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    Merging question

    I understand the price merging policies NT uses to build a continuous contract , what it is not clear to me is how NT chooses the time to merge the data series and how it does that for globex contracts .

    #2
    Hello max1ci6,

    Data is merged as per the rollover date that is setup. You can view the rollover dates as follows. Please go to Control Center-->Tools-->Instrument Manager. Highlight the instrument 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 an expiry month and you will see the rollover date listed.

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      #3
      Thanks Jason

      i see the planned dates now (instance for ES) the front contract March will be rolled on 8/3/2012 into June contract, what will NT do that day if i have selected to merge and i chart June contract?
      Will it use March data (udjasted or unadjusted as set) up to the rth close of 7/3/2012 and then June Data ?

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        #4
        Yes, historical data before 3/8/2012 will loaded from the 03-12 expiry.

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