Merging Futures Contracts / Merging Policy

[kaywai]

Hi,

I have about 5 years of Nifty 50 monthly futures contracts. The futures expire on the last Thursday of every month and Rollover begins on the previous Thursday. I'm trying to merge the contracts so that I can have something continuous but am having difficulty achieving the desired result.

With a Do Not Merge policy, I am able to get about a month or two of daily data (see attached).

With a Merge Back Adjust Policy, I only get the last few trading days of what I assume is the each month's contract. So for the July 2024 contract, I see no data on the chart but from June 2024 to July 2023, I get about 4 or 5 days of data which is towards the end of the month. The first 3 weeks of data has disappeared (see attached)

I get a similar result with Merge non back adjust policy and with Use Global Settings policy (see attached).

How do I fix this?

Regards

Kay Wai

[kaywai]

Hi,

I've resolved this issue. It was due to NT8's definition of rollover date.

But a new issue has cropped up.

My June 2024 contract appears to populate correctly (at least I'm getting a decent amount of candlesticks per month) but the July 2024 contract is giving me issues. It is able to populate the charts for July data but once we go back to June and beyond, it goes back to 5 candlesticks per month. I am unable to find the issue. Anyone have any ideas? I've attached the charts for June and July 2024 so that you can see what I'm saying.

Regards

Kay Wai

[kaywai]

Hi,

Can i please get some support here?

Regards

Kay Wai

[kaywai]

Hi,

Can anybody from the support team help? It's been almost a week since I asked for assistance.

Regards

Kay Wai