This is no bug. If your NT 7 is set to MergePolicy "MergeBackAdjusted", it will automatically merge the data of CL 06-10 into your contract CL 07-10. The switch between contracts occurs on the close of the session prior to rollover date. The default rollover settings for CL 07-10 are May 19, so for May 18, if you load CL 07-10, CL 06-10 will be displayed instead with the offset as found under instrument settings.
This is what you need to do: Determine volume cross over. Volume switched today, so you will want to enter May 18 as the new rollover date. Make sure that the right offset is applied to CL 07-10 (offset is 3.28, difference between yesterday's close for CL 07-10 and CL 06-10, offset is positive for contango).
Once you entered May 18 as rollover date with an offset of 3.28 under instrument settings, everything should be displayed correctly, and also there should be no gap at the session close of May 17.
You may try to convince the NT guys that they change their default settings for rollover of CL, but I am already fighting with them over settings for GC and HG, so somebody else should take the lead of this fight, please.
Last edited by Fat Tails; May 19th, 2010 at 06:33 AM.
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If NT merge policy is set to "MergeBackAdjusted", the contracts will be automatically merged as specified under instrument settings. The most liquid futures contracts have default settings for rollover dates. However, for some of the instruments the default settings are not appropriate, so you would need to check them, before you put on any trade. There is another thread on rollover dates in this forum.
NT7 does not roll any positions. You have to do it. For some contracts there are known rollover dates (index, interest and currency futures, metals), for other contracts rollover depends on volume and/or open interest, which means that you will look for volume or open interest crossover to roll. These contracts include crude oil and agriculturals. You definitely will not want to trade until the expiry date. For some contracts the first notice date is weeks before the expiry, and you will make sure not to be assigned for physical delivery, LOL. Also for some contracts like CL volatility is extremely high during the last few days, which is related to physical arbitrage restraints.
Before touching any contract, you need to do your homework. Most of the relevant information can be found on the website of the exchange, where the contract is traded.