I understand the general logic behind rollover handling, and I would expect, that the first open from both contract-months is taken at the rollover-date and the price-difference is the offset between those 2 contract-months.
Some of the rollover offset prices in NinjaTrader I can calculate using steps above, but some are just not reproducible or I am calculating something wrong..
For example:
- 6E 09-13 has rollover to 6E 12-13 on 13.09.2013
- First open-price this date on 6E 09-13 is 1.3284
- First open-price this date on 6E 12-13 is 1.3287
- Real difference is 3 ticks
But in the settings for 6E, there is 5 ticks offset...
Cannot understand, how exactly is it calculated?
I tried calculate it from previous closes, .. but nothing works consistently.
I always find many cases, where it is not stable...
So how should I calculate the offsets, to get same exact values, that are set in NinjaTrader?
It finally looks for me like the offset values are predefined and are not dynamically calculated from the 1-minute bars.
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