Chart/Data issue

[reynoldsn]

I'm trying to get get market replay to cover more than one month of data and I've run into a peculiar chart problem.

Consider 2 continuous CL contracts, CL 03-24 and CL 04-24.

I connect to market replay and set the dates to 2/5/2024 through 2/6/2024.
But depending on which contract I select for the chart, the Feb 4 data that gets drawn is 30 ticks different from the other contract.
Please see the attachments.

On the March screen-shot, the top on the left corresponds to approx 73.00
But for the same time period on the April screenshot, that same top corresponds to 72.70.

I've tried right-click, reload data but it doesn't help.
It's so curious because the bars themselves look almost identical. Just the prices on the y-axis are about 30 ticks different on each screen-shot.

What could this be?

[NinjaTrader_Erick]

Hello reynoldsn ,

Thank you for reaching out.

You likely have your Global Merge Policy set to "Merge back adjusted". NinjaTrader would then use the offset value and adjust all historical data for the 04-24 contract by this value.

The 03-24 are technically different contracts with different values from the 04-24 so differences in prices is expected.

To modify whether old contracts are merged with back-adjustments or not, please click on Tools > Options > Market data, and change the "Global merge policy" to either "Do not merge" (this would remove the CL 03-24 data from the CL 04-24 chart), or "Merge non-back adjusted".

More information regarding this setting may also be found in our Help Guide:

https://ninjatrader.com/support/help...rge_policy.htm

Once you apply your change, Right Click on the Chart and Reload all Historical data.

Let us know if we may be of further assistance.

[reynoldsn]

Ok, that is definitely making sense,

Here is my understanding of how playback works - let me know if I'm missing something.

Say I want to backtest 2 continuous CL contracts Mar24 and Apr24.

Look at Tools/Instruments/Select CL and click into Contract Months.
Then select Mar24, rollover is 1/17
Select Apr24 and rollover is 2/15

Then open an Apr24 CL chart.

Connect to market replay and select dates 1/17/24 through 3/14/24 (run 2 months)

And make sure to set Merge non-back adjusted

What I was thinking would happen is due to NT's contract month schedule, the Mar24 contract will get used from 1/17 through 2/14 and then switch to CL Apr24 on 2/15.

Do I understand correctly?