Offset value for ' Merge Back Adjusted ' contract setting

[ATooZ]

Hi ! Could anyone guide me on how are the offset values for the futures contract rollover are calculated. I read on the NT8 help guide that if the value for the offset is to be calculated locally it is calculated as the difference between the closing price of old contract and the closing price of the new contract just a day before the actual rollover into the new contract month takes place. But then for CL 04-22 in the edit rollovers menu the offset value is shown as -1.76 which is different that the value obtained by the difference between the closing price of CL 03-22 and the closing price of CL 04-22 on 16 Feb 2022 as the rollover takes place on 17 Feb 2022 into the CL 04-22 (this value comes out to be -1.83). So why the difference ?

[NinjaTrader_BrandonH]

Hello ATooZ,

Thanks for your post.

With MergeBackAdjusted (default setting) the chart will be continuous, stitched together by expiry month from the rollover date of the expiry month to the rollover date of the previous expiry month, and adjusted by an offset to prevent gaps between contract months (which trade at different prices) for a smooth chart.

The Offset value is used to connect the last value of a contract month with the next one.

Although NinjaTrader will attempt to download the Offset values from the data server, if they do not exist on the data server, they will be calculated locally. Offsets are only downloaded when the "Offset" field is left blank and the rollover date matches the date defined on the server.

How NinjaTrader will calculate the Offset value locally:

• Use the old and new expiry’s daily price data for calculations
• If daily data does not exist, use minute data
• If minute data does not exist, default Offset value will be 0
• One day prior to the rollover date, calculate the difference between the close price of the new expiry and the close price of the old expiry. This is the Offset value.
• If you wish to overwrite the calculated Offset value you can input in your own
• When using minute data, the close price at the ending time as defined in the default session template for the instrument will be used

Note that if you inputted your own Offset value, it will be overwritten by values downloaded from the data server if it exists there. To prevent this you will need to ensure that your rollover date is not the same as the ones coming from the data server.

See the help guide documentation below for more information.
Contract Month Properties - Offset: https://ninjatrader.com/support/help...tMonthsSection
MergePolicy: https://ninjatrader.com/support/help...rge_policy.htm

Let us know if we may assist further.

[ATooZ]

Thanks for the reply BrandonH !

Offsets are only downloaded when the "Offset" field is left blank and the rollover date matches the date defined on the server.

As in my case I neither changed rollover date field nor inputted anything in the offset value field for CL 04-22, it must mean that the whatever values are there for CL 04-22 they must have been downloaded from the server, right?

So what I need to know is this - are the offset values that are downloaded from the servers calculated in the same way as it is done if it were to be calculated locally? Because I did follow the steps you mentioned for calculating the offset locally and it gives the value as -1.83 whereas the server side value is showing as -1.76.

[NinjaTrader_BrandonH]

Hello ATooZ,

Thanks for your note.

I am able to reproduce the behavior you are reporting in regard to the server-side calculated offset being different from the locally calculated offset.

I have submitted this issue to the Development Team for further review and will get back to you with more information as soon as I hear back from the Development team.

Let us know if we may further assist.

[NinjaTrader_BrandonH]

Hello ATooZ,

Thanks for your patience.

The server-side calculated offset is expected to be different than the locally-calculated offset for the platform. This is because the server-side offset prefers to use minute data and had to account for NinjaTrader 7 data at one time.

We have not switched the server to use Daily offsets yet at this time.

Interest in this is being tracked in an internal ticket and I have added your vote.

The internal tracking number for your feature request is SFT-5468. Please reference this internal tracking number when contacting Platform Support if you ever have questions regarding this feature request.

When a feature request is implemented, you'll find a description of the new feature in the release notes:

• https://ninjatrader.com/support/help...ease_notes.htm

Please let us know if we may assist further.

[ATooZ]

Thank you for the clarification Brandon. Hope to see this feature implementation soon.

[ATooZ]

There is now a new problem I'm facing with offset values. I have set the offset values and rollover dates manually in the instruments settings for CL but those offset values (not the rollover dates) are resetting the next day back to the original server values. Could you pls guide me as to why this might be happening?

[NinjaTrader_BrandonH]

Hello ATooZ,

Thanks for your note.

Trading hours templates and instrument definitions are maintained on our Information servers. The instruments defined in our database (on our server) update automatically, so if you want custom instrument definitions, you could consider making custom instruments.

You could also change the rollover date to avoid using the server offset. From the Notes section of the help guide page linked below: "If you inputted your own Offset value, it will be overwritten by values downloaded from the data server if it exists there. To prevent this you will need to ensure that your rollover date is not the same as the ones coming from the data server."

See the help guide documentation below for more information.

Editing Instruments: https://ninjatrader.com/support/help...tMonthsSection

Let us know if we may assist further.

[ATooZ]

See the help guide documentation below for more information.

Editing Instruments: https://ninjatrader.com/support/help...tMonthsSection

.

When I first read this document it is written that

Offsets are only downloaded when the "Offset" field is left blank and the rollover date matches the date defined on the server.

which I I thought that if both of those conditions are present then and only then Offset value is downloaded. Now if I understand correctly, what it actually means is that if any of those conditions is true then even if I manually set the offset value that value will be overwritten with the server side value, am I right?

So if I want to have a manual offset value then I need to enter a different rollover date for that contract, correct?

And as always thank you for the prompt reply

[NinjaTrader_BrandonH]

Hello ATooZ,

Thanks for your note.

Yes, that is correct. If you inputted your own Offset value, it will be overwritten by values downloaded from the data server if it exists there. To prevent this you will need to ensure that your rollover date is not the same as the ones coming from the data server.

Let us know if we may assist further.