Futures Trading Journal: What to Track and Review

A futures trading journal is a trade record that keeps the contract’s own terms attached to every decision: the exact contract month, its expiry and settlement method, the tick size and tick value, the planned risk in ticks and in dollars, every fill at the contract level, the combined exposure across related positions, the transaction costs, and whether each entry, add, stop change, roll, and exit followed the written plan.

A generic journal that stores “long ES, +$250” loses most of that. It cannot tell you which contract month was traded, whether a roll happened inside the position, how many ticks the stop really was, or whether the result came from the planned size or an unplanned add. Futures contracts differ in point value, expiry rules, and settlement, so the journal has to record those terms rather than assume them.

This guide covers journal structure only. It does not recommend a contract, broker, platform, stop distance, or position size, and the examples are record formats, not trade ideas. Futures are leveraged: a small price change can produce a large gain or loss relative to the margin deposited.¹

What should a futures trading journal track?

A useful futures journal keeps five layers separate:

Layer	What to record	Question it answers
Contract	Root symbol, contract month and year, exchange, tick size, tick value, point value, settlement method, last trading day	Which instrument was actually traded, and what is one tick worth?
Plan and risk	Setup condition, entry, stop, target or exit rule, planned risk in ticks and dollars, maximum size, add rule	What was supposed to happen before the fill?
Position	Position ID, every fill (contract, side, quantity, price), adds, partial exits, roll events, related open positions	What exposure actually existed at each moment?
Costs	Actual commission and fees as charged, kept apart from pre-trade estimates; gross and net result	What did the trade cost, and does the net result reconcile with the statement?
Execution review	Planned versus actual entry, stop, size, and exit; rule status for each decision	Did execution follow the plan, whatever the outcome?

The contract layer is what makes a futures journal different from a stock trading journal or a generic trade log. The execution-review layer is what makes it a review tool rather than a ledger. For how to choose software around these needs in general, see how to choose a trading journal app.

Record the exact contract, not just the market

“ES” names a product. It does not name the contract. Record the full identity:

Root and month code. CME lists the E-mini S&P 500 in quarterly March, June, September, and December contracts.² A code such as ESZ6 identifies one dated contract (December 2026); it will not be the active contract indefinitely. Store the code the platform uses, not a nickname.
Exchange and product. Two products on the same index can have very different sizes. The E-mini S&P 500 is $50 × the index; the Micro E-mini is $5 × the index.²³ WTI Crude Oil (CL) is a NYMEX contract, listed through CME Group.⁴
Settlement method. The E-mini and Micro E-mini S&P 500 are financially settled.²³ CL is deliverable.⁴ A journal that does not record which kind of contract was held cannot tell whether an expiry window was a real constraint.
Last trading day. E-mini S&P 500 trading terminates at 9:30 a.m. ET on the third Friday of the contract month.² CL trading terminates 3 business days before the 25th calendar day of the month before the contract month (4 business days if the 25th is not a business day).⁴ Store the actual date for each contract, because the rules vary by product.

CME’s own education material notes that expiration typically falls on the third Friday of the expiration month “but varies by contract.”⁵ That is the reason to record the date per contract instead of carrying one assumption across every market.

Store tick size and tick value per contract

Futures prices move in fixed increments, and the value of one increment differs by product. Record both for every contract you trade:

Contract	Minimum outright tick	Value of one tick	Value of one full point or unit
E-mini S&P 500 (ES)	0.25 index points	$12.50	$50 per index point
Micro E-mini S&P 500 (MES)	0.25 index points	$1.25	$5 per index point
WTI Crude Oil (CL)	$0.01 per barrel	$10.00	$1,000 per $1.00 move (1,000 barrels)

Specifications from CME Group contract pages.²³⁴ These are outright tick rules. Other execution mechanisms on the same product can use different increments: ES and MES calendar spreads trade in 0.05 index points ($2.50 and $0.25), and trade-at-settlement or basis-trade variants have their own rules. Check the exchange’s current specification before relying on any value, and do not carry one product’s specification over to another.

Keeping these fields in the journal lets each contract’s result be converted between ticks and dollars without guessing. It also stops a common review error: comparing “10 ticks lost” across products as if a tick were worth the same everywhere.

Write planned risk in ticks and dollars before entry

For each trade, record the planned risk before the order is placed, using the intended entry and the intended stop:

planned price risk ($)     = stop distance in ticks × tick value × contracts
estimated planned loss ($) = planned price risk + estimated round-turn fees

Write down which of the two figures your plan limits, so later comparisons use the same definition. For example, a record for 2 ES contracts with a stop 12 ticks (3 index points) from the intended entry reads:

12 ticks × $12.50 × 2 contracts = $300 planned price risk
+ estimated fees for 4 sides     = estimated planned loss

The same 12-tick stop on 2 MES contracts is $30 of planned price risk. On 1 CL contract, a 20-tick ($0.20) stop is $200. These are arithmetic illustrations, not recommended stops or sizes.

Planned risk is a pre-trade number. Once orders fill, keep four figures apart:

Original planned risk: intended entry to intended stop, fixed before the order.
Actual-entry risk: actual fill price to the intended stop.
Updated position risk: remaining contracts to the current stop, restated after every add, partial exit, or stop change.
Realized loss: what the closing fills actually produced.

A stop-derived figure is an estimate, not a maximum. Price can gap through a stop, a triggered stop can fill at a worse price, and fills depend on liquidity. Recording all four figures turns the gap between plan and outcome into a reviewable number instead of a feeling. The slippage and execution-costs guide covers how to measure that gap.

Margin belongs in a separate field. Initial and maintenance margin are what the exchange and broker require you to hold, and those requirements can change with market conditions.¹ They are not the trade’s planned risk. A journal that writes “risk = margin” loses the stop distance entirely. Crypto perpetuals add a venue-displayed liquidation price and periodic funding payments to the same separation; the crypto trading journal covers how to record them.

Track aggregate exposure after every fill

A futures position is often built from several fills. Review the combined position, not the last fill.

After each fill or add, record:

the contracts now open in each instrument and month;
the entry price of each open lot;
the stop that now governs each lot;
the combined dollar value of a one-point move; and
the stop-defined risk of each leg, summed only when every leg’s direction and stop are written down.

Mixed sizes on one index need the same treatment. One ES plus three MES in the same direction is $50 + 3 × $5 = $65 per index point of gross price sensitivity. Four contracts is not a meaningful number for review. Keep three measures apart:

Gross directional sensitivity: dollars per one-point move ($65 here).
Each leg’s stop-defined downside: that leg’s distance from entry to its own stop × its multiplier × its quantity.
Combined outcome at stated stops: the signed sum of every leg’s P&L if each leg exits at its stop.

If the ES was bought at 6000.00 and the three MES at 6002.00, with one stop at 5996.00 covering both, the legs’ downside is 4 points × $50 = $200 and 6 points × $15 = $90, so the stop-defined price risk is $290. Here all three measures point the same way, so the combined outcome at the stop is also −$290. When legs differ in direction, entry, or stop, calculate each leg with its own multiplier and quantity, and keep the sum of leg-level downside separate from the signed combined outcome, which can net a profitable leg against a losing one. Neither figure is a guaranteed maximum loss. The micro futures behavioral-risk guide explains why many small additions can hide the combined figure.

Positions on different but related products, such as two equity-index contracts, should be recorded as separate instruments with their own tick values. Record in the plan whether the trader treats them as one combined exposure and by what convention. The journal should not quietly add them together as if they were the same contract, and it should not quietly treat them as independent either. Write the rule down.

Calculate realized P&L from matched fills

Realized P&L is calculated per contract from the fills that close each other, not from the position summary:

long:  gross P&L = (exit price − entry price) × point value × matched contracts
short: gross P&L = (entry price − exit price) × point value × matched contracts

Equivalently, count the signed ticks and multiply by tick value and matched contracts. Use the specification of the contract actually traded.

Partial exits. Allocate each closing fill to the relevant opening lot or lots under the selected matching convention (for example first-in, first-out, or the method your broker reports). One closing fill can match several opening fills. Record each match as a line: opening fill ID, closing fill ID, contract, direction, matched quantity, entry and exit prices, gross dollar P&L, and allocated fees. When the same linear futures position is completely closed and every fill is accounted for, total gross P&L is the same under any matching method. Partial realizations while contracts remain open, and which lots get credit for the result, can differ with the method and the broker’s reporting convention. Quantity-weighted average entry and exit prices can reproduce that total, but they hide which fills made or lost money.

Mixed contracts. Keep ES, MES, CL, and each expiration month as separate lines in the execution ledger. Calculate each line’s P&L in dollars, then add the dollars. Plus 8 ticks on 1 ES is $100; plus 8 ticks on 3 MES is $30. The position made $130, not “16 ticks.” If any contract settles in another currency, record the conversion rate and its source before aggregating. Spot currency pairs raise the same conversion problem on every trade; the forex trading journal records pip value in the account currency for that reason.

Costs. Then subtract the fees that were actually charged:

net trade P&L = aggregate gross trade P&L − actual transaction fees

Fill prices already contain whatever slippage and bid-ask spread the trade paid, so do not subtract those a second time. Keep estimated pre-trade costs and actual post-trade costs in different fields.

Log rolls and expiry as linked events (when exposure moves between months)

This section applies when an existing position or thesis is transferred from one contract month to another, whether near expiry or earlier. An intraday trader who flattens each session and later starts an unrelated trade in a new month has not rolled anything; that is ordinary contract selection, recorded through the contract month on each fill.

A roll closes the position in one contract month and opens it in another. CME describes rolling forward as offsetting the current position and establishing a new position in a later month, for example selling September ES and buying December ES.⁵ The two legs can be executed as separate orders (“legging”) or as a single spread order that closes and opens at the same time; CME notes that legging leaves a time gap that can produce slippage.⁶

A roll needs two levels of record:

Strategy or thesis ID. Keeps the original idea, plan, and decision history connected across contract months when the trader intends to keep the same exposure.
Contract-level execution records. The expiring contract is closed and its lot is finished; the deferred contract is a new opening lot with its own entry price.

For the roll itself, record:

original and new contract (for example ESU6 → ESZ6);
closing and opening quantities;
each leg’s executed price as reported, and whether the roll used separate leg orders or a spread (with the spread price);
fees on both legs;
realized P&L on the closed contract, calculated from its own entry and exit;
opening exposure in the new contract;
the restated stop and planned risk for the new contract; and
the roll decision and the written rule it followed (date, volume condition, or “undefined”).

The price difference between the two months is not a trading profit or loss by itself. Realized P&L on the roll comes from the closed lot; the new lot starts from its own entry. Do not assume that the same numeric stop price carries the same risk after a roll, either. The months trade at different prices, so restate the stop as a distance in ticks and dollars from the new entry and record both values.

If a position is held into expiry instead, record what happened: offset, cash settlement, or delivery obligations under the contract’s terms.⁵ A position approaching the last trading day without a written plan is itself worth tagging.

Record actual costs, then reconcile with the statement

Futures commissions are usually quoted per contract per side. Brokers often list exchange, clearing, and regulatory fees separately from the commission. Record:

commission and each listed fee, per side per contract, as your broker charged them;
the number of sides (a round turn on 3 contracts is 6 sides; a roll adds more);
for each contract line: signed ticks, tick value, matched quantity, gross dollars, and allocated fees; and
for the trade: total gross dollars, total fees, and net dollars.

Then compare the journal with the broker statement, and define the comparison first. Futures are marked to market: the exchange sets a daily settlement price, and open positions are credited or debited the change from the previous settlement each day.⁷ A period statement can therefore mix daily settlement variation, closed-trade P&L, open-position valuation, commissions and exchange fees, and other cash movements. A trade held overnight shows up across two days of variation, so the journal’s full-lifecycle result will not equal a single day’s account change.

Reconcile like with like: the same positions, the same period, the same fee treatment, and the same definition of realized versus open P&L. If they still disagree, fix the journal before reviewing behavior. The futures broker comparison shows how posted commission schedules and separately listed fees differ in practice.

Separate the result from execution quality

Use two review tracks for every futures trade.

Result: ticks and gross dollars per contract line, then gross and net dollars for the trade, calculated the same way each time, including rolls and partial exits. Quote the trade in ticks only when every line is the same contract specification.

Execution quality: compare each material decision with the rule that applied at that time.

Decision	Planned	Actual	Status	Evidence
Contract	Month written in plan	Month filled	Aligned / deviated / undefined	Fill record
Entry	Condition and price	Fill price, ticks from plan	Aligned / deviated / undefined	Timestamp and fill
Size	Maximum contracts and planned risk	Contracts filled; updated position risk	Aligned / deviated / undefined	Position record
Add	Written add condition	Add fill and updated position risk	Aligned / deviated / undefined	Timestamped reason
Stop	Original stop	Every stop change, with time	Aligned / deviated / undefined	Order history
Roll or expiry	Planned date or condition	Actual roll or hold	Aligned / deviated / undefined	Roll fills
Exit	Planned exit or invalidation	Actual exit, ticks from plan	Aligned / deviated / undefined	Fill record

Use “undefined” when the plan had no rule for the decision. That is more useful than writing a rule afterward. Status depends on the rule, not the result: an add that broke an explicit add rule is deviated, an add with no applicable add rule is undefined, and an add that followed the documented rule is aligned, whether the trade won or lost. A worse fill than planned is an execution difference to measure; it becomes a rule deviation only when a written rule (such as a maximum entry distance) was broken. For worked examples of the difference, see these trade journal examples.

Record the session, too. CME Globex trades the E-mini S&P 500 from Sunday 6:00 p.m. to Friday 5:00 p.m. ET, with a daily maintenance period from 5:00 to 6:00 p.m. ET.² Because the market is open for most of the day, a field for “inside my planned trading window: yes/no” is often more useful for review than the clock time alone.

A compact futures journal template

STRATEGY / THESIS ID:
POSITION ID:
DATE / SESSION WINDOW (planned vs actual):

CONTRACT
- Root / month code / exchange:
- Tick size / tick value / point value:
- Settlement method / last trading day:

PRE-TRADE PLAN
- Setup condition:
- Intended entry / stop / exit rule:
- Planned price risk (ticks, $) / est. fees / est. planned loss:
- Maximum contracts / add rule:
- Roll or expiry plan (only if exposure may move to another month or be held into expiry):

FILLS AND EVENTS
- Time / contract / buy-sell / contracts / price / ticks vs plan / reason
- After each fill: open lots / active stop per lot / updated position risk
- Partial exit: opening fill ID(s) / closing fill ID / matched qty / matching method / gross $ / allocated fees
- Roll: old contract exit / new contract entry / legs or spread / restated stop and risk

COSTS
- Actual commission + fees per side / sides / total

REVIEW
- Per contract line: signed ticks / gross $ / allocated fees
- Trade: gross $ / fees / net $; reconciles with statement? (Y/N, basis)
- Original vs actual-entry risk vs realized loss:
- Contract / entry / size / add / stop / roll / exit status:
- Evidence to compare across similar trades:

Fill in the contract and plan before entry. During the trade, record only fills and the reason for each change. Leave interpretation for a scheduled review so journaling does not become a second live task.

Worked example: one ES trade, plan versus execution

A hypothetical long trade in 1 ES contract. Every ID, time, and fill below is invented for illustration, not taken from a real transaction, and the $5.00 round-turn fee is an assumption for the arithmetic, not a broker quote.

STRATEGY / SETUP ID: EX-PULLBACK (hypothetical)
POSITION ID: EX-001
SESSION WINDOW: planned 9:30–11:30 a.m. ET / entry 10:12 a.m. ET

CONTRACT
- ES, December 2026 (ESZ6); tick 0.25 = $12.50; $50 per point

PRE-TRADE PLAN
- Entry rule: buy at market when the setup condition prints;
  no maximum distance from 6000.00 written
- Exit rule: sell-stop order at 5997.00, not moved
- Intended entry 6000.00 / stop 5997.00 / size 1 contract
- Stop distance: 3.00 points = 12 ticks
- Original planned price risk: 12 × $12.50 × 1 = $150.00
- Estimated round-turn fees (hypothetical): $5.00
- Original planned loss incl. est. fees: $155.00

FILLS AND EVENTS
- F1 10:12 a.m.: market buy 1 filled at 6000.25
  (1 tick above the planned 6000.00 benchmark; no quote at order time recorded)
- Actual-entry risk to stop: 3.25 points = 13 ticks = $162.50
- F2 10:31 a.m.: sell-stop 5997.00 triggered, filled at 5996.75 (1 tick below stop)
- Match: F1 → F2, 1 contract

RESULT
- Actual loss: 6000.25 − 5996.75 = 3.50 points = 14 ticks
- Gross loss: 14 × $12.50 = $175.00
- Fees: $5.00  →  Net loss: $180.00
- Versus planned: $175.00 − $150.00 = $25.00
  = 1 tick adverse entry-price difference vs 6000.00 plan ($12.50)
  + 1 tick adverse stop-fill difference vs 5997.00 stop ($12.50)

REVIEW
- Session: aligned (inside planned window)
- Contract: aligned / Size: aligned (1 of 1) / Stop: aligned (not moved)
- Exit: aligned (stop order left working)
- Entry: undefined (no maximum entry distance written)
- Adverse execution-price difference: 2 ticks ($25.00)
  (entry vs plan 1 tick + stop fill vs stop 1 tick), logged for execution review

The net loss exceeded the $155.00 planned figure by $25.00, all of it from fill prices, with the hypothetical fees as planned. That is a one-tick adverse entry-price difference versus the planned 6000.00 benchmark and a separate one-tick adverse fill after the stop triggered. Without the market quote at the time of the entry order, the record cannot say how much of the entry difference was slippage and how much was price moving before the order. Nothing in the record shows a rule was broken, so none is marked deviated. If the trader wants a limit on entry distance, it gets written into the next plan rather than applied to this trade after the fact.

Common futures-journal mistakes

Recording the product instead of the contract. “ES” without a month cannot be reconciled after a roll.

Mixing ticks and dollars across products. A tick on MES and a tick on CL are not the same risk.

Counting contracts instead of exposure. Mixed ES and MES positions need a combined point value.

Averaging away the fills. One weighted-average entry and exit hides which lots made or lost money.

Collapsing a roll into one line. A roll needs a continuous thesis ID and separate contract-level records for the closed and opened lots.

Copying a stop price across contract months. The new month usually trades at a different price.

Using margin as risk. Margin is a deposit requirement, not the loss implied by the stop.

Counting slippage twice. Fill-based P&L already includes it; subtract only the fees charged.

Where Costante fits

A futures-specific journal or platform is the right tool when the job is importing fills, reconciling statements, computing tick-based P&L automatically, or tracking margin. Costante does not connect to brokers or exchanges, import fills, calculate live exposure, execute or block orders, or decide whether a trade or contract is appropriate.

Costante covers a narrower behavioral layer for discretionary futures traders: a session plan, self-defined guardrails, pre-trade and in-session checks, low-friction logging of decisions and whether they followed the plan, and structured review of repeated drift. A futures trader can use that alongside a contract-level journal when the problem is not “what did I trade?” but “why do I keep adding, moving stops, or trading outside my window when I know the rule?”

Frequently asked questions

What is the minimum information for a futures trade journal entry?

Record the contract (root and month), tick value, entry and exit fills, contracts traded, stop, planned risk in ticks and dollars, costs, and net result. To review decisions as well, add the setup condition, add rule, and a rule status for each entry, add, stop change, and exit.

How do I journal a futures roll?

Keep the strategy or thesis ID, but record the roll at the contract level: close the expiring lot with its own realized P&L, open the new lot with its own entry, record both legs (or the spread) with fees, and restate the stop and planned risk for the new contract. Then mark whether the roll followed a date or condition written in advance.

Should a futures journal track risk in ticks or dollars?

Both. Ticks show the stop distance and slippage in the market’s own units. Dollars show what the trade actually risked once tick value and contract count are applied. Store tick value per contract so you can convert between them.

Is margin the same as risk in a futures journal?

No. Margin is the amount the exchange and broker require you to hold, and it can change with market conditions. Planned price risk is the distance to your stop in ticks, times tick value, times contracts; if your definition includes estimated fees, say so. Record them in separate fields.

Why doesn’t my journal P&L match my broker statement?

Usually because the two measure different things. Futures are marked to market daily, so a statement can include settlement variation on open positions, closed-trade P&L, fees, and other cash movements, while the journal records each trade from open to close. Compare the same positions, period, fee treatment, and P&L definition before treating a gap as an error.

Can a futures trading journal show whether my strategy works?

It can organize comparable evidence, but one trade or one good week cannot establish an edge. Strategy evaluation needs stable definitions, enough comparable trades, and costs included. A journal is most reliable for showing whether execution followed the plan.

Sources

Costante provides educational workflow tools, not financial advice. Trading involves risk.

CME Group. The Benefits of Futures Margins. Describes initial and maintenance margin, that brokers may collect more than the exchange amount, that requirements may change with market conditions, and that a small price change can produce a large gain or loss. Accessed September 22, 2026. ↩ ↩²
CME Group. E-mini S&P 500 Futures Contract Specs. Contract unit $50 × S&P 500 Index; minimum price fluctuation outright 0.25 index points = $12.50, calendar spread 0.05 index points = $2.50, with separate TACO, BTIC, and TMAC increments; quarterly March, June, September, December contracts; financially settled; trading terminates at 9:30 a.m. ET on the third Friday of the contract month; CME Globex hours Sunday 6:00 p.m. to Friday 5:00 p.m. ET with a daily 5:00–6:00 p.m. ET maintenance period. Page displayed ESZ6 as the Globex code. Accessed September 22, 2026. ↩ ↩² ↩³ ↩⁴ ↩⁵ ↩⁶
CME Group. Micro E-mini S&P 500 Index Futures Contract Specs. Contract unit $5 × S&P 500 Index; minimum price fluctuation outright 0.25 index points = $1.25, calendar spread 0.05 index points = $0.25; quarterly contracts; financially settled; trading terminates at 9:30 a.m. ET on the third Friday of the contract month. Accessed September 22, 2026. ↩ ↩² ↩³
CME Group. Crude Oil Futures Contract Specs. NYMEX rulebook chapter 200; contract unit 1,000 barrels; minimum price fluctuation $0.01 per barrel = $10.00 (TAS traded in separate differential ticks); monthly contracts; deliverable; trading terminates 3 business days before the 25th calendar day of the month prior to the contract month (4 business days if the 25th is not a business day). Accessed September 22, 2026. ↩ ↩² ↩³ ↩⁴
CME Group. Understanding Futures Expiration & Contract Roll. Describes offset, rollover (simultaneously offsetting the current contract and opening a later month), and settlement at expiry; notes expiration typically occurs on the third Friday of the month but varies by contract. Accessed September 22, 2026. ↩ ↩² ↩³
CME Group. Managing Contract Expiration. Describes liquidating before expiry and rolling forward either by legging (two separate transactions) or by a spread order that executes the closing and opening orders simultaneously, and notes that the time gap when legging can result in slippage. Accessed September 22, 2026. ↩
CME Group. Mark-to-Market. Describes the exchange-set daily settlement price and that the dollar difference from the previous day’s settlement determines each day’s profit or loss on open positions, with margin adjustments as required. Accessed September 22, 2026. ↩