Merging multiple contracts

[jdfagan]

take a look at how TradeStation handles merging/rollover and continuous contracts

Suggestion to Ninja: build an auto-merging continuous contract symbol to deal with this major pain point

Someone at NinjaTrader dev team should get an account with TradeStation and study how they implement their continuous contract stuff. It auto-merges contracts for you and will allow live trades placed against the continuous contract to be applied to the current/proper front month real underlying contract.

I'm in no way a fan of TradeStation for many reasons, but this is one thing they nailed quite well in my opinion. They also allow you to define your own rollover rules for this continuous contract. Lets face it, the reason why most of us are doing this "merging" chore is to build up a continuous contracts so we can backtest our stuff greater than the current front month contract. Would be nice if you just by default provide a merged one for us that auto-merges correctly (allowing us to build our own rollover rules could be additional bonus for future).

I don't know how many countless hours I've messed with merging contracts with Ninja. It is the #1 biggest pain point for me using this platform (I love it otherwise for the most part).

JD

[NinjaTrader_Jason]

Hello JD,

This will be supported in NinjaTrader 7.

http://www.ninjatrader.com/webnew/NT7/NinjaTrader7.html

New Continuous/Merged Futures Contracts
The concept of continuous contracts are implemented in a manner that allows you to continue to work with the front month for trading (ES 09-09 is the current front month as of this writing) and define a rollover date, June 11, 2009 is the contract boundary between June and September contracts. Rollover dates for the most popular futures contracts will be managed by NinjaTrader server and automatically uploaded to you. You can of course overwrite this. You then set up a "Merge policy" globally which can be overridden at the instrument level. As you request a historical chart, if the days to load crossed over the rollover boundary, NinjaTrader will transparently request the prior month(s) historical data and merge it into one Data Series based on the selected merge policy. This entire process is of course transparent to the user and ensure that a complete chart is received and that you know which contract you are actually executing trades against.