Merge policies

[Radical]

What is the difference between MergeBackAdjusted and MergeNonBackAdjusted? The help file is not very helpful in this regard. Thanks.

[NinjaTrader_Jason]

Hello Radical,

MergeBackAdjusted: NinjaTrader automatically merges and back adjusts historical data

MergeNonBackAdjusted: NinjaTrader automatically merges, but does not back adjust, historical data

[Radical]

Thanks, but what I'm asking is: what does "back adjusts historical data" mean?

[NinjaTrader_Kyle]

Hi Radical,

Sorry for the confusion.

Prior contract data is adjusted since there is always a price difference between the expiring contract and the current front month contract. This is called the "premium" and includes the cost of interest and the dividends of the underlying index.


The formula used to back adjust historical data is as follows:


New price = Old price + (Open price of front month of merge date - Close price of expiring month on the day prior to the merge date)

[Radical]

That explains it, thanks.