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Intersections in the Downloaded tick data

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    Intersections in the Downloaded tick data

    Dear support,

    I am working with tick data that have I downloaded from Ninja Trader,

    I noticed that the MNQ MAR23.Last.txt and MNQ JUN23.Last.txt data intersect by the Dates, and at the same time it has huge (noticable) difference in price value.

    My goal is - merge these data files into one file and my assumption was that - these 2 files atleast will have same data (so I could remove the duplicates at intersections)

    My questoins are
    - why that happeneds - or what have I done wrong or what I do not understand about these downloaded files?
    - how should I merge these files?
    - why two prices difference so noticable?

    Many thanks!

    Click image for larger version

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    #2
    Hello ishmalex,

    Thank you for your post.

    This is expected as these data files are specific to the contract month. Each contract month trades as separate instruments and the data is recorded as such

    The data is then merged together in your charts based on the Global Merge Policy set within your platform under Tools > Options > Market Data > Global Merge Policy.

    Below I have included more information on the Global Merge Policies:For your second question, there is no native way to merge the files together directly as the platform does this based on the Merge Policy mentioned above.

    For your third question, this is also because the two contract months trade separately from each other.
    Spencer F.NinjaTrader Customer Service

    Comment


      #3
      Hi Specer, Many thanks for your clarificatins and share link.

      I am trying to be more technical here, so I will ask additional question.


      According to the Global Merge Policy the MergeBackAdjusted policy:

      Selecting this option, the 03-15 data will be merged with the 06-15 data on the date of rollover (March 12th, 2015) and an Offset value will be used to connect the previous 03-15 contract price point with the first 06-15 contract point.
      .

      Do i understood it right that, if I want to merger two ticks files MNQ 03 23 and MNQ 06 23, I should follow these steps:

      1. Find the Offset value (CC->Instruments->[Find MNQ]->Contract Month->JUN-23:

      Click image for larger version

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      ​2. Adjust all available data in the MNQ-03-23 before Rollover date 03/13/2023 by 'adding 122.25' to Ask Bid Last
      3. Merge files by date.


      Please let me know if I understodd it correctly.

      Many thanks,
      Alexei



      Comment


        #4
        Hello ishmalex,

        Thank you for your post.

        You should not need to adjust the Offset manually. This value is used to connect the last value of a contract month to the next to create one continuous-looking chart.

        Typically this value is downloaded from our servers, however, if there is not one it will be calculated locally by the platform automatically.

        For more information on the Offset value you may checkout the link under the 'Understanding the Contract months section' ​below:
        Spencer F.NinjaTrader Customer Service

        Comment


          #5
          Thank you Spencer,

          My original goal was to have one big file that contains MNQ tick information, that will be used for my research in other tools (not using the NT)

          1. If you take a look at my original screenshot at the start of that topic - I do not understand why there is such a huge price difference.
          2. And you told me about the rollover dates and the Offset.
          3. Now I am trying to understand how should I apply that knowledge to my situation.

          So when I will merge my MNQ 03 23 and MNQ 06 23 files in my python script, how should I use the Offset information to get the final data that I can use in my research?​

          Many thanks for you help,
          Alexei

          Comment


            #6
            Hello ishmalex,

            Thank you for your post.

            The offset value will only affect the data when loading into a NinjaTrader chart.

            The data files themselves are not changed directly.

            For number 1 the price difference is due to the 03-23 contract and 06-23 trading separately. Each futures contract is technically separate from each other and trades independently and can result in different prices.

            For reference here is a screenshot of the two contracts at the same time: Screenshot

            For number 2 the roll date is the suspected day the volume will shift to the next contract.

            For number 3 it would depend on how you would want to accomplish this which is outside our realm of support.

            If you wish to use the offset value when splicing two data files together, how it is utilized with a NinjaTrader chart is it's added to the first value of the new contract on the rollover date.


            Spencer F.NinjaTrader Customer Service

            Comment

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