Futures Continuation

[NinjaTrader_JoshP]

trend,

Global settings refers to what the merge policy will be if you do not specifically specify one on the instrument level. Meaning, it will use whatever you select to use in Tools>Options.

Rollover dates are populated from the NinjaTrader servers. You can overwrite these dates with any date you want. You can plug in whatever value you want to use for the offset there.

You cannot use any of these rollover dates or any of these merge options when using ##-##. They are for front months expiries only.

[trend]

I'm set to bring Historical form the Server if available.
I see the data for CL 01-10 and CL 12-09 (Fig 2), but I can plot
only the CL 12-09 (Fig 2). (?)

Also the "offset" values at Rollover Dates under Misc in the
Instrument Manager are all zero (?)

[NinjaTrader_JoshP]

trend,

For CL specifically, there is a known issue right now and you have to use DoNotMerge to get 01-10 charted.

[trend]

Hi,
I'm trying to plot CGB 03-10 mapped as CGB|MX for eSignal.
When I choose to BackAdjust the plot starts on Dec 18 09
When I set use Global Settings (do not backadjust) the plot could bring
more Historical data (back to March 09).

Why is this behavior? Could we do athg to force backadjustment
(I see the Offset is set to 0 for all rollover dates?)

Thanks,

[NinjaTrader_JoshP]

trend,

Suggest you place in some of your own offset values and try to chart old expiries individually. Then see what you can populate the information with. Unfortunately I cannot test this as my credentials do not include that MX exchange.

[trend]

Hi Josh,
I have the same issue with ZW (wheat)
When I plot ZW 03-10 backadjusted I get data up to the rollover date
of the contract. When I specify use Global Settings (I.e., no backadjustment) the data go back much further (?)

[trend]

Question:
I'd like to map a symbol to esignal (TW 0H-SGX)
Usually their symbols list the month first and then the year
(i.e., TW H0-SGX) Any clues how to map this one?

[NinjaTrader_JoshP]

I cannot test your ZW instrument either. Please try with the ES.

Try mapping to just TW and any required exchange.

[trend]

got it
thanks,

[trend]

Just to verify,
what are the specifics on the offset calculation
once rollover dates are set

Thanks,

[NinjaTrader_JoshP]

trend,

It add/subtracts the offset value to all data prior to then.

[trend]

Well as an example, I have the individual contracts of CAC40
For the current contract 02-10 I'm shown as a rollover date "1/15/2010"
with an offset of "1". The open of the 02-10 on Jan 15 is 4021.50
and the close of the 01-10 on Jan 14 is 4016.5. I thought that the offset
here should be +5 (?). Also, in the History Manager the offset for all contracts 04-08 back to 03-07 (esignal does not go any further) is set to "0". If the policy under Data is set to MergeBackAdjusted and the Individual Contract's policy is set to GlobalSettings, shouldn't the
offset values calculated automatically from the data in the History Manager ?

Thanks,

[NinjaTrader_JoshP]

trend,

An offset of 5 would be correct for the values you posted.

What might have happened for the 04-08 and 03-07 is that you did not have data for that date for one (or both) of those data series and thus no calculations was possible. Please check the data sets available for those contracts at rollover date.

[trend]

Hi Josh,
how do I force the offset calculation to compy with the data in the History Manager (not sure where the value of "1" instead of "5") came
from ? Also, I doubledchecked and changed rollover dates for certain contracts. Can the program reset the offset from "0" for those contracts?

Thanks,

[NinjaTrader_JoshP]

trend,

If you user set a offset value it should not overwrite it.

Offset is done in this fashion.
1. Downloaded from server
2. If not 1, then it is calculated from Daily bars
3. If no Daily bars, then try Minute bars
4. If no Minute bars, try Tick bars
5. If no data, value = 0