Futures Continuation

[trend]

Hi,
I'm trying to bring up a chart for CT thru IQFEED.
CT 03-10. (Fg1). I see the min data under Historical
Not sure why the chart doesn't read the data.

Also, I've noticed in the individual contracts listed there is no
offset set. (Fg2). I would expect the program to built the
offset automatically(?) I specified the instrument as in Fg2.
and included it in a list other than default. (Should it be included
in the default list?)

Thanks,

[NinjaTrader_Bertrand]

trend, are you using the CT 03-10 with NYBot exchange on IQFeed on your default list?

The offset is calculated as you move forward through the expiring / rolled over contracts, this is why it's not listed for all dates shown.

For the chart - does it change to expected behavior when you set it to 'DoNotMerge' in the Instrument Manager?

Thanks

[trend]

Bertrand,
Fig 2 shows the chart for CT 03-10 (Nybot default) with the No Merge
option on top and Merge-BackAdjust on bottom (sparse data)

In regards to the Merge-backadjust case and as of Fig1, isn't it supposed to roll
from 12-09 to 03-10 on Nov 17 and show as on "offset"
the difference from the open of 03-10 on Nov 17 with the close
of 12-09 on Nov 16 (?)

Also,
if (ToTime(Time[0]) <= Bars.Session.SessionsOfDay[0].EndTime) {;}
generates a compiling error message(?)
thanks,

[NinjaTrader_Bertrand]

trend, thanks for the reply - you would see this difference as with the auto merge option on the chart did not roll yet into the March contract by the current dates being set, I'll currently look into those.

Which exact compile error do you get thrown? Could you please add a screenshot?

Thanks

[trend]

Hi Bertrand,
I attach a screen shot

[NinjaTrader_Bertrand]

Thanks - unfortunately this call was removed and replaced by this one -

 
BarsArray[0].Session.GetNextBeginEnd(DateTime time, out DateTime sessionBegin, out DateTime sessionEnd)

[trend]

Hi Bertrand,
I'm testing on IQFeed
I'm bringing up the ##-## contracts
They told me that these contracts (##-##) roll on expiration
with no backadjustment.

How do I force backadjustment with Ninja?
Also, do you have these exact dates of rollover that they use?

Thanks,

[NinjaTrader_JoshP]

trend,

There is no way to force it. When you open ##-##, it will use whatever the data provider offers. If you want to adjust data you should use the front months and use the roll over/merge features of those.

[trend]

Is there a way to bring up the front month
on the chart every time you login?
(could be based on the dates you set for those in the Misc Tab)
For example CL1 could always be the front month,
so you don't have to go in the instrument manager
uncheck CL 12-09 and bring in the CL 03-10.

(Such functionality is given thru CL ##-##.
The problem with this one is that there are rollover gaps)

[NinjaTrader_JoshP]

Unfortunately not, you have to specify 03-10 or 12-09.

[trend]

Josh could you please pass this suggestion to the developers
in regards to this issue?

That is, in a similar way to most charting packages that offer
futures, to have a map to the front month. Such a future
would be convenient if you track many contracts
so that you don't have to try to figure out constantly which
month to take out and which one to include.

Thanks,

[NinjaTrader_JoshP]

Thank you for the suggestion.

[trend]

Hi,
I have CL ##-## on the Defualt list.
I see in the Historical Data Manager
the minute data for 3 years (Fig1).

I use IQFeed and to my understanding they splice
the 12 yearly contracts at etheir expiration dates
together, without any backadjustment.

Can you guide as to how the backadjustment works
(Global Settings vs MergeBackAdjust)
For example, does NT reads the expiration month of the Jan 10
contract (e.g. Dec 21st) on which day calculates the offset (close of
the Feb 10 - close of the Jan 10 contract) in order to adjust all minute
data prior to that day (data I see in the Historical DB start on Sep 19 2006), and also, is this backadjustment performed recursively to the first contract in the database (e.g. Oct 06) ?

Thanks,

[NinjaTrader_JoshP]

trend,

When you are using ##-##, NinjaTrader does not do anything with any adjustment logic. It is simply pushing whatever your data provider is offering for what they call the continuous contract.

If you push a front month like 03-10 then NinjaTrader will use whichever merge policy you select. If you use Merge back adjusted what happens is as you request dates prior to 03-10 contracts it will then go off and grab 12-09 contract information for instance. It will take the price difference between 03-10 and 12-09 and adjust up/down all the 12-09 prices to match the 03-10 prices and that is what is meant by "backadjusting". You also have the option to merge with raw data only and no adjusting. Final option available is simply not to merge.

[trend]

Hi Josh,
I see under Options/Data the policies for merging.

Also at the instrument level. At the instrument level
what is Global Settings referring to? (Fig 1)

Where is the Rollover Date populated from (datavendor?)
Could the user overwrite these dates.
Why in Fig 2 there is no offset?

How could you access these Rollover Dates and Offset values
to apply to CL ##-## so that you don't have to constantly change the
Instruments in the Default List? (Gets messsy with many instruments),

Thanks,