Contract rollover and offset problem

[NinjaTrader_Jason]

Hello kemin,

Strange, I am not sure why data is reduced by a month when adding an additional expiry month. Since it cannot be reproduced so far, I suggest to start fresh. Please shut down NinjaTrader and delete the following folders to delete all historical data:

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

Subsequently, please rename your database with the following steps :

• Go to the Start Menu
• Select My Documents--> NinjaTrader 7--> DB--> NinjaTrader.SDF.
• Right click on NinjaTrader.SDF and select "Rename." *Name it "OLDNinjaTrader.SDF."
• Then restart the software and NinjaTrader will create a fresh database file to use
• Unfortunately the following items stored in the old database will be lost – ATM Strategy templates, Session templates, Instrument Lists / Custom Instruments and historical trade execution data

To prevent running into situations where you can potentially lose important data, we advise to run regular backups via our inbuild backup feature in NinjaTrader - http://www.ninjatrader.com/support/h...up_archive.htm

Start NinjaTrader and create the KPO instrument anew. Set it to Globex right away.
Please set 'Merge policy' to DoNotMerge initially. Do not setup any expiry months with rollover dates yet.

Create a KPO 09-12 chart and check if all data is loaded. Subsequently create a KPO 08-12 chart and so on until you have loaded all data you need. Check in the Historical Data Manager if the requested data is loaded as well.

Once all data is loaded, please setup expiry months with rollover dates. Please set 'Merge policy' back to MergeBackAdjusted as well. Once it is setup, please restart NinjaTrader. Connect to Kinetick and create a new KPO 09-12 chart and check if data is merged and loaded as expected.

[kemin]

Just to be sure we are on the same page before I delete and rename the files, there is a file named NinjaTrader but without the .SDF extension and also a file named NinjaTrader.Old inside My Documents\NinjaTrader 7\db folder already.

So do I rename this NinjaTrader file to OLDNinjaTrader.SDF? And leave NinjaTrader.Old file alone?

[NinjaTrader_Jason]

The file named "NinjaTrader" with the .sdf extension, is the database NinjaTrader uses. Please rename this file. You can name it whatever you like. Once you start NinjaTrader, a new NinjaTrader.sdf file will be created.

[kemin]

After going through the entire cleaning process, disappointed to say result is still the same for MergeBackAdjusted chart, the single month DoNotMerge chart is good.

Before I shutdown NT I reload the KPO 09-12 chart to see if it appears differently, then I check the Historical Data and found 2 months of data missing. This is under MergeBackAdjusted policy.

The missing data are from 5/19/12 onwards.

[NinjaTrader_Jason]

Can you please send me your log and trace files. Go to Control Center-->Help-->Mail to Support in NinjaTrader. Put 'Attn Jason, Contract rollover and offset problem' in the subject field and enable 'Log and trace files'.

[kemin]

Can you please send me your log and trace files. Go to Control Center-->Help-->Mail to Support in NinjaTrader. Put 'Attn Jason, Contract rollover and offset problem' in the subject field and enable 'Log and trace files'.

Mail with attachment sent.

Were you able to duplicate the problem with new contract not being able to roll over on expiry? BTW yesterday was rollover date for 09-12 contract, after setting up expiration criterion on the misc tab for 10-12 contract, I was able to get 09-12 contract to display finally, however the 10-12 month is not displayed as usual, strange indeed and awaiting your investigation result.

On another note, I was able to solve the displayed bars one day ahead problem by creating a custom session template with the trading hours of the KPO contract and exchange hours offset applied, I believe the hours offset, in this case GMT +8 is key in solving this issue where previously I was thinking Default 24/7 is universal time but later discovered it was base on US Eastern time, duh!

[NinjaTrader_Jason]

I have not seen your email. Unfortunately, I was not in the office when you sent it. Did a colleague handle your case? If so, please provide me the ticket number.

Data is merged as per the rollover date that is setup, see screenshots. I am using a rollover date of June 16 and I defined 5 expiry months - 05-12 up to 09-12.

[kemin]

I have not seen your email. Unfortunately, I was not in the office when you sent it. Did a colleague handle your case? If so, please provide me the ticket number.

Data is merged as per the rollover date that is setup, see screenshots. I am using a rollover date of June 16 and I defined 5 expiry months - 05-12 up to 09-12.

Thanks for coming back, I've just sent another email to [email protected]. This is the download site if you don't receive the email www.ninjatrader-support2.com/upload/20120717_c4d15f3352a14277807bbc9bc62d0afe_TracesAn dLogs.zip

On your merged chart, the offset on 6/15 is incorrect as there is a difference of +1 between the closing price of 08-12 and 09-12 contract. Hence the OHLC should all be incremented with +1.

[NinjaTrader_Jason]

Yes, there is no offset calculated for 09-12. It reports a value of zero. However I do have an offset for 08-12 - it reports an offset of 7.

I removed the zero and left it blank. Subsequently I created a new KPO chart, however there was still no offset calculated. I will forward your findings to development to further troubleshoot the issue.

[NinjaTrader_Jason]

We need to define the 10-12 expiry for the KPO as well. Using the rollover schedule we setup, it would have rolled over to the 10-12 yesterday.

I calculate an offset of 1 for the 09-12 expiry after I added the 10-12 expiry with the rollover date of July 16.. Can you please do the same and check if this will work for you.

Please add the 10-12 expiry in the Contract Months window with the rollover date of July 16. Restart NinjaTrader. Subsequently create a brand new KPO 09-12 chart and check if an offset value of 1 is calculated.

[kemin]

We need to define the 10-12 expiry for the KPO as well. Using the rollover schedule we setup, it would have rolled over to the 10-12 yesterday.

I calculate an offset of 1 for the 09-12 expiry after I added the 10-12 expiry with the rollover date of July 16.. Can you please do the same and check if this will work for you.

Please add the 10-12 expiry in the Contract Months window with the rollover date of July 16. Restart NinjaTrader. Subsequently create a brand new KPO 09-12 chart and check if an offset value of 1 is calculated.

Yes I got an offset of 1 for 09-12 contract after setting up the 10-12 contract with rollover date 16 July.

However the 10-12 contract offset is zero, when it should be 6, and also, 08-12 contract offset is wrong too since data is missing from 16 May onwards.

[kemin]

Yes I got an offset of 1 for 09-12 contract after setting up the 10-12 contract with rollover date 16 July.

However the 10-12 contract offset is zero, when it should be 6, and also, 08-12 contract offset is wrong too since data is missing from 16 May onwards.

I forgot to mention the offset of 1 for 09-12 contract appears only when a 10-12 chart is drawn.

When 09-12 chart is drawn, it is still showing 0 offset.

Attached both charts with data windows.

[NinjaTrader_Jason]

I do have an offset calculated for the 10-12.

I cannot reproduce the missing data. What offset is calculated for the 08-12 on your end?

[kemin]

I do have an offset calculated for the 10-12.

I cannot reproduce the missing data. What offset is calculated for the 08-12 on your end?

My offset for 08-12 is -16, attached also other months for your comparison.

I believe you have this pesky contract all set up now, am still groping in the dark.

[Camron]

Hello, Does NT plan on developing a Mobile Application anytime soon? A phone and tablet app would be useful, thanks in advance for response.