Find price difference between front and back month futures, and backtest successfully

[PhillyCheese]

Hi there! In my strategy, I want to calculate the difference between the front and back month future for a particular instrument. For example, the price difference between GC Aug-24 and GC Dec-24.

I've managed to add the back month contract as a secondary data series in OnStateChange().

   AddDataSeries("GC DEC24", Data.BarsPeriodType.Minute, 240, Data.MarketDataType.Last);
​

I've also got it working dynamically as such, but I've read that this may not be the recommended approach.

  AddDataSeries($"{base_symbol} {next_expiry.ToString("MM-yy")}", BarsPeriodType.Minute, 240);

In playback, I've successfully had both approaches fetch the back month price and appropriately calculate the difference. However, I can't seem to get this working in backtests through the Strategy Analyzer, where the difference between the front and back month is always 0.

Am I missing something in my settings, or is there another recommended approach here?

Any guidance would be much appreciated.

[NinjaTrader_ChelseaB]

Hello PhillyCheese,

Welcome the NinjaTrader forums!

Unfortunately, dynamically adding series by using variables in AddDataSeries() or putting this in a branching command is not supported.

From the help guide:
"Arguments supplied to AddDataSeries() should be hardcoded and NOT dependent on run-time variables which cannot be reliably obtained during State.Configure (e.g., Instrument, Bars, or user input). Attempting to add a data series dynamically is NOT guaranteed and therefore should be avoided. Trying to load bars dynamically may result in an error similar to: Unable to load bars series. Your NinjaScript may be trying to use an additional data series dynamically in an unsupported manner."

https://ninjatrader.com/support/helpGuides/nt8/adddataseries.htm

These values will have to be hardcoded.

Further, you will likely need to use the DoNotMerge merge policy.

https://ninjatrader.com/support/helpGuides/nt8/merge_policy.htm

https://ninjatrader.com/support/forum/forum/ninjatrader-7/strategy-development-aa/96311-backtesting-choosing-contract-month?p=782986#post782986