Gap on NQ due to expiry week?

[jaybedreamin]

Hi there,

I have an automated strategy that is partially based on futures gapping up or down. I noticed that today, NinjaTrader shows there being a gap on NQ in both the June contract as well as the September contract. Why does this happen? ThinkOrSwim shows no gap.

I'm assuming this is directly related to it being expiration week, but I have "Merge back adjusted" turned on in Settings and thought the purpose of that was to reconcile the 2 contracts such that there isn't any gap, unless price actually gaps up or down.

What am I missing here?

[NinjaTrader_ChristopherJ]

Hello jaybedreamin,

Thank you for posting.

Please reset your instruments and Trading hour templates with the steps below.

• First, disconnect from any data providers by navigating to the Control Center > Connections menu, and left-click on "disconnect" that appears to the right when hovering your mouse over any active connection
• Next, reset your instruments by navigating to the Control Center > Tools > Database Management
• In the Database Management window, under the "Update instruments" section, ensure that "General properties", "Futures expiries" and "Symbol mappings" options are checked and then click Update
• In the Database Management window, under the "Update trading hour templates" section, ensure that "Predefined trading hours templates" is checked and then click Update
• Lastly, restart NinjaTrader for the changes to occur

Please let me know if the issue persists after this procedure.

[jaybedreamin]

Thanks for quick response, Chris.

I followed your outlined steps and I'm still seeing gap on the September expiry NQ chart, also attached my database management settings as well.

I restarted NT twice and still see the gap

[NinjaTrader_ChristopherJ]

Please go to Tools->Options->Market data->Confirm "Merge back adjusted" is selected from the Merge policy drop down->Click Ok.

Next go to Tools->Instruments->Select NQ->Click edit->Confirm "Merge back adjusted" is selected from the Merge policy drop down->Click Ok.

Lastly, right click in your chart and select "Reload All Historical Data".

[jaybedreamin]

Noticed something interesting.

- If I load the Data Series with "Use Instrument Settings" for the trading hours template, the chart loads fine with no gap
- If I load the data series with a different trading hours template(such as US Equities RTH), which the strategy requires, the chart shows a gap.

I updated the trading hours template multiple times in Database Management, could anything else be the issue?

[jaybedreamin]

Please go to Tools->Options->Market data->Confirm "Merge back adjusted" is selected from the Merge policy drop down->Click Ok.

Next go to Tools->Instruments->Select NQ->Click edit->Confirm "Merge back adjusted" is selected from the Merge policy drop down->Click Ok.

Can confirm both of these ^^

[NinjaTrader_ChristopherJ]

When using the Trading hours template "US Equities RTH" this will only plot data within the chart from 9:30 AM-4:00 PM EST and does not include data outside of these hours therefore you will see gaps within the chart with this template applied.

[jaybedreamin]

So how is ThinkOrSwim able to render the NQ chart like this? Left is Friday's price action, right is today's with the green dotted line delineating the contract rollover. I was under the impression that NT8 charts would operate the same way with the correct settings applied.

[NinjaTrader_ChristopherJ]

Unfortunately, I am not familiar with Think or Swim's charting and how their data is merged. Within NinjaTrader data will plot based off the times used for Trading hours template applied and the price at which the bar was printed for that time stamp.