Crude Oil Futures Data Do Not Tally

[Al Recites]

I am comparing the weekly CL continuous data. The price dropped to negative levels during the Covid correction in 2020. I see that in Bloomberg and TradingView, but not in NinjaTrader. How do I rectify that?

[NinjaTrader_Clayton]

Hello Al Recites,

Thank you for writing in.

Please remember that the NinjaTrader Platform has no control over the data that is being provided for a Continuous Contract.

• The Broker or Market Data Provider you are connecting to puts the Continuous Contract together and sends that as an instrument through the Market Data connection and NinjaTrader just plots the values as they are shown.
• If your Market Data Provider has chosen to make the Continuous Contract without the Negative Values that happened on April 20, 2020, then that is how it is.
• There are some market data providers that do not provide Continuous contracts in the first place. If you put something like CL ##-## and nothing loads in, the connection doesn't provide Continuous Contracts.

If you change your NinjaTrader Platform's Merge Policy to either "Do not merge" or "Merge Non Back adjusted" and then look at the CL 05-20 contract on April 20, 2020, then you will see the Negative Values as they occurred.

• Go to the Control Center > Tools > Options > Categories > Market Data > Properties > Historical Data > Merge Policy > Change as desired.
  • Please see the following link for more information on the Global Merge Policy:
    • https://ninjatrader.com/support/help...rge_policy.htm

In my screenshot below, I have set the Merge Policy to "Do not merge" and specified the CL 05-20 contract and went back to April 20, 2020:

[Al Recites]

Hello Clayton, I am using Kinetick, which is owned by NT.

How does NT construct the continuous data? Using the expiring contract or the most liquid? The CL 5-20 contract low would be captured in the continuous if it was the former. My merge policy is already set to "Do not merge" or "Merge Non Back adjusted". Is there a way to switch the continuous data to between expiring and most liquid contract?

Also, I can only go to the weekly timeframe for the 5-20 contract, not daily or lower,. I am using the real time streaming data service.

[NinjaTrader_Clayton]

Hello Al Recites,

Thank you for the message.

Unfortunately, the NinjaTrader Platform support team does not have any documentation on how Kinetick builds their Continuous Bars specifically.

You would need to speak with the Kinetick team directly for more information on how the Continuous Bars are built.
Please write into Platform Support directly and send me an email so I can forward it over to the Kinetick team for you.

• Send an email to PlatformSupport[AT]NinjaTrader[DOT]com
  • With the respective @ and .
• For the subject, put "Clayton ATTN 3533194"
• Please feel free to include any additional questions you have for Kinetick and send the email.
• Once We have received it, I will confirm to let you know we got it and then we will send it to the appropriate team to provide further information.

I removed all of the Historical Data from my platform and then reopend NinjaTrader, connected to Kinetick and was able to load in a 5 Minute chart of the CL 05-20 contract.

• My Merge Policy is at "Do not merge" for this screenshot
• Please create a new chart with all of the settings in my screenshot below and see if it loads.
• If it doesn't load, right-click on the background and select "Reload all historical data" and wait. Does it load in?