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DX Rollover Day?
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DX Rollover Day?

  #21 (permalink)
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  #22 (permalink)
Market Wizard
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Calculating the Offset at rollover time... Simple, isn't it? Well not so sure ;-)

Thanks for the precision,

However, i'd like to validate the correct Offset for the ES. The image posted in my previous comment was referring to the Offset of the ES and is equal to -5.5. When i checked on the CME web site for the day prior to the rollover, i.e., Wednesday, March 07 2012 i get a slightly bigger Offset equal to -5.75 (see attached picture). What is the correct value according to you and should i edit it or will it always be overwritten by Ninja?

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Fat Tails View Post
If you select the preset rollover date, NinjaTrader will load the offset directly from their servers. I you change the preset rollover date, then NinjaTrader will calculate the offset from your daily data. If you do not have daily data, NinjaTrader may calculate the offset from intraday data. But if you do not have daily data, it is essentially your fault.

I do not trust in any preset rollover dates. Usually NinjaTrader has false rollover dates and you should check them every time. Only exception are index futures.

Once you have checked rollover dates, you need to delete the offset (EMTPY FIELD) to make sure that they are correctly repopulated by NinjaTrader.

A visual check for a rollover date will never help. What you can do is

-> determine the rollover date based on your preferences (volume crossover, open interest crossover, a combination thereof, etc.)
-> then write down the settlement price for the old contract month on the day prior to rollover date
-> then write down the settlement price for the new contract month on the day prior to rollover date

Now subtract the settlement price of the old contract from the settlement price of the new contract. This is the offset used to backadjust the old contract starting from rollover date. Simple, isn't it?


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  #23 (permalink)
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trendisyourfriend View Post
Thanks for the precision,

However, i'd like to validate the correct Offset for the ES. The image posted in my previous comment was referring to the Offset of the ES and is equal to -5.5. When i checked on the CME web site for the day prior to the rollover, i.e., Wednesday, March 07 2012 i get a slightly bigger Offset equal to -5.75 (see attached picture). What is the correct value according to you and should i edit it or will it always be overwritten by Ninja?

Questions like this are not easy to answer. The offset depends on

-> the choice of the rollover date
-> the method used to calculate the offset

For example NinjaTrader 6.5 compared the close of the old contract on the day prior to rollover date to the open of the new contract on rollover day. This was obviously a nonsense method, as whatever you chose to do, you should compare transactions of old and new contracts with the same time stamp.

Starting from here, there are not so many ways for ES to calculate an offset. Everybody agrees on the rollover date, as the official rollover date is matched by volume crossover date. Then there are two ways of calculating the offset. Either you calculate the offset as the difference of the settlement prices, or you calculate it as the difference of the last traded price.

If I look at Wednesday's settlement prices, I get an offset of -5.75. The last price shwon on the CME website should not be used, as the last price for the June contract is a bid and not an actual transaction price. What could be used is the actual comparison of the last traded price (1353.00 for the March contract and 1347.50 for the June contract). This would lead to an offset of -5.50

For ES NinjaTrader has stored those values on their server, and they are downloaded directly from their servers, if you do not change the rollover date. They have somehow decided that the correct offset is - 5.50, you may ask them, why and how they found this values. If you do not like it, you can simply overwrite it with your own value. NinjaTrader will only write values to empty fields, so if the field is already filled, it is not touched.

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  #24 (permalink)
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How do you get the correct Last price for the day prior to the rollover if the chart uses the June contract. The close of this prior day will be affected by the offset. See my numbers. Can't be more confusing indeed - LOL

[EDIT] ok i went directly to the database using the Historical Data Manager and i have the same numbers as yours. So Ninja takes the closing or last price apparently.

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Fat Tails View Post
...If I look at Wednesday's settlement prices, I get an offset of -5.75. The last price shwon on the CME website should not be used, as the last price for the June contract is a bid and not an actual transaction price. What could be used is the actual comparison of the last traded price (1353.00 for the March contract and 1347.50 for the June contract). This would lead to an offset of -5.50
...



Last edited by trendisyourfriend; March 10th, 2012 at 11:03 AM.
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  #25 (permalink)
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Wow!

OK guys, never expected it to be so complex a question.
I believe Fat Tails has the best answer. One thing I know for sure, DX rollover day was definitely not during this past week. One look at the charts can tell you that. The folks at Ninjatrader also told me it's during this coming week, most likely this Thursday from what I can gather. BTW, I don't trade the DX, I use it solely as an indicator. At least 95% of the time, it goes one way and the ES and TF go the other way.
Thanks to everyone for all your input!

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  #26 (permalink)
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DX rollover was on 20120309.
Atleast in NT.

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  #27 (permalink)
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scratched , they have it wrong too I guess

I think a lot of places don't realize about holiday change

guess they will find out ....

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  #28 (permalink)
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baruchs View Post
DX rollover was on 20120309.
Atleast in NT.

@baruchs: Do you believe in Father Christmas?

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  #29 (permalink)
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Sorry, did not get the joke.

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  #30 (permalink)
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baruchs View Post
Sorry, did not get the joke.

I think @Fat Tails meant Santa Claus, and he maybe wants to say that you should not trust NT roll-over dates.

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