Rollover Offset Error

[tgilligan]

Before the Open I upgraded to V7B21 and rolled over YM.

There appears to be an error in the application of the offset to the previous contract.

With the rollover date set to 09/09/2010 for YM 12-10, the new data is correctly displayed from and including 09/09. However, though the offset calculation appears to have been correctly applied to 07/09 and before, it has not been applied to 08/09.

I tried changing the rollover date and the same error persists for the day before the rollover date.

I also had a quick look at ES and the same issue appeared to the there though I did not investigate thoroughly.

Also, on changing a chart from YM 09-10 to YM 12-10 some of the drawing objects disappeared. I thought this had been fixed. For example, Horizontal Line (F6) was okay, but Ray (F3) was not.

[NinjaTrader_JoshP]

tgilligan,

Not sure what exactly you mean. Please find the attached screenshots.

DoNotMerge.png we see YM 12-10 and YM 09-10 with no merging being done on either contract. This is raw data for both. We can see 12-10 data is around 10370 and 09-10 data is around 10436. This means our offset for 12-10 should be roughly -60.

MergeBackAdjusted.png we can now see YM 12-10 with old 09-10 merged into it. From here we can see that 9/7, 9/8, 9/9, 9/10 data is all accurately merged. If you compare it to the DoNotMerge.png we can see that 9/7 and 9/8 came from 09-10 as we would have expected and that 9/9 and 9/10 are 12-10 data. We can now further check the price of the last 9/8 bar. The closing price is 10328. If we look at the 09-10 unmerged chart for that same bar we see the price is 10390. This represents a -62 offset which is exactly what was defined in the Instrument Manager as the calculated offset. You can repeat this test for all the old bars and find the same -62 discrepancy throughout.

As far as your Ray objects go, please check to ensure your chart actually has enough days back to include the anchor points of the ray object. If the chart does not contain the anchor points, the objects will "disappear".

[tgilligan]

Hi Josh,

Further investigation shows that my Minute charts are okay too, but Tick and Range charts exhibit the problem - no offset applied to the 8th.

Tim

[NinjaTrader_JoshP]

DoNotMergeTicks.png we can see both 12-10 and 09-10 without merging. Examining 09-10 data we see the close price of the last bar before rollover is 10390.

MergeBackAdjustedTicks.png we see 12-10 merged with 09-10. Examining the same bar we just did on the previous screenshot we see the close price of 9/8 is 10328. The offset of -62 is properly applied. If the offset was not applied the prices would be 10390, but it is 10328 which is 62 less than 10390.

[tgilligan]

Hi Josh,

This is getting tricky. When I set my tick chart to RTH, I get the same as you.

But when I have it on 24/7 (my normal setting) the data for the 8th moves up!

If you let me have your email address, I can send you the screen shots. I can't see how to attach them here. Insert Image wants a URL.

Tim

[NinjaTrader_JoshP]

Tim,

Instead of using "Insert image" there is a button lower down called "Manage Attachments". Please use that to upload your screenshots. Thank you.

I just ran Default 24/7. Basically you can't use this session template because it is improperly defined for actual rollovers. Depending on the timezone you are in, using Default 24/7 would have data that should belong on the 9/9 session shown as part of the 9/8 session. This results in improper application of the offsets.

Instead you should use the "CME US Index Futures ETH" session template which woulud properly break apart the various sessions between old and new for creating your rollovers.

[tgilligan]

Hi Josh,

Here you go.

Tim

[NinjaTrader_JoshP]

I just edited my previous response. I am not sure if you saw it. What I have outlined in there would still apply.

[tgilligan]

Yeah. That's it. Thank you.

Some information needs to be provided to point this out upfront.