If you wish to use 3/18 as the rollover date that is not a problem either. Please follow these steps to use 3/18 instead of 3/21.
1. Ensure you have either daily or minute data for both CL 04-11 and CL 05-11 around the rollover date of 3/18. You can check this in the Historical Data Manager
2. If you have this, disconnect from CQG (or any data provider). If not, download some data for both of them. This data will be used to automatically calculate an offset for the rollover
3. Tools>Instrument Manager
4. Search for CL
5. Edit the CL futures instrument and go to the Misc tab
6. Scroll to the bottom to bring up the Contract Months
7. Find 05-11 and change the rollover date to 3/18/2011 instead of 3/21/2011 (leave offset blank)
8. Reconnect to data provider
9. Ensure your Tools>Options>Data has “MergeBackAdjusted” selected
10. Open a CL 05-11 chart. It will be a chart with 3/18 as the rollover now. If you want you can even go back to the Instrument Manager to check the offset being applied to the old 04-11 data.
Thanks Ray (I assume) for spelling out the steps. I hadn't thought through how the offset was being defined (though I always use MergeNonBackAdj).
While your listening , something that would be very useful in this regard would be for NinjaTrader to document/disclose the rollover rules/algorithms that are being used to define the rollover days for each futures contract. This could just be a document at the NinjaTrader forum. I know we can just look up the date in the instrument manager but it would make my life much easier if I knew when the algorithmically derived rollover date was.
I go through this rollover adjustment every month with CL and NG and every other month with the metals and grains even every third month with the equity indexes. Even the old tried and true "two Thursdays before the third Friday every March,June,Sep,Dec" for the equity indexes is no longer accurate. My volume analysis shows the actual volume rollover is usually the next day (friday).
I have requested these rollover rules/algorithms from NinjaTrader support but as usual it has fallen of deaf ears. Thought I might try one more time here.
I have been using CQG with Ninja this week and noticed a couple of points
1. The "Connected-CQG" notification sometimes goes orange towards the end of the day, although the "Connected-IQFeed" stays green.. Just tried to disconnect and reconnect and I get a red "Connection Lost-CQG" Anyone else noticed this?
2. I can load a ^TICK chart but it is not updating through either CQG or IQ Feed. If i Reload Historical data and it will refresh but is then static.. Any ideas
3. Not sure if this is specific to CQG but if i load any periodicity other than minutes the chart spreads the bars out into equal time periods ie 5 minutes leaving gaps between some of the bars. Any help gratefully received.
Just a guess but it might have something to do with a feature Ninjatrader calls "Equidistant bar spacing". You could go to Chart Properties and try playing with the "Equidistant bar spacing" property. Though my thinking is/was that the Equidistant thing would not have any effect unless you have multiple data series of different lengths applied to the chart. Is it possible you might somehow have a hidden 5 minute data series applied to the chart?
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Well done Sam. Chart>Properties>Equidistant Bar Spacing was set to false, changed it to true and equal spaced range/renko etc charts now work. I hadn't even noticed there was an Equidistant Bar Spacing setting
ZZZTrader, I'm not sure what you are getting at. As far as I know the only thing Ninja/CQG offers that Ninja/Zenfire doesn't are some of the equity based indexes such as Adv, Dec, Tick type stuff. I would say if that is all you use from Kinetick then it probably is worth switching to Ninja/CQG assuming all other things are equal (a big if).
A personal bias, I think paying for data is fundamentally wrong. The exchanges should be encouraging us to do business with them (trade on their exchange). Paying for quote data would be like walking into a Walmart and having to buy a price list.
I'm waiting for one of the CQG/Ninja brokers to start offering Brent ICE before I make the jump to CQG.
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