Contract rollover and offset problem

[kemin]

I have been trying to build a continuous backadjusted chart for crude palm oil futures (Kinetick EOD symbol KPO) but could never get it to display correctly.

The contract is traded 3 months forward, actively traded for 1 month and then rollover on the 16th of every month! I know this sounds complicated with many rollover criteria but this is exactly how it is traded.

Currently, the active contract month is September 2012, which was rollovered from the August month on the 6/16/12, this is what I did on the rollover menu but contract displayed is still showing the August 2012 month. By right the August contract should have been 'expired' on 6/15/12 and subsequent new September contract rolls in on 6/16/12. What could have caused this to display incorrectly?

Also, I have set all the rollover dates to a calendar month-date of 16th of every month, is this correct?

I know there are some months where the 16th falls on a weekend or a holiday related non-trading day, do I have to set rollover date to the exact day of rollover on a trading day? That is, on some months it could be 17th or 18th where actual rollover happens, would NT know how to skip those non-trading days to roll correctly when trading resumes on the actual trading day?

Would this fixed calendar month-date setting have any effect on the offset values? I have left the offset empty, allowing the system to do its own calculation.

[NinjaTrader_Jason]

Hello Kemin,

For which expiry did you setup the rollover date of 6/16/2012 - August or September? Make sure the rollover date is setup for September. Subsequently create a brand new chart and check if the data is loaded as expected.

You can use the rollover dates you like. There is no "correct" rollover date. Futures are rolled over when most other traders roll over.

Yes, please set the rollover day to a trading day.

Offset values are calculated as per the historical data that is merged using the rollover dates you have setup. Please see the link below under 'Understanding the Misc tab' for more information.

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

[kemin]

Hello Kemin,

For which expiry did you setup the rollover date of 6/16/2012 - August or September? Make sure the rollover date is setup for September. Subsequently create a brand new chart and check if the data is loaded as expected.

You can use the rollover dates you like. There is no "correct" rollover date. Futures are rolled over when most other traders roll over.

Yes, please set the rollover day to a trading day.

Offset values are calculated as per the historical data that is merged using the rollover dates you have setup. Please see the link below under 'Understanding the Misc tab' for more information.
http://www.ninjatrader.com/support/h...nstruments.htm

Rollover expiry contract is set to September (attached pic). I also change the rollover date to 6/18 since 6/16 is a weekend. But result is still the same, the new chart displayed is still showing August contract.

Also, why are the daily bars one day ahead in time? Example, today is 7/12 but when downloading today's data at EOD, it shows me 7/13. My time zone is GMT +8.

[NinjaTrader_Jason]

Hello Kemin,

The issue is likely related to your time zone. Can you please shut down NinjaTrader and set your PC clock to US Eastern time. Start NinjaTrader and check if daily data is timestamped as expected.

Can you please go to the Instrument Manager, highlight the instrument in question and click Edit. Set 'Merge policy' to DoNotMerge. Click Ok and click OK Instrument Manager. Restart NinjaTrader and create a new KPO 09-12 chart. It should now only load historical data from the 09-12 expiry.

Does it load data for the 09-12 expiry? If so, please set 'Merge policy' to MergeBackAdjusted again and restart NinjaTrader. Subsequently create a new chart and check if data after 6/18 is loaded from the 09-12 expiry.

[kemin]

Hello Kemin,

The issue is likely related to your time zone. Can you please shut down NinjaTrader and set your PC clock to US Eastern time. Start NinjaTrader and check if daily data is timestamped as expected.

Can you please go to the Instrument Manager, highlight the instrument in question and click Edit. Set 'Merge policy' to DoNotMerge. Click Ok and click OK Instrument Manager. Restart NinjaTrader and create a new KPO 09-12 chart. It should now only load historical data from the 09-12 expiry.

Does it load data for the 09-12 expiry? If so, please set 'Merge policy' to MergeBackAdjusted again and restart NinjaTrader. Subsequently create a new chart and check if data after 6/18 is loaded from the 09-12 expiry.

I changed my PC clock to US Eastern Time and daily bars are still one day ahead, no difference. By the way this contract is traded in an Asian time zone, if that makes any difference.

I am using Default 24/7 as session template, Exchanges set to Default since the actual exchange is not on the drop down list.

So, I went through the whole process again and set DoNotMerge and data came out correctly for September month this time, however when I change back to MergeBackAdjusted, problem is back again. The August contract month is now displayed.

Yes I did exactly as instructed, shutting down NT and create a new chart.

[NinjaTrader_Jason]

Ok, can you please shut down NinjaTrader once more and set your PC clock to the Asian time zone of the contract. Please delete the following folder as well:

C:\-->Users-->*Windows user account*-->Documents-->NinjaTrader 7-->db-->cache folder.

Start NinjaTrader and create a brand new chart.

Can you please post a screenshot that displays the 09-12 contract and the rollover date you have setup. Could it be you reversed the day and month?

[kemin]

Ok, can you please shut down NinjaTrader once more and set your PC clock to the Asian time zone of the contract. Please delete the following folder as well:

C:\-->Users-->*Windows user account*-->Documents-->NinjaTrader 7-->db-->cache folder.

Start NinjaTrader and create a brand new chart.

Can you please post a screenshot that displays the 09-12 contract and the rollover date you have setup. Could it be you reversed the day and month?

Change PC clock back to Asian time and deleted cache folder in My Documents.

Attached the requested screenshots.

Also, the 09-12 contract's offset value should be +1 and not zero as calculated by NT as the closing price on 6/15 for 08-12 contract was 2848 while 09-12 contract was 2849, difference of +1.

[NinjaTrader_Jason]

Hello kemin,

Can you please set the rollover date back to 6/16/2012. When I test it on my end, data is merged correctly. Historical daily data for 6/15 and earlier is loaded from the 08-12 expiry. Daily data for 6/18 and later is loaded from the 09-12 expiry.

[kemin]

Hello kemin,

Can you please set the rollover date back to 6/16/2012. When I test it on my end, data is merged correctly. Historical daily data for 6/15 and earlier is loaded from the 08-12 expiry. Daily data for 6/18 and later is loaded from the 09-12 expiry.

Something very odd here, when comparing your Historical Daily Data and mine, I find mine is missing the 2012 data for 09-12 contract! This is under MergeBackAdjusted merging policy.

However they were back again when I change merge policy to DoNotMerge! The data for prior months were intact though.

This could explain why I am not getting the needed data. Any idea on what is going on here?

[NinjaTrader_Jason]

I see, I am not sure why no 2012 data is listed. Can you please shut down NinjaTrader and delete the cache folder once more.

Start NinjaTrader, make sure 'Merge policy' is set to MergeBackAdjusted and create a new KPO 09-12 daily chart. Subsequently check if you see data in the chart and in the Historical Data Manager.

If the issue remains, please try the same steps again and delete all KPO 09-12 data as well. You can find it at:

C:\-->Users-->*Windows user account*-->Documents-->NinjaTrader 7-->db-->day

[kemin]

I see, I am not sure why no 2012 data is listed. Can you please shut down NinjaTrader and delete the cache folder once more.

Start NinjaTrader, make sure 'Merge policy' is set to MergeBackAdjusted and create a new KPO 09-12 daily chart. Subsequently check if you see data in the chart and in the Historical Data Manager.

If the issue remains, please try the same steps again and delete all KPO 09-12 data as well. You can find it at:

C:\-->Users-->*Windows user account*-->Documents-->NinjaTrader 7-->db-->day

Ughh tried all the methods you mentioned including deleting the 09-12 data but still no joy. Have we run out of option?

Attached my contract definition for your investigation.

Also one more thing I noticed, when set to DoNotMerge policy, there are 75 items for year 2011. However this reduced to 58 items when under MergeBackAdjusted policy, the missing period are from 11/21/11 to 11/29/11, not that it matter.

[NinjaTrader_Jason]

I cannot reproduce it on my end so far. If 'Merge policy' is set to MergeBackAdjusted, I still have 2012 listed in the Historical Data Manager. I do notice one difference in the Definition-tab. I have the Globex exchange enabled instead of the Default one. I am not sure if this is related. Can you please set it to Globex as well.

Changing the merge policy does not affect the data (items) in the Historical Data Manager on my end.

What NinjaTrader version do you have installed? You can check the NinjaTrader version at Control Center-->Help-->About (7.0.1000.X). Make sure you have our latest version (7.0.1000.10). If not, you can download and install the latest version from the link below on top of your current version. Make sure NinjaTrader is closed when you install the new version.

http://www.ninjatrader.com/download-registration.php

[kemin]

I cannot reproduce it on my end so far. If 'Merge policy' is set to MergeBackAdjusted, I still have 2012 listed in the Historical Data Manager. I do notice one difference in the Definition-tab. I have the Globex exchange enabled instead of the Default one. I am not sure if this is related. Can you please set it to Globex as well.

Changing the merge policy does not affect the data (items) in the Historical Data Manager on my end.

What NinjaTrader version do you have installed? You can check the NinjaTrader version at Control Center-->Help-->About (7.0.1000.X). Make sure you have our latest version (7.0.1000.10). If not, you can download and install the latest version from the link below on top of your current version. Make sure NinjaTrader is closed when you install the new version.
http://www.ninjatrader.com/download-registration.php

Yes I have Ninjatrader 7.0.1000.10 installed.

Ok the Exchange is now set to Globex.

Did not notice any difference. Historical data is still missing for year 2012 in MergeBackAdjusted policy.

Any last resort to solve this pesky issue? Can you check again to see if my rollover date and contract is defined correctly?

[NinjaTrader_Matthew]

Hello,


As a test, can you please put your PC clock back to the US Eastern Time Zone and then set the merge policy to "MergeBackAdjusted" and let us know if the 2012 data is still missing with these settings.

Regarding the daily data being one day ahead with these settings, please try using the "CME US Index Future ETH" session template and you should see the correct day reflected.

[kemin]

Hello,


As a test, can you please put your PC clock back to the US Eastern Time Zone and then set the merge policy to "MergeBackAdjusted" and let us know if the 2012 data is still missing with these settings.

Regarding the daily data being one day ahead with these settings, please try using the "CME US Index Future ETH" session template and you should see the btcorrect day reflected.

Yes the 2012 data for 09-12 contract is still missing after switching to US Eastern time zone.

Actually they are not really missing, if I build only 2 contracts, 09-12 and 08-12, data are missing from 5/16/12 onwards for 09-12, then when I build 3 continuous contracts, 09-12, 08-12 and 07-12 the data missing are from 4/16/12 onwards etc... each additional month built is decreasing the data of 09-12 contract by 1 month.

However the daily bars are displaying the correct DATE when set to Eastern time together with CME US Index Future ETH session template now.

But what is the point really? I am living in Asia and can't have my computer clock turn back 13 hours, this wouldn't make sense.

BTW the KPO contract is traded in the same Asian time zone as mine (GMT +8), was wondering why is it being defaulted to a US Eastern time zone?

Anything else you can think of to solve the missing 09-12 data issue when set to MergeBackAdjusted policy?

Appreciate your chiming in to help.