12/19 Futures Rollover Adjustments Wrong

[aslane]

As usual, after Dec rollover the adjustment values are wrong for some symbols. The ES is listed as 1.75 in NT, but CME settlements would indicate 2.00. RTY is 1.8, but CME indicates 2.1. YM is -11 in NT, and CME is -14., NQ is correctly 21.0.

I am looking at CME settlements from rollover day Thur 9/12, which is the normal manner this is done. There are other algorithms people use..Is NT using a different algorithm?

How are these values propagated/updated within NT? This seems to be a persistent problem, and NinjaTrader should really examine their process.

I have updated my values, but it would be nice to not have to verify NT values every rollover.

[NinjaTrader_Kate]

Hello aslane,

Thank you for your post.

NinjaTrader 8 calculated the rollover based on the close price of minute bars the day before rollover, which results in the values that you are experiencing. This is calculated by subtracting the close of the old contract month's last 1m ETH bar with date 1 day prior to the rollover date from the close of the new contract month's last 1m ETH bar with a date 1 day prior to the rollover date.

If you wish to change the offset value, you can do so with the instructions below:

-Go to tools>Instruments and search for and select the ES instrument and click edit
-Scroll to the bottom and mouse over the Contract months and click edit rollovers
-Select the appropriate contract and edit the offset value and press ok

Please let me know if you have any further questions.

[derivtrader]

IMHO it would be best practice to use the exchange settlement prices to determine rollover offset.