Future contracts continuation

[dryfish]

Hello everyone,

When a future contract expires / needs to roll over, is there a way to roll over to the same contact month next year?

i.e. When Oct-20 ends, then Oct-21, then Oct-22 ...

In the attached chart, when I create a chart for "CL 10-21", it can show price data back to 2009 but I couldn't figure out which contracts it was showing in the previous years!

Thanks

[NinjaTrader_Jason]

Hello dryfish,

Please note that you can type in the instrument in the Instrument field of most NinjaTrader windows. For example:

• Left click in the Instrument field first and hit Backspace on your keyboard.
• Type in CL 10-22 and hit Enter on your keyboard.

However if you now create a CL 10-22 chart, it receive only realtime data for the 10-22 expiry month. Historical data will be loaded from the 10-21 expiry month. If you like historical data to be loaded from the 10-22 expiry month, please proceed as follows.

• Go to Control Center-->Tools-->Instruments.
• Double click the CL futures.
• Set 'Merge policy' to 'Do not merge'.
• Click OK-->OK.

Reload historical data in the CL 10-22 chart and it will load only historical data from the 10-22 expiry month.


Historical data is merged (if enabled) as per the rollover dates that are setup. You can find rollover dates in NinjaTrader 8 as follows.

• Go to Control Center-->Tools-->Instruments.
• Double click a futures instrument.
• Scroll to the bottom in the new window that opens up.
• Click the Contract months field and another window opens up that shows the expiry months and their rollover dates.

[dryfish]

Hi Jason,

Thanks for the quick reply.

I found the option for "Do not merge" so now I can see the full historical data for each individual contract.



However, the problem remains in the merging function. Here is the default setting I found for instrument "CL 10-21": Why does it say Rollover Date on 17/08/21 while this contract's actual Expiration Date is around 21/09//21?



What I am looking for is when "CL 10-20" ends on 21/09/20, the chart shifts to show "CL 10-21"; and when "CL 10-21" ends on 21/09/21 the chart shifts to show "CL 10-22" ...etc

So each monthly contract covers around one year long time span in a chart. Is this doable in Ninja Trader?

Many thanks

[bltdavid]

when "CL 10-20" ends, the chart shifts to show "CL 10-21"; and when "CL 10-21" ends, the chart shifts to show "CL 10-22" ...etc

So each monthly contract covers around one year long time span in a chart. Is this doable in Ninja Trader?

What you're asking is doable, but would require custom NinjaScript coding.

[NinjaTrader_Jason]

Please note that rollover date is not the same as the expiration date. Rollover date is when most volume shifts from one expiry month to the next expiry month.

You can change the rollover dates if you like. Please click the down arrow in the 'Rollover date' field and select the desired date.

You can also remove expiry months by selecting the expiry month on the left under Configured. Subsequently click remove.