contract rollover of running strategy with open position

[trader3000a]

Hi,
Please see the attached picture. Please imagine there is a strategy running on the top chart (current contract) with an open short position. The short position has a stop (red line) which, if I were to roll to the next contract (bottom chart), would be hit. How do I avoid this and roll my running Strategy and open Position properly without my stop being hit due to the fake gap? I am using iqFeed as my data source for the continuous contract.
thanks,
David

[backtester831]

Hi,
Please see the attached picture. Please imagine there is a strategy running on the top chart (current contract) with an open short position. The short position has a stop (red line) which, if I were to roll to the next contract (bottom chart), would be hit. How do I avoid this and roll my running Strategy and open Position properly without my stop being hit due to the fake gap? I am using iqFeed as my data source for the continuous contract.
thanks,
David

You have to close out the position and open a new position, that's how roll over works in the real market. If you don't close the position and it goes to expiration, then the broker will close it for you on the expiration date at whatever the final price is, but they don't automatically roll over into a new contract.

[NinjaTrader_ChristopherJ]

Hello trader3000a,

Thank you for posting.

Correct since these are separately traded instruments prior to rolling over you would want to close your position in the June contract then once flat rollover to the September contract as the position and orders associated would not rollover.

Let me know if I may be of further assistance.

[trader3000a]

Hi,
Yes, I'm aware the position must be closed on the June and opened on the September contract.
The question is regarding the active strategy's ongoing integrity and the method by which that integrity is maintained through the rollover process. The discrepancy between the continous contract and the forward month is the focal point of my question.

In Multicharts, for instance, with the strategy running, I can switch the backadjusted continuous contract feed to the raw June feed from iqFeed. I then create a second chart using the continuous contract mapped to the September contract and wait for iqfeed to "roll" and stitch the gap together. I can then attach the same strategy to the new chart, roll my position, and enable/synch the strategy.

I don't know how to accomplish this in NT.
thanks,
David
​

[NinjaTrader_ChristopherJ]

If you would like to view the data for that specific expiry without merging prior to rollover you can change the merge policy to "Do no merge" by going to Tools->Options->Market data->Merge policy.

Once this has been changed right click in your September chart and select "Reload All Historical Data".

Let me know if I may be of further assistance.

[trader3000a]

Hi,
I don't think we're on the same page. I have "merge backadjusted" checked. The data is not merged on the September contract, as you can see in the picture in the original post.

I'm asking for the correct procedure to move a strategy and roll a position from the old to the new contract while maintaining the strategy's historical integrity and avoiding the false signals/exits that will occur as a result of the difference between the continuous contract and the september contract.

thanks,
David

[NinjaTrader_ChristopherJ]

The MES doesn't rollover in NinjaTrader to the September contract until 6/17 therefore when selecting this contract prior to rollover you will see this gap in data based on the historical data for the June contract and the first real time tick from the September contract.

If you would like to rollover before this date, you can manually adjust any contract rollover date using the following steps:

• Go to the Control Center > Tools > Instruments window
• Search for and double-click on the Instrument you wish to modify to pull up its Properties window (or highlight it and select edit at the bottom of the window)
• Scroll down and select 'Edit Rollovers' next to the Contract Months setting
• Select the '09-24' contract from the 'Configured' list on the left, and then change its 'Rollover Date' to any day prior to today on the right. Click 'OK' to apply.
• Close this window. Go to the Tools > Database Management Window and click "Rollover". Click OK to close this window once the process is complete.
• Right-click on your Chart and select 'Reload Historical Data' for the changes to take effect.

Let me know if I may be of further assistance.

[trader3000a]

There it is. Perfect.
Do you know what time on the rollover date Ninjatrader performs the merge?
thanks,

David

[NinjaTrader_ChristopherJ]

Data for the June contract would be merged at the open at 5:00 PM CST on June 15th for the 16th session for the September contract.