Rollover policies

[Acqua]

Hi,

About the rollover policies in NT7

I have the merging policy set to "use global settings" which per my understanding is letting NT7 doing it automatically.

Right now is 5:40 pm EST USA, and i have two charts opened: one for ES march expiration and another for ES june expiration. They are both plotting at the same price level (1145) even though my broker feed (IB) quotes the ES march contract at 1145 and the june contract at 1140.

Is this expected behaviour? Using the "global settings" as policy for merging contracts, how does NT7 make the adjustment/transition?

Thanks for clarifying

AQ

[NinjaTrader_JoshP]

Acqua,

"Use global settings" means use whatever settings you choose in Tools>Options>Data.

"Global settings" would not be enough information as to which policy you are actually using. Please take a look at the Tools>Options>Data tab and inform me as to which one is actually selected. Thank you.

[Acqua]

Josh,

Merge back adjusted is selected in the tools>options>data.

How does the "back adjustment" work?

Thanks

AQ

[NinjaTrader_JoshP]

Back adjustment takes the previous contracts price and the new contracts price to calculate an offset. Then it basically appends the new contracts data to an adjusted old contracts data to get you a continuous chart.

[Acqua]

Back adjustment takes the previous contracts price and the new contracts price to calculate an offset. Then it basically appends the new contracts data to an adjusted old contracts data to get you a continuous chart.

When does the back adjustment happen exactly? right after close on rollover day - 1? At what point in time am i looking at strict june data and not offset data or any other calculated data?

I had an ES june chart opened and it was plotting ES march data, about 5 points higher than the brokers data feed quote for the ES june data.

My concern is that IB does not support continuous contract, and I need to be sure about what data is NT7 charting. If i had taken a trade on the ES june contract using the ES june chart data right after market close today, i would have placed my orders looking at a NT7 chart that was 4 points off the correct quote from the broker. I'm sure you see the implications of such event potentially happening and my concerns about it.

[NinjaTrader_JoshP]

Use the old and new expiry’s daily price data for offset calculations
-If daily data does not exist, use minute data
-If minute data does not exist, use tick data
-If tick data does not exist, default Offset value will be 0

One day prior to the rollover date, calculate the difference between the close price of the new expiry and the close price of the old expiry. This is the Offset value.

BackAdjust simply applies that offset value to old data and merges the contracts.

If you are worried about the chart prices simply use DoNotMerge and you will only get charts of the called up contract month and nothing else. Or you can just use MergeNonBackAdjusted. Furthermore, adjustments are done to the prior months and earlier's data, not the new expiry's.

[Acqua]

Josh,

Read on another thread about making a tool so it is possible to glance at where is volume trading (front or back contract) without having to keep both charts open. Just want to second such suggestion.

I'll just go instrument by instrument to see which merge policy works best (if any) based on where volume is trading.

Thanks again for your suggestions

AQ

[NinjaTrader_JoshP]

Thanks for the suggestion. I have put it on our feedback list.

[trend]

Hi Josh,
on the rollovers, I think that when you put
a daily chart on, the offset is calculated as
the difference on the close price between the two contracts
on the day prior to the rollover day (not the close to open).

Question: if the day you choose is not listed
(i.e. weekend) how does the rollover program
adjust the offset?

Thanks,

[NinjaTrader_JoshP]

trend,

I edited my post a few moments before you posted. It is close to close.

If you set the rollover to a weekend, it will just use the first session prior to it.

[Acqua]

Josh,

In the thread attached Harry did a much better job explaining and documenting the issue i mentioned when i created this thread.

I'm linking his thread here to make it easier for me to follow up on bug reports and fixes regarding rollover policies and general data handling by NT7.

http://www.ninjatrader-support2.com/vb/showthread.php?t=26738

Nice to know you're aware of the bugs and are working on them.

AQ

[NinjaTrader_JoshP]

Not necessarily. The issue in Harry's thread is a known issue on rollover date. You were asking conceptual issues prior to rollover date in this thread. In your case, it is a matter of understanding the various options available and when to use which. Moving forward into rollover date then you would definitely see the same thing as the known issue, but the answers to your questions would remain the same though.

[Acqua]

Not necessarily. The issue in Harry's thread is a known issue on rollover date. You were asking conceptual issues prior to rollover date in this thread. In your case, it is a matter of understanding the various options available and when to use which. Moving forward into rollover date then you would definitely see the same thing as the known issue, but the answers to your questions would remain the same though.

Josh,

There were two issues in my first post, one was a major data handling bug (the symptom and what made me start this thread), the other was regarding the rollover policy settings (which i thought as the first area to look for as possible cause of the problem).

I did report i had 2 ES charts (with exact same settings) for March and June contract plotting the same data (which is a major bug, as reported also by Harry, that most likely will carry financial consequences to traders). I have the charts saved to document the bug i just didn't think about posting them right away.

If you took the time for the conceptual explanation about the rollover policy options i would have appreciated the same devotion for a straight forward answer about the data mishandling on rollover time being a KNOWN issue.

I found it browsing through the forums in Harry's thread. And i linked it here for future reference so people experiencing the same issue (in three months time by next rollover period) do not have to wait or continue browsing around for the straight answer because it is already out there.

Hope by next rollover you have the data handling on rollover/ rollover policy implementation/ whatever you want to call it bug sorted out

AQ

[NinjaTrader_JoshP]

Acqua,

It is never our intent to not be straight forward. The answers provided to you were 100% accurate and fully disclosed all information at the time of your posting. It became a known issue well after you posted, but before Harry posted.

[cshep]

I'm encountering the same problem. The session template seems to have some impact but no matter what I try, I can't get the ES 03/06 contracts to merge properly.

Now that I realize this is a known issue, I guess I'll just ignore it. Hopefully it will get fixed in the near future.

In the bigger picture, is there a single list of known issues that describes the issues and their status? This would prevent us from wasting time messing around with charts that can't be fixed. Also, if this list was available, we wouldn't be reporting bugs to you that you already know about.

Also, could the "NT7 Features & Development Status" page be updated more frequently? Could you also update the actual status? When do you expect the beta testing to be complete? When I look at the page now, I can't tell whether the beta testing is going to take another month or if it's going to last for another year. How much work is left to do?

One last thing, can you update the help file for NT7? We're trying to help you test this software but it's really difficult when the documentation is incomplete. You can help us help you.

Thanks.

CS