CL Rollover Dates

[dom993]

Hi there,

This is the second month in a row that I find wrong rollover dates for CL in the instrument manager ... for CL 01-13 it was a full week off, for CL 02-13 it is 1 day off: it shows the last trading day of CL 01-13, where it should customary be 1 business-day before the last trading day.

Can something be done to double-check the rollover dates at your end?

Thanks in advance,
Dominique

[NinjaTrader_Jason]

Hello Dominique,

NinjaTrader has rollover dates setup by default, however it can occur it is off a few days. Please note that there is no set rollover date - it is when most traders switch to the next expiry month.


You can change the rollover date for the 02-13 expiry to today.

Please go to Control Center-->Tools-->Instrument Manager, highlight the CL and click Edit.

To change the rollover date, please click the Misc-tab and select the 'Contract months' row at the bottom. Click the '...' button that appears. Select the 02-13 expiry and change the rollover date on the right side.

Once you made changes to the CL instrument, please remove and re-add the CL 02-13 to your instrument list. Highlight the CL 02-13 in your instrument list and click the arrow pointing to the right. Highlight the CL in the 'Available master instruments' section, set Expiry to 02-13 and click the arrow pointing to the left.

Reload historical data in the CL 02-13 chart or create a new one.

[prosentti]

I did a switch today but the data is bad. What could be the reason (please see attached picture)?

I come from GMT+3 and source is CQG with free version of the newest Ninja Trader which is running in Windows 7.

[bce111]

My data is off too. See my thread. I'm using a different data feed, ZenFire.

[NinjaTrader_Jason]

What rollover date are you using? Did you change it to today as per post #2?

[bce111]

Sorry. I didn't see your post. Patrick helped me in my own thread. Have a great day.

[prosentti]

What rollover date are you using? Did you change it to today as per post #2?

I followed the instructions in post #2 and that did the trick.

It is okay now.

[sandman]

Hmm. I had CL 01-13 running today.

At one point I switched to CL02-13 but without switching that rollover date. (Later on when I checked it was today's date.) CL seemed to rise by about 50 ticks. This was at 12:30 Eastern Time. It showed the same price on the DOM as on the charts and price was obviously moving.

But when I then about half an hour later opened a different and new chart with CL 02-13 the price was totally different, and when I rechecked what had happened at 12:30 Eastern Time there was no 50 tick rise at all.

Is that what can happen if the roll over date is not changed? If so, I guess I can count myself lucky to not have taken any live trades that moment. But if I had, what actually would have happened? Because obviously, I would have entered short or long on a chart that obviously did not reflect the actual price of CL in the market.

I have now changed the roll over date to yesterday's date. Is that correct now? And how can I be sure?

sandman

[NinjaTrader_Matthew]

Hello,

This is a result of the merge policy we had set the CL 02-13 rollover date as the settlement date, however the volume has shifted before this. As a result, if you try to load the CL 02-13 before the set roll over date, it will merge the current 02-13 contract into the CL 01-13 contract and you will see a spread between the two contracts.

Had you placed an order, it would have been sent to the CL 02-13 contract.

As long as you have set the rollover date to a date before today, you should not have any issues with this. As far as the correct chart, this depends on when you want the CL 01-13 to merge into the CL 02-13 contract.

Moving forward, we are correcting the rollover dates for the CL to occur a few days before the settlement.

[sandman]

Hello Matthew.

Thanks. I now have CL02-13 loaded AFTER I had set the rollover date for that contract to yesterday,17-Dec.

Should that give me the correct market data for the charts?

sandman

[NinjaTrader_Matthew]

Yes, that should give you the correct historical data. You will only have issues if you try to chart a contract before the programmed roll over.

[prosentti]

6E problems

Today I tried to open 6E chart but data is missing between 2:26 - 13:21 (UTC+3). Fix described in post #2 does not give any help. Please see attached copy.

[NinjaTrader_Jason]

Hello prosentti,

I assume you connect to CQG in NinjaTrader.

I tested 6E 03-13 on my end and I am not able to load all historical data either. There is data loaded up to 7:25 PM EST yesterday for the currency futures, however there is no historical data after that.

I have sent an email to development regarding the issue. Once there is news regarding the matter, I will let you know.


You can enable 'Save chart data as historical' at Control Center-->Tools-->Options-->Data-tab to save all real-time data you currently receive as historical data. Please do not reload historical data in the chart for now or else it will load the missing data again.

[prosentti]

Yeah, this was the case.

Thanks

Hello prosentti,

I assume you connect to CQG in NinjaTrader.

I tested 6E 03-13 on my end and I am not able to load all historical data either. There is data loaded up to 7:25 PM EST yesterday for the currency futures, however there is no historical data after that.

I have sent an email to development regarding the issue. Once there is news regarding the matter, I will let you know.


You can enable 'Save chart data as historical' at Control Center-->Tools-->Options-->Data-tab to save all real-time data you currently receive as historical data. Please do not reload historical data in the chart for now or else it will load the missing data again.

[NinjaTrader_Jason]

Unfortunately historical data will be missed until next weekend during which it will be restored. The following instruments are affected:

• currency futures (6A 03-13, 6E 03-13, etc)
• DX 03-13
• ZC 03-13
• ZW 03-13

Our apologies for the inconvience.