Custom Merging Algorithm?

[Liujs]

I am working out a strategy that is highly dependent on when I rollover the futures contract. I know that there is no real time automated rollover. However, is there a way for me to specify the hour and time of merging of two contracts? The options as I can see thus far relate to mainly to date and offset values. Given a certain date, when are the contracts merged?

Second question. Do the offset values for the entire data series stack? I.e. if my data range covers three contracts, are the values of the earliest contract adjusted to replicate the latest contract or are the values of the earliest contract adjusted only to replicate the second latest contract?

[NinjaTrader_Bertrand]

Hi Liujs, that's correct, the rollover settings specify a rollover data from which point on the new front month is used, so it's a 'roll into' date. When you would see the rollover and offset applied would be determined by the session template set to us on your chart.

The offsets are used sequentially to string the individual expiries together in MergeBackAdjusted mode.

[Liujs]

So am I right to say that the rollover starts at the asian hour open even though liquidity may only shift to the right contract during US hours later in the day for US electronic trading hours?

[NinjaTrader_Bertrand]

Correct, it will start at the session begin time for the rollover date - it would not monitor for intraday volume (current month vs new front month).

[Liujs]

To work around this issue, I have created a "user defined" instrument and uploaded data that I have personally adjusted. Subsequently, how do i tweak my settings so that the NT picks up the correct contract data, such as ES 03-12, and fit it into my "user defined" instrument?

[NinjaTrader_Bertrand]

Are you asking how to import your data for the ES 03-12 contract? That would be done by correctly named the source txt file, for example ES 03-12.Last.txt

If you prefer to work without any rollover settings by NT, we have native continuous contract symbols as well, those are designated by the ##-## expiry, data could be imported to them by name the file then ES ##-##.Last.txt