RollOver questions

[oclop]

Hello,

I do not fully understand how rollovers work with NT7. For each instrument there are the rollover dates defined and if I understand well, NT manages automatically the rollOver. these are my questions:

• Do I understand well that the rollover is managed for historical data? i.e. NT concatenates automatically the contracts without needing to merge the contracts as it was done in NT 6.5?
• For each rollover date there is an offset. How is this offset calculated? does NT calculate the offset based on the rollover method (back adjusted or not)? When does NT calculate the offset? Can the user modify manually this offset?
• Is the rollover offset accessible in the ninjascrip? If yes, how can I access it?

Thanks, Oscar

[NinjaTrader_JoshP]

1. The merging is done automatically for you by default. You can choose if you want this behavior or not in Tools>Options>Data>MergePolicy.

2. I believe it is calculated by the difference between the closing price of the expired contract vs the opening price of the new contract. You can modify them to whatever you want if that is what you desire in the Instrument Manager.

3. I don't believe we have anything exposed here.

[jdfagan]

Potential bug in either CL Rollover settings or suggestion for Instruments Manager

Steps to reproduce (as of 10/21/2009):

1. Pull up Instrument Manager
2. Type in CL and Search
3. Note the Expiry contract of 11-09 listed down below. This is not current front month contract (as of 10/21/2009) - it should have rolled over to 12-09 back on 10/17/2009.

Since the auto-rollover "methodology" seems to be black box from my perspective, I cannot verify if this is just a Rollover Bug or just a limitation of Instrument Manager not by default showing the most current contract as of a date one searches.

Here are my notes for the rollover method for CL - I have a spreadsheet for the various arcane rollover rules if you want me to share with you:

Two business days prior to the third business day prior to the 25th calendar day of the month preceding the delivery month.

which I believe can be more succinctly put as:

5 business days prior to 25th of month before delivery month

JD

[NinjaTrader_Ray]

There is an issue with rollover dates with CL, this will be resolve in the near future.

[oclop]

Hello,

thanks for the reply Josh. Quick additional questions:

1. does the roolOver functionality just work with data stored on the server or does it also work with data stored in the local database?
2. How does NT7 manage historical data? does it try always to download it from the server? or if there is data stored in the local database, it uses it as much as possible? In this last case, how much data is downloaded from the servers?

thanks

[skynetman]

Ray there is another way to rollover besides fixed date.
When front contract end of day volumes are bigger than current contract volumes.
So it is self adjusting an dynamic.

Can rollover be applied this way?

[NinjaTrader_Ray]

Ray there is another way to rollover besides fixed date.
When front contract end of day volumes are bigger than current contract volumes.
So it is self adjusting an dynamic.

Can rollover be applied this way?

They are only rolled over based on a date.

[NinjaTrader_Ray]

Hello,

thanks for the reply Josh. Quick additional questions:

1. does the roolOver functionality just work with data stored on the server or does it also work with data stored in the local database?
2. How does NT7 manage historical data? does it try always to download it from the server? or if there is data stored in the local database, it uses it as much as possible? In this last case, how much data is downloaded from the servers?

thanks

- NT first checks your local bars cache and grabs any pre-built bars
- If none exist, then it goes to the database and builds the bars
- If none exist, the NT goes to your provider and downloads historical data
- NT will always download the current days data from your provider
- Rollover is layered on top of this process

[jdfagan]

They are only rolled over based on a date.

You may want to one day consider allowing custom rollover rules to be
controlled by end users - i.e., custom rollover algorithm defined via
the Instrument Manager. I'm sure you're aware of this ability by
TradeStation (e.g., @ES represents the default rollover rules for ES
continuous contract which is by a certain offset in days before expiry,
but you could also specify a custom rollover rule directly via the
symbol notation of @ES=108XC for example).

Some other algorithms besides date that one may want to use to build
their own continuous contracts:

* days before expiry with optional offset of months prior as well
* volume
* open interest

See attachment for screenshot from TradeStation that shows how user can
control the rollover trigger algorithm. Scratch that - your forum annoyingly limits files to 97k uploads - a bit too stingy I think. Here it is on my website: http://www.robotcapital.com/CustomCo...usContract.png

Some more general info here: http://www.premiumdata.net/support/f...continuous.php

JD

[NinjaTrader_Ray]

Thanks for the suggestion and the link to your site.

[Harry]

How do I know the rollover dates?

For index futures the rollover date is well known, but how could I know

(1) the data of the rollover chosen by NT7 for back adjusted futures, say for example for GC, COIL or NG ?

(2) define a different date if this date does not comply with my own rules ?

In NT 6.5. I could choose the appropriate date manually.

[NinjaTrader_JoshP]

Harry,

You can define them in the Instrument Manager when you edit the instrument. There is a section for rollover dates.

[Harry]

Thank you, found it now under Misc when scrolling down. That will do!

[ATI user]

did not receive a rollover alert dialog today in 7 beta 5

I did of course receive one in 6.5

I assume this is part of the bug you are fixing already re '....loading data...'

[NinjaTrader_Ray]

This is no bug, separate communication mechansims. We just did not send a notification in NT7, overlooked on our part.