Rollover Calculations

[YoungOne]

Hello,

I was wondering how ninja trader calculates the difference for rollover when I merge data? Like what information does it use?

Thanks,
YoungOne

[NinjaTrader_Bertrand]

Hi YoungOne - the formula used to back adjust historical data is as follows:

New price = Old price + (Open price of front month of merge date - Close price of expiring month on the day prior to the merge date)

http://www.ninjatrader-support.com/HelpGuideV6/Merge.html

[YoungOne]

Hi YoungOne - the formula used to back adjust historical data is as follows:

New price = Old price + (Open price of front month of merge date - Close price of expiring month on the day prior to the merge date)

http://www.ninjatrader-support.com/H...eV6/Merge.html

Thanks, feel like a noob for not seeing in the manual. For e-mini futures should Thursday be used as the "to" date or Wednesday?

[NinjaTrader_Bertrand]

You're welcome - use Wednesday as the last day of the 'old' contract, then you collect the data from the start of the rollover day, as volume shifts normally shortly after the US cash market open.