Continuous Futures contracts and Merge setting

[GlennL]

I would like to confirm my understanding and get some more information on this topic.

Firstly, from my readings the continuous futures contract is denoted with a ##-## contract e.g., ES ##-##. Further, this is only useful if the Data Provider provides a continuous contract i.e., with this contract specification NT is just displaying whatever the Data Provider says is the Continuous contract data.

In regards to the Merge policies, what is the rule being used to determine whether a bar is taken from contract A or contract B. I can think of several possible rules such as
- when Contract A expiry date reached
- when Contract A first notice date reached
- first time Contract B volume is greater than contract A
- always select the Contract with the highest volume (i.e., could go A, B, A, B, B...)

Finally, I am having trouble understanding the difference between MergeBackAdjusted and MergeNonBackAdjusted. The former uses an Offset value but what this is and how it is used is not explained.

[NinjaTrader_Jason]

Hello GlennL,

As long as you request enough historical data, NinjaTrader will merge historical data from previous expiry months as per the rollover dates that are setup.

You can find 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. Select the Misc-tab and scroll to the bottom. Select the 'Contract months' row and click the '...' button that appears. A new window will open up which will list the expiry months with the rollover date.

The offset value is the difference between the two expiry months. It eliminates the gap between the two expiry months, because there is a price difference between the two expiry months. All historical data from the previous expiry month is adjusted by the offset value.

[GlennL]

Thanks for that explanation.
Can you tell me where the Rollover dates stored in NT come from? As an example for the SPI 09-15 contract on the SFE, the rollover date in NT was set to 12thJune. Where has that date come from?
Secondly, if NT is displaying a continuous/merged contract, is there a way NT can automatically highlight when it is rolling over from one contract to the next e.g., can it draw a line? I though it would also be evident in the Data Box but it is not.

[NinjaTrader_Jason]

Hello Glenn,

The rollover dates are loaded from our server.

Unfortunately this is not supported.

[Harry]

Thanks for that explanation.
Can you tell me where the Rollover dates stored in NT come from? As an example for the SPI 09-15 contract on the SFE, the rollover date in NT was set to 12thJune. Where has that date come from?
Secondly, if NT is displaying a continuous/merged contract, is there a way NT can automatically highlight when it is rolling over from one contract to the next e.g., can it draw a line? I though it would also be evident in the Data Box but it is not.

There are rollover indicators available here, which should do what you look for:

http://ninjatrader.com/support/forum/local_links.php?action=sendtofriend&catid=4&linkid=558

https://www.bigmiketrading.com/ninjatrader/27940-rollover-tools.html#post341499