RollOver questions

[KBJ]

I have a spreadsheet for the various arcane rollover rules if you want me to share with you

I'd love to get a glimpse of your spreadsheet. Any chance you could post it?

[[email protected]]

Volume should be triggering factor

I strongly believe that Volume should be the trigger to move to a new Front Month contract.

Dates can be very tricky as one can end up getting out of a position in a low volume day

PEDRO

[NinjaTrader_JoshP]

Pedro,

Ultimately when you rollover is controlled by you. If you feel the date is too low volumed, you can just change it and go for a different one.

[Harry]

Offset of rollover date

(1) Backadjusted continuous futures can be created via "Close to Close", "Close to Open" or "Open to Open" value. I assume that NT backadjusts the close value of the old contract on rollover date to the open value of the new contract on rollover date + 1. Is this correct, or is one of the other methods used?

(2) For example, how is the offset value of -5.25 for ES 03-10 determined? If I look at my chart data, the "close to close" or "close to open" adjustement would be -4.75 .....

(3) I assume that I can overwrite the -5.25 with my own value?

(4) The help file reads: " The Contract months section shows the contract months with associated rollover dates. This information is automatically downloaded from the NinjaTrader server whenever you are connected to your live data feed or the Simulated Data Feed." How can I avoid that NT overwrites the information that I have entered manually?

[NinjaTrader_Dierk]

1) The close prices of the old and the new expiry on the day before roll over would be compared and would make up the offset.
2) Based on data recorded by the data server which might be different than data you get from a different source
3+4) yes, however it will be overwritten on next connect

[Harry]

Does this mean that everytime I connect, the rollover date that I have chosen will be deleted and replaced by the rollover date deemed correct by NinjaTrader?

I definitely would like to choose my own rollover dates (based on volume and open interest), as I did with NT 6.5!

[NinjaTrader_Dierk]

>> Does this mean that everytime I connect, the rollover date that I have chosen will be deleted and replaced by the rollover date deemed correct by NinjaTrader?
Correct. We'll look into to see what could be improved there.

[Harry]

My suggestion would be that there is an option somewhere to choose between

(1) automatic setting of rollover dates for less experienced users
(2) manual setting of rollover dates and offsets

Preferably this would be a global option.

Under (2) rollover dates / offsets should only be updated, when Tools-> Options -> Data -> Reset Instruments is executed.

[NinjaTrader_Dierk]

FYI: I edit my post #20 in item #1.

[Harry]

How to get rid of illiquid contracts ?

Settings GC (NYMEX Gold Futures). For the default rollover settings the illiquid contract 10-2009 was chosen. I changed the settings to kick this contract out, but it comes back every now and when.

Is there any way of making it disappear once forever from my data?

[NinjaTrader_JoshP]

Instead of deleting it in the Historical Data Manager, you want to exclude it so it simply won't show. When you pull historical data it is very possible that it will just load again depending on how long back you request. With the entries excluded, even if it went that far back, it won't show them.

[Harry]

I did not use the historical data manager. I just changed the settings under instrument settings -> edit -> rollover settings. But these are restored by NinjaTrader, so back it comes.

Instead of deleting it in the Historical Data Manager, you want to exclude it so it simply won't show. When you pull historical data it is very possible that it will just load again depending on how long back you request. With the entries excluded, even if it went that far back, it won't show them.

[NinjaTrader_JoshP]

I don't believe you can just delete a rollover for skipping over that month. To not visually see it what you can do is set the rollover offset to 0, then exclude all of that month's data and then I believe you should achieve what you want.

[Harry]

That is what I did. For not displaying the illiquid gold futures contract, I changed the rollover date for GC 12-09 to 31.07.2009, which is the same rollover date as for GC 10-09 (default). So if I am lucky this gets me the correct offset....

My question was different. I am afraid that NT regularly updates rollover dates and offsets. There is no way to save these settings somewhere.... so I will have to check every day, whether NT changed my settings.

[NinjaTrader_JoshP]

Harry,

When you specifically change the offset values and such to your own customized ones NT won't overwrite them. When you delete them completely outright, I believe it will see it as missing and try to fill it in.