RollOver questions

[Harry]

Have the special case here that my customized offset is 0. I will observe what happens.

Maybe you could change Gold futures defaults on your side, because the October 2009 contract was illiquid, so it should not have been set as default in the first place (at least in my opinion), as probably any trader would have rolled directly from GC 08-09 to GC 12-09....

Average daily volume for GC 10-09 in August (after rollover date) was about 2,000 contracts per day, for GC 12-09 it was about 40,000 contracts per day. Are you sure you selected the right contract?

[NinjaTrader_JoshP]

Please try opening the details for 10-09, delete the rollover date and offset. Push that info into your 12-09. See if that works.

You will not be able to just delete 10-09. The way it works is it adds everything sequentially together. There is no logic in place to say this specific one was not of enough volume so it shouldn't be rolled into.

[Harry]

I appreciate your help, but

I edited GC and deleted rollover date and offset. Then saved instrument settings. Then I toggled my daily chart to GC 04-10. Result: A complete crash of NinjaTrader (produced an error message and whole workspace disappeared with NT passing away). Maybe you should try as well...

This is the last message I got on the trace file (no regular session end) before the crash:

010-03-05 17:16:32:203 (Interactive Brokers) IB.HistoricalDataRequest.Process: itemCount=160 instrument='GC 06-09' from='2009-05-28' to='2009-05-28' period=Daily splitAdjusted=False dividendAdjusted=False bars=0
2010-03-05 17:16:32:250 in OnUnhandledApplicationException
2010-03-05 17:16:32:406 ********* exception trapped *********
2010-03-05 17:16:32:406 Der addierte oder subtrahierte Wert ergibt eine nicht darstellbare DateTime.
Parametername: value
2010-03-05 17:16:32:406 System.Exception: Der addierte oder subtrahierte Wert ergibt eine nicht darstellbare DateTime.
Parametername: value ---> System.ArgumentOutOfRangeException: Der addierte oder subtrahierte Wert ergibt eine nicht darstellbare DateTime.
Parametername: value
bei System.DateTime.AddTicks(Int64 value)
bei System.DateTime.Add(Double value, Int32 scale)
bei NinjaTrader.Cbi.MasterInstrument.UpdateRolloverOff sets()
bei NinjaTrader.Data.Bars.GetInstrumentByDate(Instrume nt instrument, DateTime requestFrom, Boolean resolveContinousContract)
bei NinjaTrader.Data.Bars.GetBars(Instrument instrument, Period period, DateTime from, DateTime to, Session pSession, Boolean splitAdjusted, Boolean dividendAdjusted, Boolean forceReloadFromProvider, Boolean calculateContractOffset)
--- Ende der internen Ausnahmestapelüberwachung ---
bei NinjaTrader.Data.Bars.GetBars(Instrument instrument, Period period, DateTime from, DateTime to, Session pSession, Boolean splitAdjusted, Boolean dividendAdjusted, Boolean forceReloadFromProvider, Boolean calculateContractOffset)
bei NinjaTrader.Data.Bars.GetBars(Instrument instrument, Period period, DateTime from, DateTime to, Session pSession, Boolean splitAdjusted, Boolean dividendAdjusted)
bei NinjaTrader.Gui.Chart.ChartControl.AddBarsInWorker ThreadBarsData(Object state)
bei System.Threading._ThreadPoolWaitCallback.WaitCallb ack_Context(Object state)
bei System.Threading.ExecutionContext.runTryCode(Objec t userData)
bei System.Runtime.CompilerServices.RuntimeHelpers.Exe cuteCodeWithGuaranteedCleanup(TryCode code, CleanupCode backoutCode, Object userData)
bei System.Threading.ExecutionContext.RunInternal(Exec utionContext executionContext, ContextCallback callback, Object state)
bei System.Threading.ExecutionContext.Run(ExecutionCon text executionContext, ContextCallback callback, Object state)
bei System.Threading._ThreadPoolWaitCallback.PerformWa itCallbackInternal(_ThreadPoolWaitCallback tpWaitCallBack)
bei System.Threading._ThreadPoolWaitCallback.PerformWa itCallback(Object state)

Please try opening the details for 10-09, delete the rollover date and offset. Push that info into your 12-09. See if that works.

You will not be able to just delete 10-09. The way it works is it adds everything sequentially together. There is no logic in place to say this specific one was not of enough volume so it shouldn't be rolled into.

[NinjaTrader_JoshP]

Please provide exact information on what is set for the next rollover and the previous rollover.

[Harry]

How to get correct settings and save them?

Hi Josh, will try to describe the scenarios:

(1) Base scenario = default instrument settings
I found the following entries

GC 10-09 Rollover date 31.07. 2009 Offset 1.1
GC 12-09 Rollover date ? (don't remember) Offset 0

Problem: Contract 10-09 is illiquid, combined offset 1.1 + 0.0 is incorrect

(2) Ideal Scenario = correct settings

no GC 10-09
GC 12-09 Rollover date 31.07.2009 Offset 2.2

(3) Scenario suggested by you

GC 10-09 -> delete rollover date and offset
GC 12-09 Rollover date 31.07.2009 Offset 2.2

This scenario produces a crash (reproducible) because NT expects a rollover date -> see trace file as per previous post

(4) Alternative scenario

GC 10-09 -> Rollover date 31.07.2009 Offset 0.1
GC 12-09 -> Rollover date 31.07.2009 Offset 2.1

This scenario does not work, because NinjaTrader overwrites whatever value I enter for the offset for GC 10-09 immediately.

(5) Cheating a bit, but only for this special case

GC 10-09 -> Rollover date 31.07.2009 Offset 1.1 (default value 1.1)
GC 12-09 -> Rollvoer date 31.07.2009 Offset 1.1 (default value 0.0)

Problem. This scenario only works, because accidentally the offset of GC 12-09 was 0.0. Only when initial offset is 0.0, Ninjatrader does not overwrite the value for the offset.

Summary

Main problem is that whatever value I select for the offset, when I save and connect -> Ninjatrader overwrites this value with the initial settings for the offset. I simply cannot do what I want and I am forced back into those false settings.

[NinjaTrader_JoshP]

#2. Will not work. You can't just delete a contract month.

#3. Unfortunately won't work either.

#4. If you don't want the offset to be overwritten you will need to change the rollover date on that contract and then it should persist any changes you make.

[Harry]

Thanks for answering Josh,

#4 is not the best solution, but I am ok with that. So there could be one or two days with data not correctly adjusted, but in the end I will get the offset that I want.

Suggest an option allowing to save the settings for a specific contract to avoid that it is overwritten (but this definitely would not be top priority compared ot other issues).

#2. Will not work. You can't just delete a contract month.

#3. Unfortunately won't work either.

#4. If you don't want the offset to be overwritten you will need to change the rollover date on that contract and then it should persist any changes you make.

[NinjaTrader_JoshP]

Thanks for the suggestion. Added to the feedback list.