Back adjusted Futures data

[neoikon]

Hello I'm trying to get my data to match what I see on TradingView when I use the continuous contract. If I use the continuous contract, it seems to "roll over" sooner than I expect giving me unexpected data.

If I look at the Low on 3/13 on the 03-23 contract versus the 06-23 contract, I am wanting the 03-23 contract data and NOT the 06-23 contract data. Maybe this is where the "offset" comes into play?

I see that the Rollover is ON 3/13. https://www.cmegroup.com/trading/equ...rolldates.html

I've gone to the instrument and changed the rollover date for 03-23 contract to be a couple days later (3/15), but nothing changes on the chart.

I've gone to Tools, Options, Market Data, and I change the Global Merge Policy, but no matter the setting, nothing seems to change. I go to my chart and reload all historical data. No change.

What am I doing wrong? Thank you!

[NinjaTrader_ChrisL]

Hello, thanks for writing in. If you load the contract from the exact month you are looking at on the chart the merge offset will not be applied. If you load an ES 03-23 chart and you look at any time between 12/12/2022 and 03/13/2023 there should be no offset applied to this data. Compare data in this time frame to an ES 06-23 chart to see if they are different. For the TradingView data, I am not able to test this but they could be doing any number of things differently that would effect the data you are viewing on their platform.

[neoikon]

Thank you for the reply. Yes, if I look at data from 03-23 versus 06-23 the data is different. When I do the continuous contract ("##-##"), it is showing the price from the 06-23 contract on that date (3/13/23) and I want it to show the price from the previous, 03-23 contract. For the rollover to happen on the close of 3/13 instead of the open. So, the 06-23 contract actually starts on 3/14.

As I mentioned, the Global Merge Policy doesn't seem to do anything regarding the continuous contract. I also adjusted the rollover date for 03-23 to be a couple days in the future (so it would consider 3/13 as part of the 03-23 contract), but still no change. What the "Offset" actually does, is unclear as well.

Long story short, when the continuous contract "rolls over" to the next contract, I want it to include the rollover date's data (for that day), instead of switching to the next contract.

[NinjaTrader_ChrisL]

Hi, the Offset adjusts the previous months data to be higher / lower, depending on the gap on the transition day. The only other option here is to set the Merge Policy under Tools>Options>Market Data> set to "Do Not Merge". Test the continuous contract with this configuration.

[neoikon]

I can't find much that actually affects the continuous contract. If I put it on "Do not merge", then I reload all historical data, it doesn't seem any different.


However, I think I figured it out. If I set the Merge Policy to "Merge non back adjusted", then edit the instrument's 06-23's rollover date to be a couple days later, then I get what I want on the 06-23 chart.

This still doesn't seem to affect the continuous contract (##-##), unfortunately. Which means I'll have to do this for every rollover going forward, unfortunately.