Merge Backadjusted Policy - What is it?

[Aspirant]

Hi Guys,

The documentation speaks of policy but doesn't seem to describe any.

What is the roll trigger?
- volume (my preference);
- open interest; or,
- volume and open interest?

Does the roll occur on the first trigger or a subsequent one?
Does the roll occur basis intraday or daily data?
If the roll occurs basis intraday data is the same signal used for rolling daily data?

What is the adjustment?
Is the adjustment made:
- close to close;
- open to open; or,
- open to close with gap reintroduced (if so which one)?

I look forward to your response.
Regards

[NinjaTrader_Kyle]

Hello Aspirant,

Thanks for your post.

Roll-over is triggered by date. These dates are set within the Misc tab of the Instrument Editor under the Contract Months property. Additionally, this menu holds the offset value which is used to back adjust the historical data to match the next front month.

More information about the offset value and and how this is applied is available at this link to our Help Guide under the 'Understanding Misc Tab' section: http://www.ninjatrader.com/support/h...nstruments.htm

[Aspirant]

Thanks, That's really helpful.
Now how do I access those "roll-over dates" from with the NinjaScript?

[NinjaTrader_Joydeep]

Hello Aspirant,
Thanks for your post and I am writing for Kyle.

You can get the rollover dates from the unsupported code:

Instrument.MasterInstrument.RollOverCollection

Please let me know if I can assist you any further.