Price scale problem

[7robert]

Hello!!

When I activate this option in my Kinetick connection, the prices of some futures are distorted.

Here an example:

[NinjaTrader_Jim]

Hello 7robert,

Thanks for your post.

This looks normal to me.

You are viewing a continuous contract which would pull from the data provider, and with the setting checked/unchecked we would be asking to have the data merge previous contract months to be aligned with the next contract period, or to have the raw OHLC of each contract period displayed.

This is similar to viewing the front month, and then changing NinjaTrader's Merge Policy to MergeBackAdjusted or MergeNonBackAdjusted. However, in the case of continuous contracts and the Kinetick option, it changes what data gets requested from the data provider rather than trying to merge it with other contract periods.

More information on Merge Policy can be found here - https://ninjatrader.com/support/help...rge_policy.htm

Please let us know if you have any questions.

[7robert]

There are some instruments that show negative prices, would this behavior also be normal? Example RB ## - ##

[NinjaTrader_Jim]

Hello 7robert,

Yes, this is also normal.

The each previous contract month gets its OHLC adjusted to align with the next contract month. Eventually data may become negative as it is merged back.

Please note that this does not mean that viewing the front month with NinjaTrader and allowing NinjaTrader's Merge Policy to back adjust the data will give you the exact same data as Kinetick if viewing Continuous Contracts with the Back Adjusted data option checked. NinjaTrader rolls over with an offset by date, and these dates/offsets may vary with Kinetick if different dates are chosen with during rollovers. Some prefer rolling over by date while other prefer rolling over when volume has moved to the next contract month.

For sake of context, if you view the screenshot I attached, we can see different results with the continuous contract (with back adjusted data provided by Kinetick vs. separate contract periods merged following NinjaTrader's merge policy.)

[7robert]

What do you recommend for a backtesting? since having a series of data with negative prices could be problematic for the calculation of some indicators

[NinjaTrader_Jim]

Hello 7robert,

Negative prices can be problematic for backtesting. You could consider using the front month for RB and let NinjaTrader's Merge Policy adjust and merge the data as this does not appear to go negative.

If you have two options between obtaining back adjusted data from Kinetick with continuous contracts or letting NinjaTrader merge the data with the front month, you can look at a chart to see which have negative prices, and avoid testing the data series with negative values.

Also note that some contracts may have traded negative. For example, CL traded negative last year.

Deciding which is better would really be subjective and would likely change between strategies. I could not provide a comment on what you should use, but we can leave this thread open for community feedback to pool responses from others reading the forum.