FTSE 100 + other codes in ninja trader?

[NinjaTrader_Jason]

Please note that you can experience differences in data between different data sources. See the link below.

https://ninjatrader.com/support/helpGuides/nt8/index.html?how_bars_are_built.htm#UnderstandingTheVariablesInvolvedInBuildingChartBars

Discrepancies Between Different Data Feeds
Different data feeds produce different charts, especially when using tick based intervals vs time based intervals. Market data vendors each employ various methods for tick filtering, throttling and time stamping. As a result, no data stream is 100% identical and thus can cause subtle differences in charts. Since NinjaTrader supports many of the leading brokerage and data feed technologies, it is highly likely that two traders using NinjaTrader on different data feeds will have minor differences when plotting the same market and time interval.


When I test the Kinetick EOD connection, I load a High of 16875.25 for the NQ 12-22 on November 22nd 2021.

The ES 12-22 loads a High of 4820.00 for January 4th 2022.

Could it be the Yahoo data is not "merge adjusted"? NinjaTrader by default adjusts historical data from previous expiry months by an offset value to avoid a gap during rollover.

For example, the ES rolled over to the 12-22 expiry month on September 12th 2022 with an offset value of 17.75. This means that all historical data from 09-22 is adjusted by this offset value.

You can find more information on rollover and offsets at the link below.

https://ninjatrader.com/support/helpGuides/nt8/index.html?editing_instruments.htm#UnderstandingTheContractMonthsSection

[KarstenKafl]

Thanks Jason

So - just to be sure - you also see the same "issues" - with different highs on Ninja trader - than on the Yahoo charts - and you say that it can be because it is offset on ninja trader?.

So if my strategy/chart shows the price value of 2000 - with a market order to get it at 2000 - but the real price is 1800 - and i then use limit or stoporder - with the price of 2000 - but again the real price is 1800 - is that not just wrong?

Also - what happens/is it possible to keep a trade over a rollowver date? - or is that in all cases not desired/possible?

Are there any places where i can read/view more info on this (i checked the link you sent but info is very limited) - especially im interested in how it works when i have strategies running that buy and sell based on price.

thanks again.

[NinjaTrader_Jason]

I did not check Yahoo charts, only charts in NinjaTrader while connected to Kinetick EOD.

NinjaTrader by default offsets historical data from previous expiry months. You can change it at Control Center-->Tools-->Options-->Market data-->Global merge policy. More information can be found at the link below.
https://ninjatrader.com/support/help...rge_policy.htm

This does not affect historical and realtime data of the current expiry month. Only historical data from previous expiry months are affected by the merge policy.

It is not possible to remain in a position as the new expiry month is a different contract.

Unfortunately there are no other help guide links on this topic than the two I provided.

[KarstenKafl]

Thanks Jason

It makes a lot better sense now.

So - just so i understand - if i have an open long position - during a roll over date - will it automaticaly be roll over to a new contract ?.
Then lets say the price for the new contract could be with with a gap up? -so a higher price - but my contract still have the "old" value for me - if i sell that?

Thanks again.

[NinjaTrader_Jason]

Your position will not be rolled over when trading live as the new expiry month is a different instrument.

If you refer to historical data, the automated strategy is calculated on historical data loaded in the chart. Your position price will remain the same.

[KarstenKafl]

Thanks Jason

So - if i bought a ES futures contract in jan 20 - and kept that same position until now - my money would be "Lost" ? = who would buy that contract from 2020 here in 22?

Or would there be a way to rollover my existign positions?

So will there be people ending up with a "bad" contract - near the end of each rollover period?
Or will the contract "stop" and be cancelled = my money payed out/retracted at each roll over date?

Thanks again

[NinjaTrader_Jason]

The ES 03-22 was the front month on that date. The ES 03-22 does not exist anymore today. Each expiry month expires. You can't be in a position when an expiry month expires.

There is no way to rollover a position other than closing it and then submit a new entry order to the new expiry month.

Please contact your broker for information on what exactly happens when you remain in a position when the instrument + expiry month expires.