What is instrument name ##-##?

[vhanded]

As mentioned in title, I am confused about ##-## in the futures instrument name.

I plotted out CL 04-15 using merge back non adjusted, merge back adjusted, and ##-##, all displaying different value. I understand both merge back adjusted and merge back non adjusted, but what is ##-##?

Thanks.

[NinjaTrader_Jason]

Hello vhanded,

##-## refers to continuous data. Futures instruments with ##-## will load continuous data from the connected data feed. The continuous data is merged on the data feed provider side.

If you use "regular" expiry months (03-15, 04-15, etc) and you request historical data that spans multiple expiry months, NinjaTrader will merge the historical data as per the merge policy you have setup.

[vhanded]

I still don't understand. Based on the price that I plotted for CL ##-## at this moment (3/11/15), the price from 2/25/15 - 3/11/15 is exactly match with the current front month contract (CL 04-15).

However, the price from 1/3/15 - 2/24/15 never match any other contract month, or any merge back adjusted/non-adjusted price.

[NinjaTrader_Jason]

NinjaTrader uses 2/18/2015 as rollover day for the 04-15. So data before this date is loaded from the 03-15 expiry (if you create a CL 04-15 chart). I suspect the ##-## contract uses a different merge date.

You could compare as follows. Please set merge policy to DoNotMerge for the CL instrument. Make sure you remove and re-add the CL to your instrument list. Please add the CL 03-15 as well.

Create two new charts - CL 03-15 and CL 04-15. Check if data before 2/25/2015 in the CL ##-## chart is loaded from the CL 03-15.

[vhanded]

Thanks for your reply, but the price for CL 03-15 before 2/25/15 do not match with CL ##-## at all.

I get my data from Ninjatrader brokerage, currently on trial account.

[NinjaTrader_Jason]

I am not able to reproduce it on my end. The CL ##-## shows 03-15 data before 2/18/2015.

Can you please try the following. Shut down NinjaTrader and navigate to the folder below.

C:\-->Users-->*Windows user account*-->Documents-->NinjaTrader 7-->db

Transfer the tick, minute, day and cache folders to your desktop. These folders contain all historical data.

Start NinjaTrader and connect to NinjaTrader Continuum. Check if the issue remains.

[vhanded]

After removed the day folder and let NJ download again from continuum, the price is matching now!

This is dangerous, and I thought by right click Chart -> Reload All Historical Data will actually download new data from providers.

So, now the behavior of ##-## is like Merge Back Non-Adjusted.