wrong MA data on continuous contracts

[Stopped]

Hello,

I have noticed the MA is pulling the wrong data on continuous future contracts. In particular, the "52 week low" column for the ES future is not picking the right info - see attached file. My gut feeling (haven't fully checked it) is that it is picking the 1yr low for the ES 09-10 contract (the current front month) but not for the "continuous contract" series - which is what I am interested in tracking in this particular case. As the cash index suggested, the 1 year low for the ES as of today is probably around the 875 area, not the 1002 level shown on MA.

Thanks.

[NinjaTrader_Bertrand]

Stopped, those would be 'grabbed' from the provider directly - which one are you using in your testing?

[Stopped]

Umm... I am using IQFeed, but since I had set up the Merge Policy on the Data tab in Control Center > Tools > Options... to "MergeNonBackAdjusted" I thought Market Analyzer was going to calculate the 1-year low column based on the merged contract, not the front contract only, irrespective of the data provider I am using. Or am I missing something? Thanks.

[NinjaTrader_Bertrand]

stopped, I checked on ES 09-10 and IQ's own continuous contract ES ##-## and the date returned for this years low so far would be the July 6th - which seems correc to me comparing to the daily chart.

[Stopped]

We seem to be talking of two or three different things here. I am not using the ES ##-## instrument (which would load up IQFeed's own continuous contract series). I am using my own continuous contract series built using NT's own functionality (i.e. using the "Merge Policy" option stated below. In addition to this, I am not looking at this year's low (which as you said it happened on Monday) but at the "52 week low" (i.e. 1 year from now). I have attached a couple of 1-year daily charts so that you can look at them. For the continuous one (MergedNotBackAdj...), the low was pretty much at the beginning of the chart, at around 870 or so. This agrees with the level of the underlying at that time, as shown in the corresponding row of the Market Analyzer screenshot I sent earlier. However, the Market Analyzer is not picking up the correct (or, at least, expected) value for the ES 09-10 series. Instead is giving the 1002 level which would correspond, at best, to the 52-week low of the front month series (NOT the continuous one) - see 2nd depiction. This looks wrong to me. Sorry for my sloppy writing (I am in a bit of a rush), but please take another look and/or do involve someone else from your team to get a 2nd opinion. Let me know if you need more info from my end. Thanks.

[NinjaTrader_Bertrand]

Stopped, I just checked both contracts for comparisons, we do not calculate this value in our application, as this is provided by datafeed which supports fundamental data as this it would not be influenced as to how you set your merge policy up locally in NinjaTrader.

[Stopped]

Ok, thanks Bertrand, I will talk to IQ Feed then to see how they produce those numbers. It is clear to me that the 1yr high/low appearing on MA on either of those contracts does not correspond to the levels we would see when charting the series, so something must be going on. Thanks for your guidance on this.