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Negative prices (no - not on CL ...)

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  • NinjaTrader_Jason
    replied
    Can you please go to Control Center-->Tools-->Instruments. Double click the LB futures and set 'Merge policy' to 'Merge non back adjusted'. Click OK and Close.

    Reload historical data in the LB 01-22 chart and check if data is loaded as expected. It will now load historical data that is not adjusted by offset values.

    Leave a comment:


  • tgn55
    replied
    Maybe... I don't really know what CME do... but, either way, I can't see how Ninja can be both higher, then lower than CME's data. And, putting that aside for a moment... however Ninja processes rollover adjustment, it seems pretty out there to show VERY negative prices for like... a year or two !!!

    Perhaps this is just a consequence of the offsets (being fairly large) being applied over several rollovers. Rollover on LB happens today... so it will instructive to see what really happens to the current price...

    For me, as I consider trading /LB on a live account, I REALLY need to know if on rollover, I am at risk of dropping over 100 points!! OUCH !!!

    T.

    Leave a comment:


  • NinjaTrader_Jason
    replied
    Hello tgn55,

    I load the same data in a daily LB 01-22 chart when I test it on my end. I tested with NinjaTrader Continuum (CQG) and Kinetick. Both load the peak during May as about 1700.

    Could it be the CME chart loads historical data that is not back-adjusted with offset values?
    Attached Files

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  • tgn55
    replied
    More /LB weirdness... just checked prices on CME's site...their chart data comes from e-signal, apparently,
    Their chart is here:

    It shows the very obvious peak value at about 1,200 on May 10, 2020 ... whereas Ninja shows the same peak value as about 1,700, So... assuming CME are publishing the correct data, albeit via e-signal... we have in summary:
    • 5 months ago, Ninja/CQG charted price is ~ 500 points HIGHER than CME's data
    • 12 months ago, Ninja/CQG charted price is ~500 points LOWER than CME's data
    It is hard to see how both can be the result of an accumulation of negative offsets. Or am I missing something about how rollover offsets are applied?

    What the???

    Cheers,
    T.
    Last edited by tgn55; 10-17-2021, 01:49 PM.

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  • tgn55
    started a topic Negative prices (no - not on CL ...)

    Negative prices (no - not on CL ...)

    A Daily Chart of /LB 01-22 (Lumber) over the last few years shows basically ALL prices prior to August 2020 as quite negative, Unlike the instance of CL going (briefly) negative a while back, this is prolonged.

    Looking at the Contract Month rollover offsets, I see the previous 6 entries with significant offsets (mostly > 100)... I guess that might do it... but, that begs the question... is this offset data correct? It appears to be suspicious!

    My data provider is CQG.

    Cheers,
    T.

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