Contract Roll Over & Back Data

[skyland]

When going to a new contract that is or has rolled over like CL 9-10 to CL 12-10
Does one have to download data again say going back to 1/1/10 to present or does it
automatically happen when the date's are applied in backtest analyzer?

tia

[NinjaTrader_Jason]

Hello skyland,

The 'Merge policy' determines if historical data from different expiries is loaded when you request historical data that spans multiple expiries. If set to DoNotMerge, it will not merge data and only historical data for the expiry you have selected will be loaded.

Please go to Control Center-->Tools-->Instrument Manager, highlight the CL and click Edit. You can set the 'Merge policy' in the Definition-tab. Please select the Misc-tab and scroll to the bottom. Click the 'Contract months' row and a '..' button will appear. Click this button to view all expiries of the CL.

If you click an expiry, it will list a rollover date. For example, the 12-10 expiry lists 10/19/2010 as rollover date. The 01-11 expiry lists the rollover date of 11/18/2010.

Let's say it is 11/25/2010 and you perform a backtest for the last 2 months (9/25/2010 - 11/25/2010). If you set 'Merge policy' to DoNotMerge, all historical data will be loaded from the 01-11 expiry. If 'Merge policy' is enabled, it will load historical up to 11/18/2010 from the 01-11 expiry. The remaining historical data wil be loaded from the 12-10 expiry.