MergeBackAdjusted!?

[Stopped]

Hello,

I have the following settings:

• NinjaTrader 7.1000.6
• IQFeed connection with "Use back adjusted data" box ticked
• Instruments with Merge Policy set as "UseGlobalSettings"
• Merge policy in Tools/Options/Data...set as "MergeBackAdjusted"

As I load ZN ##-## this morning (London, UK time) I noticed a 2-point gap, which I suspected it was due to a roll. I proceed to reload the data and the series gets now back-adjusted.

My question is this: Am I supposed to reload the data any time there is a roll? I thought the point of having these settings was that the data would automatically become back-adjusted when loading a chart.

Please advise.

Thanks,

Stopped

[NinjaTrader_Bertrand]

Hi Stopped, I would not know why you saw this gap present before the reload - as the ##-## charts you're using a IQFeed native continuous contracts and would not be affected by NinjaTrader's merge settings chosen.

[Stopped]

Hmm, thanks Bertrand. I guess you are suggesting I should speak to IQFeed later today, as the problem appears to be with the data as opposed to the application?

[NinjaTrader_Bertrand]

Correct, as we would not adjust / merge those contracts on our end here - it would be taken directly from their servers.

[Stopped]

Hi there,

Following a similar question earlier this month (please read through this short thread for background), today I had to manually reload the data on the ES ##-## continuous contract, despite my current settings. This is strange behaviour...

You said that continuous contracts should not be affected by a data reload, but in the case of those offered by IQFeed (my data provider) it certainly does.

Now, if the series reloads correctly when I do it manually, I do not understand why NinjaTrader is not doing it automatically given my current settings.

Also related, I spoke to IQFeed today and they told me they have two different symbols for continuous contracts. Taking the example of the ES contract, they have:

• @ES#, which brings up a merged but not back adjusted series
• @ES#C which is the merged and back adjusted series

However, on Intrument Manager, the symbol code used is the more general @ES. And when I load the ##-## contract then it brings all the issues reported above.

What would you suggest I should do to get automatically merged and backadjusted data on all my future contracts?

Thanks (and sorry for this long-winded question),

Stopped

[NinjaTrader_Bertrand]

Stopped, for the IQ Account connection you've setup, have you checked to use back-adjusted data then?

[Stopped]

Yep, please see my settings as described in post 1.

What I should add, however, is that I changed those settings only recently, when all those continuous contracts were already in the database. Could there be a conflict here? Should I perhaps reset the database?? Or delete the connection and create a new one from scratch.

Thanks.

[NinjaTrader_Bertrand]

Stopped, here's what I would then suggest:

1. Exit NT7
2. Delete historical data and cache stored for the problematic contracts (DB folder).
3. Restart NT7 and download fresh data from IQ with those settings still present

Would you still see an issue then?

Thanks,

[Stopped]

Hi Bertrand,

I followed your procedure and the data came in merged and back adjusted.

Thanks for your help!

Stopped

[zstheorist]

I am having a similar problem with Interactive Brokers data. I was trading the ES 06-11 contract, and switched over to the ES 09-11 after 3:30 CST on Wednesday (i.e. after the official rollover time).
I removed ES 06-11 from Default and added ES 09-11. This did not merge ES06-11 into ES 09-11 until I restarted NT 7. However, I have a bigger problem. All of the Rollover Offsets for futures contracts are set to 0 (as opposed to -5.5, which was the real offset for ES). When I restarted today (Thursday), it was not updated.
When does NT 7 update the rollover offset? How can I get it to correctly extract this information? It is highly non-trivial to do this by hand for as many futures as I have up (6E, ES, NQ, YM, etc.).
Note: I tried removing ES 09-11, and readding it to Default while connect to IB, but that had no effect.

[NinjaTrader_Bertrand]

Stopped, great to hear that did it.

zstheorist, would you still see the missing rollover offsets to today in your Instrument Manager for ES 09-11? What merge policy are you using at the instrument / global level?

Thanks,

[zstheorist]

I am using merge-back-adjusted.

Yes, the offsets are still explcitly set to 0.
To be more specific:
Prior to rolling over, the offset was blank. After the procedure I mentioned above (remove 06-11, add 09-11). the offset under the contract was explicitly set to 0 (ES should have been -5.5).
Today I opened a chart for YM 09-11 for the first time, and it has the same problem - offset was changed from blank to 0.

How are these offsets determined and when? Both are important questions. Technically the final settlement from CME is determined about 7 PM CST the evening before rollover day.

Thanks

[NinjaTrader_Bertrand]

zstheorist, unfortunately we discovered an issue on the current server offsets for the ES / YM 09-11 contracts - this is being looked into currently.

The general 'how to' on offsets can be reviewed here :

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

[zstheorist]

OK, thanks, I'll wait for the resolution. It is also affecting NQ (and I presume all contracts that rolled over that day). I have not checked the currencies yet (6E, 6J, etc.), but I'd rather wait to load them until I know a fix is in.