Detailed info on rollover needed

[paulca]

Hi,

I'm in the process of importing 3rd party historical tick data into NT7 and will also need to trasition to ZF historical and live data. I'll ask the question specifically for CL - on the rollover day does the switch from the old front month to the new one occur during the session break at 3:15 to 4:00 pm Mountain Time on 08/19/10 ? I specifically checked the 09-10 and 10-10 contract tick data where the offset is listed in Instrument Manager as .35. On those contracts at that time the price is not equal to .35, it's close - .32 difference on the first tick of the session, .38 diff on the closing tick of the previous session. Do you perhaps average the 2 closes and open differences to arrive at .35?

Thanks,

Paul

[NinjaTrader_Chip]

Hello paulca,

Thank you for your post.

In order to respond to this query I want to enlist the knowledge of one of our developers. After I confer with them I will respond back.

Please let me know if you have any additional questions in the mean time.

Thank you,

[paulca]

Thanks Chip, I do have one other question about rollover, the answer to which may be useful - over what time period is the offset adjustment eliminated from, I assume, the new front month contract.

Paul

[NinjaTrader_JoshP]

Paul,

I believe what you are asking for is how the offset is calculated. You can review the exact method in the "Offset Value" portion of the Misc tab section here: http://www.ninjatrader.com/support/h...nstruments.htm

[paulca]

Great, that answers one of my questions, the primary question was:- when does the actual rollover take place, is it at the time the new session starts on the rollover date, eg for CL a new session starts at 4:00 pm Mountain Time, is this when the rollover occurs or is it when the offset is calculated on the day prior to the rollover date?

Paul

[NinjaTrader_Kyle]

Hi paulca,

This will occur at the session break of the session template that the instrument uses by default.

[paulca]

Thanks for the partial answer, rollover occurs at the session break.

Second part of the question was - does the rollover occur on the rollover date or on the prior day when the offset is calculated?

[NinjaTrader_RyanM1]

Hello paulca,

The rollover date marks the boundary. The exact date used is controlled by the session template.

Any data in front of the boundary uses actual values from the front month.

Any data behind this boundary is adjusted by the offset.

From the page Josh linked earlier:


The Offset value is used to connect the last value of a contract month with the next one.

Although NinjaTrader will attempt to download the Offset values from the data server, if they do not exist on the data server, they will be calculated locally. Offsets are only downloaded when the "Offset" field is left blank and the rollover date matches the date defined on the server.

When NinjaTrader will calculate the Offset value locally:

• The Offset field in the Contract Months window is blank
• Historical data exists in the database for both the new and old contract near the rollover date
• The MergeBackAdjusted policy must be selected in the Data tab of the Options menu
• You must be connected to your data provider and requesting data for the instrument

How NinjaTrader will calculate the Offset value locally:

• Use the old and new expiry’s daily price data for calculations
► If daily data does not exist, use minute data
► If minute data does not exist, default Offset value will be 0
• One day prior to the rollover date, calculate the difference between the close price of the new expiry and the close price of the old expiry. This is the Offset value.
► If you wish to overwrite the calculated Offset value you can input in your own
► When using minute data, the close price at the ending time as defined in the default session template for the instrument will be used

Note: If you inputted your own Offset value, it will be overwritten by values downloaded from the data server if it exists there. To prevent this you will need to ensure that your rollover date is not the same as the ones coming from the data server.

Note: The rollover date is the date to roll into the selected contract month and NOT out of.