OnBarUpdate not invoked if multiple contracts and one expires

[MojoJojo]

Hello,

I am developing a strategy that uses mulitple futures contracts, substituting them for the continuous contract isn't possible.

Contracts are added via Add("ES 03-14", PeriodType.Day, 1);

The strategy will be run on the continuous contract.

The rather curious behaviour is that if I add e.g "ES 03-14" and "ES 06-14" the last OnBarUpdate invocation will be on the day the oldest contract "ES 03-14" expires.

Once there is no data for one of the data series no further calculations will be made.

Is there some kind of workaround? All my intervals are set to daily, maybe there is another event that fires which I can replace OnBarUpdate with? All I need is the price data for the day, no indicators or other fancy stuff is required.

[MojoJojo]

I got lucky and found a solution, after setting
CalculateOnBarClose = false;
all the other dates will be processed too.
Not exactly transparent, but I'll take it.

[NinjaTrader_PatrickH]

Hello MojoJojo,

Thank you for your post and welcome to the NinjaTrader Support Forum!

I am not certain I fully understand your inquiry based on your solution found.

NinjaTrader automatically merges contracts using Merge Policies, so you could potentially use the current contract as the input seris and it would act as a continuous contract when using a Merge Policy of MergeBackAdjusted or MergeNonBackAdjusted.

For information on the Merge Policies please visit the following link: http://www.ninjatrader.com/support/h...rical_data.htm

Please let me know if you have any questions.

[MojoJojo]

Hello Patrick,

thanks for the info on the merge policy, I wasn't aware of this option.
However since I am interested in the price action of the current contract and the ones following it on the same day, it won't accomplish what I am looking for.

CalculateOnBarClose = false; is totally fine, tick data is not required, I am happy with this solution.