Rollover Date exact definition

[JoshDance]

Can you explicitly define the rollover date for a futures instrument in NT? Is it:

- The calendar date or
- The trading date?

Also, is the new contract used:

- ON the rollover date, or
- the day AFTER the rollover date?

Thanks, just want to get an official answer, and be sure it lines up with the behavior I'm seeing.

[NinjaTrader_Matthew]

JoshDance,

Thank you for your post.

1) It would need to be Trading date. If you specified a calender date which was not trading, it would throw off the rollover offset.

2) This will occur ON the rollover date.

Please let me know if you need further clarification.

[JoshDance]

1) It would need to be Trading date. If you specified a calender date which was not trading, it would throw off the rollover offset.

So, if I use a rollover date of Tuesday, July 19, then on Monday evening, which is Tuesday's trading date, I should see the new contract?

[NinjaTrader_Matthew]

JoshDance,

Sorry for the confusion in terminology - in that case, it would be the calender date.

For example the CL 09-11 roll over will not kick in until midnight local time with the date set to Tuesday 7/19.

NT first checks your local bars cache and grabs any pre-built bars
- If none exist, then it goes to the database and builds the bars
- If none exist, the NT goes to your provider and downloads historical data
- NT will always download the current days data from your provider
- Rollover is layered on top of this process

When the next session begins tomorrow the offset will calculate and apply on the roll over day.

[JoshDance]

So, there's really no way then to see the new (09-11) merged contract from 6pm to midnight today, the 18th, if the rollover date is the 19th, and still see the 08-11 contract for the 18th. Correct?

In other words, if I change the rollover date to the 18th, then the data for the 18th will be the 09-11 contract, which I don't want, but if I change it to the 19th, then I have to wait until midnight before the prior contracts are back-adjusted. Yes?

When the next session begins tomorrow the offset will calculate and apply on the roll over day.

You mean midnight, not just "tomorrow" right? Since the new session will have already begun at 6pm on the 18th...

[JoshDance]

While we're at it, I'd like to suggest an enhancement for a chart that will shift by the same offset as the rollover the x values of all drawing objects so that I don't have to re-draw all my lines. In fact, it could just be an option "Shift drawing objects" and the user could specify the number of ticks by just looking at the calculated offset and doing it manually, thereby giving the user flexibility to change it at will.

[NinjaTrader_Matthew]

So, there's really no way then to see the new (09-11) merged contract from 6pm to midnight today, the 18th, if the rollover date is the 19th, and still see the 08-11 contract for the 18th. Correct?

In other words, if I change the rollover date to the 18th, then the data for the 18th will be the 09-11 contract, which I don't want, but if I change it to the 19th, then I have to wait until midnight before the prior contracts are back-adjusted. Yes?




You mean midnight, not just "tomorrow" right? Since the new session will have already begun at 6pm on the 18th...

Josh,

Yes, you understand correctly. The change will not occur until a session begin time.

I will forward your suggestions to development to consider has a future enhancement.

[NinjaTrader_Matthew]

Thank you for sharing your ideas to make NinjaTrader even better. We will track your submission with ID #537

[JoshDance]

Josh,

Yes, you understand correctly. The change will not occur until a session begin time.

I will forward your suggestions to development to consider has a future enhancement.

Thanks Matthew--so if I have a nymex ETH session on the chart (6pm - 5:15pm ET), at midnight tonight I can reload the charts and the rollover should be in effect with past contracts being backadjusted? Or am I not understanding?

Also, to be clear: at what time does the rollover occur? Does this depend on the session template, is it at midnight, or ...? Put another way, if I have a non-backadjusted merging, at what time of day would I see the gap? On my daily bars from Kinetick (which are full ETH from 6pm to 5:15pm), will the daily bars contain any overlapping volume information; in other words, if the rollover date is Tuesday, 7/19, will the 7/19 daily bar still contain the correct globex volume from 6pm to midnight, even though the rollover occurs at midnight, or will that volume information be from the old contract?

Sorry for all the questions but I just want to get the procedure down as I've been doing this for a while but always seem to just let it roll over, and I'm trying to get a better understanding of exactly how NT handles it.

[JoshDance]

Ignore the previous post please, my questions have been answered -- after using the new contract I see that the contract shift occurs at the beginning of the globex session which is great (as opposed to occurring at midnight for example). I would only like to suggest that you make it such that we don't have to wait until midnight for the rollover. It's really more a matter of being correct than practical use I suppose, as I'm not going to miss out on 6 hours of trading once a month. But it would be nice to have the rollover occur when the session opens, rather than at midnight.

[NinjaTrader_Matthew]

Ignore the previous post please, my questions have been answered -- after using the new contract I see that the contract shift occurs at the beginning of the globex session which is great (as opposed to occurring at midnight for example). I would only like to suggest that you make it such that we don't have to wait until midnight for the rollover. It's really more a matter of being correct than practical use I suppose, as I'm not going to miss out on 6 hours of trading once a month. But it would be nice to have the rollover occur when the session opens, rather than at midnight.

Hello Josh,

Thanks for your feedback.

Please let me know if there is anything else I can do for you.