Automatic contract rollover

[mikehoustonmsu]

How can I set Ninjatrader to automatically rollover my 03-10 ES contract into my 06-10 ES contract? Basically I want it to automatically convert contract dates on it's own. Also, what are the contract rollover dates?

[NinjaTrader_Jason]

Hello mikehoustonmsu,

Unfortunately this is not supported in NinjaTrader 6.5; you will need to manually merge the data.

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

NinjaTrader 7 can automatically merge data. More information can be found at the following link.

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.

In addition, the ES is usually rolled over one week before its expiry. It expires the 3rd Thursday of the expiry month. I suggest to check the CME website for further information.