MergeBackadjusted Not Working

[Harry]

NT 7.0.0.22 with Kinetick daily data

Wanted to roll CL today, Octobre 18, 2010. So I entered the rollover date for CL 12-10 manually, left the field for the offset empty and saved. Then I connected to Kinetick, second connected to Interactive Brokers and opened a chart.

Result: No offsets calculated and applied, see chart attached.

Diagnosis 1: NinjaTrader calculated the offset as 0 - remember the field was empty -, which is shown in the screenshot below.

Diagnosis 2: The reason that it calculated the offset as 0, was that it had no historical data. For reasons unknown, NinjaTrader only downloaded daily data for the contract 12-10 for the years 2007 and 2008, see screenshot historical data base.

No idea again what is happening. Will enter the offsets manually now, as it never works.

[NinjaTrader_Brett]

Harry,

Works great for me on my end. I changed the rollover date for the 12-10 CL contract on my end to today the 18th and loaded a CL 12-10 chart and the offset was calculated.

I see that in your screenshot you have a 0 for offset. This is not normal as if there is a 0 here NinjaTrader will think you calculated the offset manually and then never calculate the offset. This needs to be blank as the offset on my side did not have a 0 in its field it was simply blank.

If you have time please try this again for another instrument and see if it rolls over fine without a 0 for offset and todays date as the roll over date and let me know if it does or does not work for you.

I look forward to assisting you further.

[Harry]

Know that the 0 is not normal. The 0 was created by NinjaTrader, because it did not find any data. I had checked that it was emtpy when saving the instrument settings. Here is the problem:

I have an open chart for CL 12-10, but no data for 2010 is loaded into the data base. No data is loaded, because the MergeBackAdjusted setting prevents loading data, as it only loads data for the prior front month to fill the chart.

So in the end MergeBackAdjusted does not work, because you are not allowed to select MergeBackAdjusted.

I hope that you will understand the problem.

[NinjaTrader_Brett]

Harry,

I'm testing this on my side. I'm sure you have answered this already in a previous ticket however I need some information specifc to when you just did this and the offset wasnt calculated.

So that I understand correctly for my test, where you connected to kinetick when you inputted the offset or did you put in the offset and then connected to your data feed provider.

Also, are you using kinetick Free End of Day or the full subscribed Kinetick? Just so that I understand where the data is coming from in your setup so I can duplicate with my test.


Finally what time zone are you in again? Also what region setting if your computer set too under start->control panel->Regional and language options.

Thanks and I look forward to assisting you further.

[Harry]

Hi Brett,

thanks for your answer. Timezone is CET (GMT +1). I use free Kinetick EOD and Interactive Brokers. I always first-connect to Kinetick and then second-connect to Interactive Brokers. I always have the global merge policy set to MergeBackAdjusted and apply this to all instruments.

This what I did:

Default setting for rollover date for CL 12-10 was Tuesday, Octobre 19. However, I wanted to roll one day earlier. So this morning, before connecting, I opened the instrument manager and changed the rolloveer date for CL 12-10 to Monday, Octobre 18. I did not enter any offset and the offset field was empty. Then I added CL12-10 to my default list.

I first-connected to Kinetick and then second connected to Interactive Brokers. My workspace has 3 connected intraday charts and 1 daily chart all displaying the same instrument. These charts were displaying an index future when connecting. The lookback period for all intraday charts was 65 days, the lookback period for the daily chart was 1200 days.

I then toggled via DOM (intraday charts and daily chart were connected to DOM) to CL 12-10. The chart then displayed was a gap chart without any backadjustment. So I disconnected NinjaTrader shut it down and started it again. First-connected to Kinetick and second-connected to Interactive Brokers. Again the chart displayed after loading was a gap chart.

Analysis: Checked the instrument settings, NinjaTrader had written an offset of zero into the field for CL 12-10. Then checked the historical database. Daily data had been loaded only for the years 2007 and 2008. The daily chart which I had opened, did not need any data of the contract 12-10, because Friday's data still belonged to the prior front month- Remember, today is rollover date.

So it seems that there is a logical loop producing this problem

MergePolicy MergeBackadjusted -> no daily data loaded for CL 12-10 over the chart period
No daily data available -> NinjaTrader writes a zero offset into the master data
Zero Offset contained in master data -> Contract not backadjusted

As you can see per screenshot below, still now the daily historical data for CL 12-10 stops in 2008.

This morning I entered the offset manually, and then for a short while my chart was correct.

Harry,

I'm testing this on my side. I'm sure you have answered this already in a previous ticket however I need some information specifc to when you just did this and the offset wasnt calculated.

So that I understand correctly for my test, where you connected to kinetick when you inputted the offset or did you put in the offset and then connected to your data feed provider.

Also, are you using kinetick Free End of Day or the full subscribed Kinetick? Just so that I understand where the data is coming from in your setup so I can duplicate with my test.


Finally what time zone are you in again? Also what region setting if your computer set too under start->control panel->Regional and language options.

Thanks and I look forward to assisting you further.

[Harry]

And another bug - false data disaplyed again!

I think that this is a never-ending story. I have write about 10 times here that the session logic is flawed, and unfortunately the sessions are still not displayed correctly after a year. I am not happy to complain, but it is necessary to give you wake-up call again on this issue.

NT 7.0.0.22, CL 12-10, CET (GMT+1), with a multi-session template as shown per screenshot below.Datafeed Kinetick EOD / Interactive Brokers.

The session template has divided the Globex session into night-session, floor session and after-session, as per NYMEX trading hours.

Night session: 6:00 PM - 9:00 AM
Floor session: 9:00 AM - 2:30 PM
After-session: 2:30 PM - 5:15 PM

During the second session on rollover day, a negative offset is applied to the first session, which of course is nonsense. See chart attached.

[Harry]

Meanwhile the floor session of CL has closed and the after-session has started-

Now the false negative offset is applied to the first two sessions of the day.

[NinjaTrader_Brett]

Hello,

Looking into both issues:

What value did you put in for the offset manually and what value is reported currently in the instrument manager on the second negative offset issue.

Thank You.

[NinjaTrader_JoshP]

Harry,

I take it you applied an offset of ~0.64 to your CL 12-10. I was able to reproduce your second report and analyzed it down to this. Development will take a look:

On rollover date, historical session segments for the rollover date would pull data from CL 11-10 non-adjusted instead of 12-10. Since sessions prior to the rollover date of 10/18 were pulled from 11-10, but adjusted up by 0.64 it leaves the rollover date's historical sessions looking as if it were negatively offset when the issue is its simply populating with data from the wrong contract.

[Harry]

The offset applied manually was 0.68. This value did not change, it is still there.

Hello,

Looking into both issues:

What value did you put in for the offset manually and what value is reported currently in the instrument manager on the second negative offset issue.

Thank You.

[Harry]

Josh,

thank you for your answer. That makes sense.

Maybe this is linked to the problem that no historical CL 10-12 data had been downloaded for any data prior to rollover date. The data base shows that CL 10-12 data only starts on rollover date, so how will NinjaTrader calculate the offset, if the data is not downloaded?

See screenshot below -> no intraday data prior to Octobre 18!

Harry,

I take it you applied an offset of ~0.64 to your CL 12-10. I was able to reproduce your second report and analyzed it down to this. Development will take a look:

On rollover date, historical session segments for the rollover date would pull data from CL 11-10 non-adjusted instead of 12-10. Since sessions prior to the rollover date of 10/18 were pulled from 11-10, but adjusted up by 0.64 it leaves the rollover date's historical sessions looking as if it were negatively offset when the issue is its simply populating with data from the wrong contract.

[NinjaTrader_JoshP]

Thank you for the question. This observation is awaiting developments response and we will get back to you.