Wrong volume...

[H5612]

I detected a problem with the historical data. No matter what chart i open (CL 04-10 or CL 05-10 or CL 06-10 and so on, the same with GC or SI) i get the exact same volume! The VOL-indicator shows exactly the same volume per instrument - no matter what expiry-month i choose.

Please help!

[NinjaTrader_JoshP]

H5612,

Which data provider are you currently using? Are you using minute charts or tick charts?

[H5612]

Minute-Charts with Zen-Fire.

[NinjaTrader_Bertrand]

Please clarify how you test this scenario H5612, when I load CL 03-10 and CL 04-10 on ZenFire using a MultiSeries chart and then add VOL() with the Input series set to each CL expiry I get different values shown.

[H5612]

CL 03-10 and CL 04-10 are different. beginning at CL-04 all following contracts are the same. try CL 04-10 and CL 05-10 !

[Harry]

Related to MergeBackAdjusted

This is not linked to the data feed, because I can observe the same problem with Interactive Brokers.

If I load CL-05-10 with -> Data -> Merge Policy set to "MergeBackAdjusted", NT7 displays price data from CL 05-10 with volume data from CL 04-10. This is at least peculiar.

What should I expect with Merge Policy set to "Merge BackAdjusted", when I display CL 05-10?

(A) That CL 04-10 is displayed with an offset (which is still 0 per instrument settings) and volume of CL 04-10?

(B) That CL 05-10 is displayed without an offset until rollover date and once rollover data arrived, this is substituted by a backajdusted CL 04-10?

[NinjaTrader_Bertrand]

Harry, thanks correct this is related to the merge settings, could see the same here - we'll check into. Getting same volume for today for CL 04 /05 today with the default merge settings used. At this point in time you would have switched to trading 04-10 as front month...

[Harry]

Thanks for your reply. Further to my findings that MergeBackAdjusted did not work with session templates that start prior to midnight -> creating islands and leaving data gaps , I have posted a new discovery today that the data of the old contract gets false if you increase the lookback period. So far no answer -> see thread

http://www.ninjatrader-support2.com/vb/showthread.php?t=24060

This is also very strange.

[NinjaTrader_JoshP]

The gap issue reported in your other thread would seemingly be a separate issue. Will know after development gets back to me as to what they find. Thanks for your patience.