Contract Intel

contract-intel

Purpose

This skill turns a user's bare product code ("ES") into the actual tradeable contract. It flags rollover risk. It surfaces the full-vs-micro sibling when relevant. This skill does not resolve symbols server-side, for two reasons. The per-maturity OI query costs the same either place. Also, the skill gains more narrative flexibility this way.

Environment routing

This covers symbol and market data only, with no account binding. A sibling skill's account resolution might already fix a session to demo (simulation) or live. If so, stay on that same MCP server for consistency.

MCP tools used

Tool names below are bare. The NinjaTrader MCP server provides them. Your client adds its own prefix. See AGENTS.md at the repo root.

• market_snapshot — resolve the front-month contract and its rollover status from a bare product code. Prune with fields=["snapshots[].symbol","snapshots[].expirationDate","snapshots[].totalVolume","snapshots[].openInterest","snapshots[].lastPrice"].
• search_contracts — look up the full/micro sibling for a product. Call it with includeFamilySiblings=true.

Workflow

1. Front-month resolution

When the user says "buy ES" or asks "what's NQ doing?", resolve the bare product code to a specific contract. Do this before any other tool call. Save the tool result to a file. Pass its path with --file. Never re-type or inline a large JSON payload in the command.

market_snapshot(
    product="ES",
    fields=["snapshots[].symbol","snapshots[].expirationDate","snapshots[].totalVolume","snapshots[].openInterest","snapshots[].lastPrice"]
)
# Save that response to market_snapshot.json, then:
python3 scripts/resolve.py --file market_snapshot.json

market_snapshot with product returns every non-expired maturity. Prune the response to the five fields that the resolve and rollover scripts read. resolve.py returns:

• front_month — the contract with the highest OI among the nearest two maturities. This handles mid-rollover, when the next maturity overtakes the nearest.
• next_month — the maturity immediately after front
• oi_ratio — front OI / next OI
• rolled_already — true if the second-nearest maturity has more OI than the nearest

Use front_month.symbol for any follow-up tool call (place_order, market_history, etc.).

2. Rollover status

When the user asks "is ES about to roll?" or "should I switch contracts?", run rollover.py on the same input:

market_snapshot(
    product="ES",
    fields=["snapshots[].symbol","snapshots[].expirationDate","snapshots[].totalVolume","snapshots[].openInterest","snapshots[].lastPrice"]
)
# Run rollover.py on the same saved response:
python3 scripts/rollover.py --file market_snapshot.json

Returns a status classification. The script applies these rules in order, and the first match wins:

• rolled — next OI > front OI, at any day count. Trade the next contract.
• imminent — 5 days or fewer to expiry, at any open interest. Proximity overrides open interest here. Tell the user to roll the position or to close it before expiration.
• not_imminent — days > 15 AND the next month cannot absorb a roll. Either the next month holds no open interest, or the front holds more than 5x it. No action needed.
• imminent — 5 to 15 days out AND next OI is 50% of front OI or more. Rollover happens now. Execution runs thinner than usual.
• approaching — every other case. Prefer the front contract. Watch for rollover in a few days.

Also emits a ready-to-narrate narrative string and a calendar_spread_candidate flag. This flag is true when both legs have liquidity. The OI ratio is then between 0.3 and 3, during approaching or imminent status.

3. Product family (micro / full)

When the user asks "is there a micro of ES?" or "ES vs MES?" — call search_contracts with the includeFamilySiblings field. That field adds each hit's full/micro counterpart to the result:

search_contracts(text="ES", includeFamilySiblings=true)

Each result's familySibling field (when present) gives the counterpart's product name, description, isMicro flag, and valuePerPoint. Narrate the contrast directly. No script needed.

The product family might not appear in the search results. If so, load references/product-glossary.md for the common-pairs table and margin intuition.

4. Event contracts (Kalshi)

When the user asks about Kalshi markets — read the kalshi-events MCP resource, not search_contracts. Read it by its URI, through whatever resource-read action your client provides:

tradovate://kalshi-events

Event contracts resolve to a single date (no rollover) and live in the separate tradovate://kalshi-events resource. Detect a Kalshi entry by that resource URI, not by a productType value. See references/product-glossary.md § Event contracts for more.

Output idioms

Always quote the exact contract symbol — never invent. ESU6, not ES or @ES. Pulled from market_snapshot.symbol or search_contracts.symbol.

When narrating rollover:

• Not imminent: "Liquidity is in {symbol} ({oi_fmt} OI, {days} days). No rollover action needed right now."
• Approaching: "{front} is still the front contract, but {next} is picking up. Expect rollover in the next few sessions."
• Imminent: "{front} vs {next} — rollover window. Liquidity is split; execution may be thinner than usual. Consider rolling now."
• Rolled: "{front} has already lost liquidity to {next}. Trade {next}."

When narrating full vs micro:

• "The micro of ES is MES — 1/10th the notional ($5/point vs $50/point for ES), same tick size. Use it for finer sizing or to round out your full-size exposure."

Disambiguation

• vs correlation-hedge: contract-intel handles same-underlying alternatives (ESU6 vs MES, ES front vs next month). Cross-underlying pairs like ES/NQ — how correlated, how to hedge one with another — live in correlation-hedge.
• vs pretrade-risk: this skill resolves the symbol. Pretrade-risk sizes the trade on that symbol. Always run resolve first.
• vs search_contracts directly: if the user already named a specific contract (ESU6, not "ES"), skip this skill. Go straight to the target tool. This skill is for disambiguation from bare product codes.

Known gotchas

• Contract symbols are exact. ESU6 trades. ES does not. Never accept a bare code from the LLM as a tradeable symbol without running it through resolve.py first.
• Monthly contracts (CL, NG) expire the month before the contract month (CLU6 expires late August, not September). Never infer from the symbol. Always use market_snapshot.expirationDate.
• rolled_already in resolve.py differs from status = "rolled" in rollover.py. The first is a fact about the two nearest maturities. The second is a classification that also weighs OI ratio and days.

Resource layout

• scripts/resolve.py — bare product code → front-month resolution (input: market_snapshot(product=...) response)
• scripts/rollover.py — rollover-status classification + narrative (same input)
• scripts/fixtures/ — three synthetic ES snapshots covering not_imminent, imminent, and rolled states for regression testing
• references/product-glossary.md — full/micro pairs, tick intuition, settlement types, rollover conventions. Load it when you narrate a cross-product contrast, or when market_snapshot does not provide the needed context