07-11 Corn Data and tick size

[JoshDance]

1) Look at the attached chart, it seems that the data coming from the NT historical server (I use a TT data feed with NT backfill) is using a previous month's data... ideas on how to fix this? I am using the July contract.

2) What should the tick size for ZC be? The CME web site says "1/4 of one cent per bushel ($12.50 per contract)" .. the default in NT was "0.25" .. those do not match. When I look at the quotes on the CME site, it appears they are in '2 or "1/5" increments, and I verified this by setting the tick size in NT to the smallest possible and observed that the increments were either .2, .4, .6, .8, or .0, so I put the tick size at "0.2" and it seems to be fine, just wondering your thoughts if this is correct as I have never traded corn.

[NinjaTrader_Chip]

Hello

Thank you for your note.

When you go to Tools > Options > Data tab – what do you have selected in Merge Policy?

[JoshDance]

MergeBackAdjusted, and this is set also in the instrument properties as well. Could it be that the July contract is not the front month because we haven't rolled over from May yet? If this is the case, how do I fix it?

[NinjaTrader_Jason]

Hello JoshDance,

Yes, the May expiry is still used as front month. It rolls over to the July expiry on 4/29/2011.

So if you currently create a ZC 07-11 chart, it will load all historical data from the 05-11 expiry and combines it with real-time data from the 07-11 expiry.

You can set 'Merge policy' to DoNotMerge and it will load historical data from the 07-11 expiry only when subsequently creating a ZC 07-11 chart.

It is also possible to set the roll over date to your liking. Can you please go to Control Center-->Tools-->Instrument Manager. Please highlight the ZC in the 'Available master instruments' section and click Edit.

Subsequently select the Misc-tab and scroll to the bottom. Select the 'Contract months' row and click the '...' button that appears.

Select the 07-11 expiry month and you will see the rollover date listed - 4/29/2011. You can change it to your liking. Once you made modifications, please restart NinjaTrader and create a new ZC 07-11 chart.

In addition, the default tick size of 0.25 is correct.

http://www.cmegroup.com/trading/agricultural/grain-and-oilseed/corn_contract_specifications.html

1/4 of one cent per bushel ($12.50 per contract)

[JoshDance]

It is also possible to set the roll over date to your liking. Can you please go to Control Center-->Tools-->Instrument Manager. Please highlight the ZC in the 'Available master instruments' section and click Edit.

Subsequently select the Misc-tab and scroll to the bottom. Select the 'Contract months' row and click the '...' button that appears.

Select the 07-11 expiry month and you will see the rollover date listed - 4/29/2011. You can change it to your liking. Once you made modifications, please restart NinjaTrader and create a new ZC 07-11 chart.

Thank you Jason for your help. I set the rollover data to yesterday, 4/24/2011, with the merge policy MergeBackAdjusted, and while the data from today is correct, it appears the previous data (from 4/21) does not line up. See the attached chart.

In addition, the default tick size of 0.25 is correct.

http://www.cmegroup.com/trading/agricultural/grain-and-oilseed/corn_contract_specifications.html

1/4 of one cent per bushel ($12.50 per contract)

Doesn't a tick size of "0.25" mean "1/4 of a dollar" or "1/4 of a point", as in ES? The above sounds like it's saying "1/4 of a cent" or "0.0025" ... Additionally, notice that all the quotes for corn appear to be in fifths of a point, not quarters:

http://www.cmegroup.com/trading/agricultural/grain-and-oilseed/corn.html

Just trying to figure this ambiguity out, thanks.

EDIT: while receive live quotes from my broker, I played with the tick size, and yes, 0.25 does seem to be the correct one, but I'm surprised as to why it doesn't match up with the charts from CME. At any rate, still waiting for a fix on the first issue above...

[NinjaTrader_Jason]

Can you please set 'Merge policy' to MergeNonBackAdjusted and check if data lines up.

I am not sure why those quotes are displayed that way on CME's website nor why cent is referred. I do notice that prices only reflect '0 - '2 - '4 - '6. I do not see '8 reflected in any price. 4 different values would be 0.25.

[JoshDance]

Can you please set 'Merge policy' to MergeNonBackAdjusted and check if data lines up.

I am not sure why those quotes are displayed that way on CME's website nor why cent is referred. I do notice that prices only reflect '0 - '2 - '4 - '6. I do not see '8 reflected in any price. 4 different values would be 0.25.

Done, and attached screen shots of how settings affect the chart. Notice the values are different but neither are correct. Is it possible the offset value is incorrect? (see pictures)

[JoshDance]

Quick update, I can clarify the confusion on the tick size, at least partly. The price of corn is in cents, so it's 760.00 cents per bushel, therefore the info from CME that the tick fluctuation is "1/4 of one cent" makes the NT tick size of "0.25" make perfect sense. I'm still not sure about the '2, '4, etc., but the other part is clear.

[NinjaTrader_Jason]

Yes, the Offset value is incorrect. I tested it on my end and I display historical data before 4/24 in the proper price range.

I have Offset set to 7.5 (positive).

[JoshDance]

Ok this fixed the problem it seems-- any idea why my offset value was negative? I assure you I've never even looked at it much less edited it. Also, is there a CME or some other resource to get the correct values from in case I need to check in the future?

[NinjaTrader_Jason]

Good to hear it fixed the issue.

Unfortunately I am not sure why you had a different offset value nor am I aware of such a resource.

Offset values are locally calculated when not present on the server. Please see the link below for more information under 'Understanding the Misc tab'.

http://www.ninjatrader.com/support/helpGuides/nt7/editing_instruments.htm

[JoshDance]

Thanks again for the help. While we're on the subject of agriculture, after having deleted historical data, restarting, and pretty much everything else, I can't get my wheat chart (ZW) to display the data correctly, it's doing the "jump" to current prices, it seems the historical prices are incorrect. Yes, I've done a reload historical data, and when it hasn't locked up, it gives me the picture you see.

[NinjaTrader_Chip]

Quick question Josh – when you say you are using TT w/NinjaTrader back up, please clarify how this connection is configured.

[JoshDance]

Chip, not sure what information you're looking for--I have a single broker connection to TT, and the NT servers provide the historical data, what other information are you looking for?

[NinjaTrader_Chip]

Josh – yes, that’s the info I was referring to. Have you experienced this with any other expiration for wheat?

Have you already applied Jason’s suggestions to this ZW issue?