Discrepancies Between Continuous Futures Contracts & Merge Back Adjustment

[Vispilio]

Hi,

We use tradestation as our data provider and when I check the continuous futures contracts of tradestation in terms of historical data, I see there are certain differences between the way TS merges these contracts, and the way that a futures contract is merged back on Ninja Trader (when we draw it real time from another provider like Interactive Brokers).

Would you have any suggestions on how to resolve this discrepancy. I need to use Merge Back Adjusted because I'm trading on Interactive Brokers, so I have to combine the different future expiries with Merge Back functionality on Ninja Trader to draw long enough charts.

Clearly there are differences between TS's merging algorithm and that of NT's... Which alternative data providers can you recommend, which would have a continuous contract merged exactly the same way that you are using on Ninja Trader, so the historical data we are testing on is identical to the charts we are using for real trading ?..


Best,
Vispilio

[NinjaTrader_Jesse]

Hello,

Thank you for the question.

In general, different platforms/data providers do continuous contracts/mergebackadjusted settings differently which is likely what you are seeing.

In NinjaTrader we have the option to manually modify when rollovers are using the instrument manager, this could potentially be a difference you are seeing. If so, you could modify the NinjaTrader instrument to match the tradestation instrument to see if this resolves the differences you are seeing.

I look forward to being of further assistance.