Merge Policy: How is rollover date determined?

[shawnj]

When using Merge Policy "MergeBackAdjusted" or "MergeNonBackAdjusted", how is the rollover date (the date when we switch from the current contract to the next contract) determined? Do you check each contracts daily volume (or hourly or what) and go to the new contract when the new contract's volume exceeds the current contract's volume?

For contracts like ES, NQ and perhaps YM and TF, the rollover date if pretty predictable. NinjaTrader even sends out an alert message to remind us of it (However my volume analysis shows the actual rollover is usually on Friday morning instead of Thursday morning (which is when the message is sent) of the rollover week.)

For contracts like CL (Crude Oil), how do you determine the rollover day?

Is there a general algorithm? If so, please publish it.

thanks,
shawnj

[NinjaTrader_Bertrand]

shawnj, there's unfortunately no general algorithm we could publish - for example for the index futures on Eurex and Globex there are clear patterns as you already noted, we follow the industry standard here. For others we're comparing daily trading volume to determine when liquidity shifts. You can check into dates set per default in the Instrument Manager and adjust to your liking if needed.

For the CL it would be 4 days prior to the 25th of the month preceding the expiry, if that's no a business day, then 4 days prior to the business day preceeding this day.

[shawnj]

You can check into dates set per default in the Instrument Manager and adjust to your liking if needed.

For the CL it would be 4 days prior to the 25th of the month preceding the expiry, if that's no a business day, then 4 days prior to the business day preceeding this day.

Are you saying we can set our own rollover rules? Where in the Instrument Manager is this? I dont see anything in the Instument Editor dialog.

thanks,
shawnj

[NinjaTrader_Bertrand]

Yes, that was my point - we provide defaults, but it's completely customizable - Tools > Instrument Manager > edit the master symbol > misc tab > scroll down all the way to 'Contract Months'

[shawnj]

Thanks, I missed 'Contract Months'.

So just for completeness:

1) I assume Offset = BackAdjust offset points.

2) So for rollover dates NinjaTrader has predefined roughly from 2005 to 2011.

Could you please publish the rollover rules that were used to determine these dates?

You have described the CL rollover rule which agrees with my findings.

How about NG, GC, ZW, ZC, ZS?

thanks,
shawnj

[NinjaTrader_JoshP]

shawnj,

The rules we use are what we found to be the generally accepted rollover dates based on information provided by the exchanges of the various instruments. Unfortunately I do not have a write up I can provide you with for each individual instrument.