ES ##-## vs ES 12-22 gap...

[timko]

This is now 4:20pm 13/Dec and I know ES 12-22 will end on 16th.
Just noticed that ES 12-22 is ticking on 4021 while ES ##-## is 4053. (Kinetick realtime)

I am puzzled by such a wide gap. Could anyone give me a hint? Thanks in advance!

[NinjaTrader_Clayton]

Hello timko,

Thank you for writing in.

By using the ##-##, you are denoting a "Continuous Contract" which is being provided by the market data provider as is.

If we load in both the ES 12-22 and the ES 03-23, we can see that the real-time price of the ES ##-## is lining up with the ES 03-23.

• This would imply that the market data provider has already rolled its continuous contract over to start using the ES 03-23 contract's price.

When the Platform's Merge Policy is set to "Merge Back Adjusted" or "Merge Non Back Adjusted":

• The NinjaTrader platform will use the "Current" contract for the Historical Data on the chart, while it uses the specified contract for the Real Time Market Data.
• So, if you look at the next contract/expiry before officially rolling the NinjaTrader platform over to that new contract, it would be using the ES 12-22 contract for the Historical Data while using the ES 03-22 Contract for the Real time data
  • This is what causes the really long bar to form as the 03-22 contract is trading at a different price than the 12-22 contract so it makes the jump from the Historical data to the Real time data.
  • Please see the following link for more information on the Merge Policies:
    • https://ninjatrader.com/support/help...rge_policy.htm

Something to remember is that the ES 12-22 and ES 03-22 while based on the same underlying commodity, they are separately traded contracts.

Technically the ES 12-22, ES 03-23, and ES 06-23 are all active contracts and it is possible to place trades to any of them.

• So, it is absolutely up to you when you want to start placing trades on which contract.

Within the NinjaTrader platform, the "Rollover Date" is chosen by when the majority of traders rolled over to the next contract the prior year. It isnotthe last day that the instrument is able to be traded before it expires.

• Please see the publicly available Trade Desk Calander for more information on the Rollover and Contract Dates:
  • https://ninjatrader.com/blog/trade-desk-calendar/

Please let us know if we may provide any further assistance.