Back adjusted contracts calculated differently in NT8 ?

[RonnyKeller]

Please try the following: In both, NT7 and NT8, open a chart as follows:

Time frame = 5 Min.
Instrument = ES 09-17
Session = CME US Index Futures RTH
Start date = Today
Load days = 200

Now scroll back to some day outside the current contract (to trigger policy "Merge back adjusted") and compare the values - they don't match between NT7 and NT8.

Examples for March 2017:

01-Mar-2017, first bar of day (= Open of March):
NT7: Open = 2376.25
NT8: Open = 2375.75

27-Mar-2017, second bar of day (= Low of March)
NT7: Low = 2315.75
NT8: Low = 2315.25

31-Mar-2017, last bar of day (= Close of March)
NT7: Close = 2356.50
NT8: Close = 2356.00

Obviously, there's a constant difference of 0.50 between NT7 and NT8.
I didn't notice any differences when looking at days which do belong to the current contract.

There seems to be a difference in the merge-back logic.
Can you test this and perhaps give some explanation where this comes from?

Note: I'm charting both charts with the same data connection (Rithmic, historical data provided by Ninja if I remember right).

[NinjaTrader_DrewO]

Hello RonnyKeller,

Thanks for posting.

I'm seeing the same on my end so far when testing. Data Providers that utilize the NinjaTrader historical data servers would access separate servers for NinjaTrader 7 and NinjaTrader 8, but I'll do some further investigation to find what would be expected in this case. I'll follow up here with more information as it becomes available.

[NinjaTrader_DrewO]

RonnyKeller,

Thanks for your patience.

I am seeing that this would be expected due to the rollover offset setting for ES 03-17. NinjaTrader 8 uses ETH for its rollover offset settings, whereas NinjaTrader 7 uses RTH. In this particular case, this resulted in a .5 difference for the offset settings for ES 03-17 between the two versions.

[RonnyKeller]

Drew, thanks for clarification. It's a little disturbing, but at least there's an explanation - can live with that.