Futures Contract months

[NinjaTrader_JoshP]

trend,

Looks to me as if you are missing sessions? You would need dates data for the session before your rollover date on both contracts for it to be able to calculate the offset.

[trend]

Hi Josh,
I attach a picture showing the minute data for IR 06-10
followed by the day data. I downloaded minute/exported them
and then reimported them with the "Generate Days from minute..."
option checked. As you can see the Days data are missing
the 5th. I also include the Session which extends to morning hours
of the next day (don't know if this affects the building of the daily
data)

Any clue why the 5th is missing?

Thanks

[NinjaTrader_Kyle]

Hi Trend,

Thank you for your reply.

It looks like the 5th (a Friday) is being excluded by the session manager template you are using.

[trend]

Thanks Kyle,
How should I rewrite the session to include Friday
You can see in the picture that the session lists
Thursd 5:30 pm -- to Friday 12:30 am next day

should I split as:
Thursd 5:30 pm -- to Frid 12:00
Frid 12:00 am -- to Frid 12:30

and similarly for each day?

[NinjaTrader_Kyle]

Hi trend,

Thank you for your reply.

If you use the pre-configured template 'Default 24/7', does JB chart as you would expect?

[trend]

Hi Kyle,
I attach picture 1. By selecting session Default 24/7
you get Friday build from the minute data.

In pict 2 you see that by setting the offset to blank,
the chart does not backadjust (just merges).
When you set the offset manually then the chart is OK,

I guess I have to use the Default to Session to build the days
from the minutes, and then revert to the session that I like
to apply (?)

[NinjaTrader_Kyle]

Hi trend,

Thank you for your reply.

It looks like you do not have the data loaded from the 5th on the 06-10 contract.
Please reload data for the 06-10 contract and confirm that data from the 5th exists in the Historical Data Manager, then let me know what results you see.

[trend]

Hi Kyle,
I used Default24/7, exported the minute data for 13 contracts
reimported them with the "Generate Daily..." checked, and also blanked
the offset for all rollover dates.
I created a daily chart and the rollover offsets were filled automatically.
Picture 1 shows the daily closing values for Dec 6 for the 03-10 and
12-09 contracts. If the offset is calculated from the two closing
prices of Dec 6th (rollover date for the 03-10 contract is Dec 7th)
then the offset should be -0.49 (139.90-139.41). If the close of the
6th is used for the 12-09 and the open is used for the 03-10
then the offset should be -0.50 (139.90-139.40). Instead the program
caclculates a value of -0.40 (not sure where this is calculated from)
Also the value of the offset for the current contract (06-10) is
set to 0. I used March 7th as the rollover date. Should be -0.88
(close to close from Friday the 5th).

Also, even if I reimport the minute data with the option to build
the daily, and I see data for March 7th (Sunday) upon restarting NT
that day dissappears from the Historical Data Manager (under Edit)
Any clue why ? It seems to me that the Session choice does not have athg to do with this.

Note here, that for another contract (ES) I have several individual
contracts and all offsets on the rollover dates are calculated correctly
form close to close on the day prior to the rollover date (even if
weekend is involved), but the calculation for the current month offset
(i.e. 06-10) is wrong. Is sthg wrong with the methodology in calculating
the current month offset in any futures symbol? Should we be setting the
current contract month manually? Also, although I have contracts up to 06-07, I see offsetvalues for contracts up to 03-05. Are those canned
from the installation. Is there any way to permanently get rid of the
contracts you have no data for (I don't see them in the Historical Data Mgr)?

Thanks,

[trend]

On the previous note:
I was able to fix the offset of the current ES contract automatically.
There were some March days (Daily data not minute) missing from the 03-10 contract. After I exported the minute data and reimported them
with the "Generate Daily..." set, and after I blanked the offset values,
the program calculated correctly the offset (from close to close of the prior day to the rollover date), when I loaded a daily chart.
I tried the EMD contract as well, and it also looks good.

[NinjaTrader_JoshP]

trend,

Please also note that there were some bugs in the contract rollover which would impact the rollover date's offset display. This should be resolved in the next version.

[trend]

Hi Josh,
I've tested about 20 contracts and the offsets
are set correctly once you make sure you download
all data and produce the Dailys as well.
(You might have to blank a couple of times the current contract
but eventually it is set)

Two suggestions on the rolls:
1. The user to have the ability to remove some months
For example, I cannot remove the 07 and 08 months from
ZL/ZM/ZS -soy products. Upon refreshing, the contracts reappear.
I am also under the impression, from earlier correspondence, that
if I create my own symbol, i.e., ZS1 and set the contracts as I
wish that will not bypass this issue (?) (I would have to exclude
each line of these contracts manually)

2. For NT to designate a continuous version of a symbol
such as ES ##-## (but not the one from the data vendor),
which will Roll and backadjust automatically based on the
settings in the Instrument List.

For example, for root ES the user could have in the Instrument List
under Misc:

contract -----Date to set Offset -----Offset
ESZ0 -----8/24/2010 -----blank
ESU0 -----5/24/2010 -----blank
ESM0 -----2/24/2010 -----some value

So, the continuous contract ES ##-##, if tracked on the Default List, should presently default to ESM0 perhaps in its backadjusted form (if MergeBackAdjusted is selected), but on the close of the 5/24/2010 the offset should be calculated automatically and the ESU0 should be seamlessly tracked from the day after 5/24/2010.
This should be really useful, since the continuous contracts provided
from the vendors (for example, iqfeed, esignal) are not backadjusted
and spotty.

Thanks,

[NinjaTrader_Kyle]

Hello trend,

Thank you for your reply.

I will forward your suggestions on to my development team for further consideration.