Issue with back-adjusted historical data

[MikeInMA]

Please see the two attached screen shots. The first is from a 30-minute chart of the ES December contract RTH session that loaded 40 days ending with 9/13/2010. The chart was scrolled to show data from 8/10. The second chart is also a 30-minute chart of the ES December contract RTH session, except it loaded the custom range starting and ending on 8/10. (In other words, the second chart loaded a single day.) Notice that the values for 8/10 are different.

I see what's going on: 8/10 comes from the September contract. In the first case the data are back adjusted; in the second case there's no adjustment. I expected to see the adjustment in both cases, so please tell me this is not the expected behavior!

[NinjaTrader_Jason]

Hello MikeInMA,

Unfortunately your expectation is not valid. Only when the rollover date is included in the data set, the adjustment is included as well.

For example, if you create a chart that runs from 8/10/2010 to 9/8/2010, the data is not back adjusted. If you create a chart from 8/10/2010 to 9/9/2010, the historical data will be back adjusted.

The rollover date for the ES 12-10 expiry is set to 9/9/2010.

[MikeInMA]

There are operations for which it's appropriate to call up a single date that should be back-adjusted, such as creating a volume profile template. For example, today the market – meaning the Dec. contract – is trading back into the range last seen on Aug. 10. I want to know where the volume was on Aug, 10 from the perspective of the Dec. contract. This should be clear because my chart's instrument is the Dec. contract. (If I wanted to see unadjusted Aug. 10 data – which means from the perspective of the Sep. contract – I would bring up a chart of the Sep. contract!) I really think back-adjustment should be based on the instrument being charted.

[NinjaTrader_Jason]

Hello MikeInMA,

I see, thank you for your feedback.

I will forward your suggestion to base back-adjustment on the charted instrument to Development and ask them if they can add this to the list of future considerations of the software.