      "roll_date": "2026-12-18",
      "first_notice_date": "2026-11-30",
      "roll_window_start": "2026-11-05T23:00:00.000Z",
      "roll_window_end": "2026-11-12T22:00:00.000Z",
      "days_to_expiry": 56,
      "market_status": "open"
    },
    {
      "symbol": "US500.SEP27",
      "base": "US500",
      "contract_month": "2027-09",
      "rank": null,
      "in_chain": true,
      "last_trade_date": "2027-09-17",
      "roll_date": "2027-09-17",
      "first_notice_date": "2027-08-31",
      "roll_window_start": "2027-08-05T22:00:00.000Z",
      "roll_window_end": "2027-08-12T21:00:00.000Z",
      "days_to_expiry": 329,
      "market_status": "open"
    }
  ],
  "count": 5
}

curl -sS "https://api.tickerlayer.com/futures/roll-calendar/WTIUSD?months=2" \
  -H "x-api-key: <YOUR_API_KEY>"

{
  "base": "WTIUSD",
  "name": "WTI crude oil",
  "rolls": [
    {
      "front": "WTIUSD.DEC26",
      "next": "WTIUSD.JAN27",
      "roll_window_start": "2026-11-05T23:00:00.000Z",
      "roll_window_end": "2026-11-12T22:00:00.000Z",
      "roll_window_days": ["2026-11-06", "2026-11-09", "2026-11-10",
                           "2026-11-11", "2026-11-12"],
      "cycle_start": "2026-10-19T22:00:00.000Z",
      "first_notice_date": "2026-11-30",
      "last_trade_date": "2026-11-20",
      "rotation_at": "2026-11-19T23:00:00.000Z"
    },
    {
      "front": "WTIUSD.JAN27",
      "next": "WTIUSD.FEB27",
      "roll_window_start": "2026-12-06T23:00:00.000Z",
      "roll_window_end": "2026-12-11T22:00:00.000Z",
      "roll_window_days": ["2026-12-07", "2026-12-08", "2026-12-09",
                           "2026-12-10", "2026-12-11"],
      "cycle_start": "2026-11-19T23:00:00.000Z",
      "first_notice_date": "2026-12-31",
      "last_trade_date": "2026-12-21",
      "rotation_at": "2026-12-20T23:00:00.000Z"
    }
  ]
}

curl -sS "https://api.tickerlayer.com/futures/quote/XAUUSD.C2" \
  -H "x-api-key: <YOUR_API_KEY>"

{
  "symbol": "XAUUSD.C2",
  "kind": "chain",
  "base": "XAUUSD",
  "name": "Gold",
  "unit": "USD per troy ounce",
  "contract": "XAUUSD.DEC26",
  "contract_month": "2026-12",
  "rank": 2,
  "last_trade_date": "2026-12-29",
  "roll_date": "2026-12-29",
  "first_notice_date": "2026-11-30",
  "market_status": "open",
  "trading_day_of_month": 17,
  "trading_days_in_month": 22,
  "bid": 4012.8,
  "ask": 4013.1,
  "price": 4012.95,
  "spread": 0.3,
  "bid_size": 1,
  "ask_size": 2,
  "volume": 839,
  "live": true,
  "estimated": false,
  "timestamp": 1792778642388,
  "transaction_time_us": 1792778642388000,
  "ingress_time_us": 1792778642624000,
  "publish_time_us": 1792778642819000
}

curl -sS "https://api.tickerlayer.com/futures/quotes?symbols=BRENTUSD.C1,UST5Y.C1,WTIUSD.MAR30" \
  -H "x-api-key: <YOUR_API_KEY>"

{
  "quotes": [
    {
      "symbol": "BRENTUSD.C1",
      "kind": "chain",
      "base": "BRENTUSD",
      "name": "Brent crude oil",
      "unit": "USD per barrel",
      "contract": "BRENTUSD.DEC26",
      "contract_month": "2026-12",
      "rank": 1,
      "last_trade_date": "2026-10-30",
      "roll_date": "2026-10-30",
      "first_notice_date": "2026-11-30",
      "market_status": "open",
      "trading_day_of_month": 17,
      "trading_days_in_month": 22,
      "bid": 116.38,
      "ask": 116.41,
      "price": 116.395,
      "spread": 0.03,
      "bid_size": 1,
      "ask_size": 2,
      "volume": 330,
      "live": true,
      "estimated": false,
      "timestamp": 1792778642473,
      "transaction_time_us": 1792778642473000,
      "ingress_time_us": 1792778642707000,
      "publish_time_us": 1792778642819000
    },
    {
      "symbol": "UST5Y.C1",
      "kind": "chain",
      "base": "UST5Y",
      "name": "US Treasury 5-year note",
      "unit": "points of par",
      "contract": "UST5Y.DEC26",
      "contract_month": "2026-12",
      "rank": 1,
      "last_trade_date": "2026-12-31",
      "roll_date": "2026-12-31",
      "first_notice_date": "2026-11-30",
      "market_status": "open",
      "trading_day_of_month": 17,
      "trading_days_in_month": 22,
      "bid": 104.5,
      "ask": 104.50781,
      "price": 104.503905,
      "spread": 0.00781,
      "bid_size": 1765,
      "ask_size": 1745,
      "volume": 30213,
      "live": true,
      "estimated": false,
      "timestamp": 1792778642485,
      "transaction_time_us": 1792778642485000,
      "ingress_time_us": 1792778642725000,
      "publish_time_us": 1792778642819000
    }
  ],
  "missing": ["WTIUSD.MAR30"],
  "count": 2
}

curl -sS "https://api.tickerlayer.com/futures/curve/WTIUSD" \
  -H "x-api-key: <YOUR_API_KEY>"

{
  "base": "WTIUSD",
  "name": "WTI crude oil",
  "unit": "USD per barrel",
  "market_status": "open",
  "months": [
    {
      "symbol": "WTIUSD.DEC26",
      "contract_month": "2026-12",
      "rank": 1,
      "last_trade_date": "2026-11-20",
      "days_to_expiry": 28,
      "bid": 103.01,
      "ask": 103.02,
      "price": 103.015,
      "volume": 4497,
      "live": true,
      "timestamp": 1792778652220,
      "carry_annualized": null
    },
    {
      "symbol": "WTIUSD.JAN27",
      "contract_month": "2027-01",
      "rank": 2,
      "last_trade_date": "2026-12-21",
      "days_to_expiry": 59,
      "bid": 100.61,
      "ask": 100.63,
      "price": 100.62,
      "volume": 988,
      "live": true,
      "timestamp": 1792778652221,
      "carry_annualized": -0.276971
    }
  ],
  "count": 22,
  "timestamp": 1792778652528
}

WebSocket

One channel, futures.quotes, on the same stream, key and subscribe message as every other feed, for accounts with Futures CFDs. Subscribe to any mix of dated months, chain positions and roll series. Frames follow the stream dialect: prices and sizes are strings and the event time is ts.

seq

A sequence number per symbol that rises with each update the stream sends for it. Frames of the same update carry the same number, whatever options a connection chose.

Snapshot

Right after the subscribe, the last price of each symbol is replayed with snapshot: true and the current seq, however old it is: a held price is still the price. Send snapshot: false to skip it.

Roll series

A roll series updates when either of its months does. While a roll window session is open, .R5C, and .C1 on connections that asked for roll fields, are also re-sent every second, because the continuous weight moves by itself. The rolls option adds the roll fields to every .C1 frame; the latest futures subscribe on a connection sets it for the connection.

Rejections

A dated month we do not carry is rejected with INVALID_SYMBOL and the hint This contract month is not listed. Use GET /futures/contracts for the listed months. Without Futures CFDs on the account, symbols are rejected with UNAUTHORIZED_SYMBOL.

{
  "action": "subscribe",
  "channels": ["futures.quotes"],
  "symbols": ["WTIUSD.C1", "XAUUSD.DEC26", "US500.R5"],
  "rolls": ["r5", "cycle"]
}

{
  "type": "quote",
  "channel": "futures.quotes",
  "asset": "futures",
  "symbol": "WTIUSD.C1",
  "kind": "chain",
  "contract": "WTIUSD.DEC26",
  "contract_month": "2026-12",
  "rank": 1,
  "bid": "102.99",
  "ask": "103.01",
  "price": "103",
  "spread": "0.02",
  "bid_size": "6",
  "ask_size": "5",
  "volume": "4464",
  "live": true,
  "estimated": false,
  "market_status": "open",
  "last_trade_date": "2026-11-20",
  "roll_date": "2026-11-20",
  "first_notice_date": "2026-11-30",
  "trading_day_of_month": 17,
  "trading_days_in_month": 22,
  "seq": 1842,
  "ts": 1792778642101,
  "transaction_time_us": 1792778642101000,
  "ingress_time_us": 1792778642342000,
  "publish_time_us": 1792778642467000,
  "rolls": {
    "r5": { "price": "103", "bid": "102.99", "ask": "103.01", "weight": 0 },
    "cycle": { "price": "102.68826087", "bid": "102.67826087", "ask": "102.69826087", "weight": 0.13043478260869565 }
  }
}

{
  "type": "quote",
  "channel": "futures.quotes",
  "asset": "futures",
  "symbol": "US500.R5",
  "kind": "roll",
  "contract": "US500.DEC26",
  "contract_month": "2026-12",
  "rank": 1,
  "bid": "7668.75",
  "ask": "7669",
  "price": "7668.875",
  "spread": "0.25",
  "bid_size": null,
  "ask_size": null,
  "volume": "34204",
  "live": true,
  "estimated": false,
  "market_status": "open",
  "last_trade_date": "2026-12-18",
  "roll_date": "2026-12-18",
  "first_notice_date": "2026-11-30",
  "trading_day_of_month": 17,
  "trading_days_in_month": 22,
  "seq": 917,
  "ts": 1792778642387,
  "transaction_time_us": 1792778642387000,
  "ingress_time_us": 1792778642624000,
  "publish_time_us": 1792778642646000,
  "method": "r5",
  "weight": 0,
  "front": "US500.DEC26",
  "next": "US500.MAR27",
  "front_price": "7668.875",
  "next_price": "7744",
  "front_estimated": false,
  "next_estimated": false,
  "roll_window_start": "2026-11-05T23:00:00.000Z",
  "roll_window_end": "2026-11-12T22:00:00.000Z"
}

Frames carry the same values as GET /futures/quote, without base, name and unit, which do not change: read them once from GET /futures/products. weight stays a number.

Before you use Futures CFDs

Futures CFDs are reference prices that TickerLayer calculates with its own methodology, one per contract month, chain position or roll series. They are not futures contracts, not executable, and not the official settlement, closing or index price of any market. TickerLayer publishes data only: it does not list, offer, broker or clear any contract, and it is not affiliated with, sponsored or endorsed by any trading venue, index provider or benchmark administrator.

The full text is in the market data disclaimer. Coverage, roll methods and use cases are on the Futures CFDs product page.