Need a reliable source of futures expiration dates

Question

I am trying to determine (programmatically) what the current front month contract for a given futures symbol is.

I would guess that all futures contracts expire on a standard time relative to their exchange.

The trivial solution:

1. Get current month
2. Retrieve symbol for current month

Obviously doesn't work. Some futures don't trade on the current month, and its possible the current month's contract has closed and the next month is now trading actively.

Is there any resource available that has expiration dates for contracts that I can use? Or is there a way to determine with some simple rules what the front month currently is?

Thanks!

Answer 1

Any premium data provider (e.g. Reuters, Bloomberg) will provide this information.

If you are looking for free data, you could check out the individual contract data on Quandl.

Note that the contract that will expire next is not necessarily the most liquid contract, and that many underliers have multiple liquid contracts trading at any one time (especially commodities and interest rate futures). Also, just because a contract is tradable, does not mean that you should trade it! As one example, you generally don't want to be long a contract that has physical delivery after the first notice date.