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NinjaTrader - Market Replay - Rollover / Volume Rollover
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NinjaTrader - Market Replay - Rollover / Volume Rollover

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Orlando FL
 
Futures Experience: Beginner
Platform: NinjaTrader
Favorite Futures: ES 6E
 
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Posts: 21 since Jul 2011
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NinjaTrader - Market Replay - Rollover / Volume Rollover

Hi All,

I've been working on learning what I will have to do in order to conduct a true-to-life longer time frame "manual backtest" (essentially disciplined simming and manually keeping track of my statistics). I'm interested in any feedback that will help me get the simulator as realistic as possible. Whether your feedback is a tip or highlights that I'm making a mistake somewhere, please feel free to comment, its most appreciated since I'm still learning.

Starting Out:

I use the Market Replay Connection with the data downloaded from NinjaTrader, and I've mostly been working with the 6E.

From what I understand, the 6E is a Quarterly contract. Unlike Oil for instance which is a monthly contract (having rollover and expiration 1-12, 2-12, 3-12, ...) the 6E contract series has expiration and rollovers in 3-12, 6-12, 9-12, and 12-12.

So with this thought I've made a few notes and have some diagrams which can be found in 6E-Rollover.pdf:

NOTE 1. I understand that CME states for 6E Rollover: "the convention on the trading floor is to roll the expiring quarterly futures contract month 5 business days prior to expiration"

NOTE 2. I understand that CME states for 6E Contract Expiration: "Termination of trading for quarterly futures contracts occurs on the second business day immediately preceding the third Wednesday of the contract month."

Per CME's rules ( Figure One ) I conclude that:

Figure Two.

> The 6E December Contract [12-11] expires on December 19th 2011, and Rollover to the new March Contract [3-12] is December 12th.

Figure Three.

> The 6E March Contract [3-12] expires on March 19th 2012, and Rollover to the new June Contract [6-12] is March 12th.

Figure Four.

> The 6E June Contract [6-12] expires on June 18th 2012, and Rollover to the new September Contract [9-12] is June 11th.

Figure Five.

> The 6E September Contract [9-12] expires on September 17th 2012, and Rollover to the new December Contract [12-12] is September 10th.

Figure Six.

> The 6E December Contract [12-12] expires on December 17th 2012, and Rollover to the new March Contract [3-13] is December 10th.

Questions:

One thing that I found confusing was that NinjaTraders Rollover dates DO NOT match those I manually calculated from CME data. That is if you look at where I've placed orange stars, it seems that NinjaTrader is calculating a Rollover date as the first business day preceding the Expiration day. Do I have it right or they?

Another question is, when using Market Replay data... do I need to / how should I make sure I use the correct data for the large manual backtest? Meaning despite the fact that data may be available for Market Replay for the contract 3-12 up until the day of Expiration (3-19-2012) ---which there is, would I not have if trading in real life already switched to the new contract? And so I should ignore (not simulate with) any market replay data coming AFTER a rollover date for the expiring contract?

Lastly I was wondering about Volume Rollover. See VolumeRollover.pdf. In my research and trying to work through this, I came across a couple threads talking about this. I think all the threads were CL specific. However I was wondering if the same concept of Volume Rollover applies to other instruments such as the 6E? If that is the case it would mean that CME's rules regarding contract rollover are more "guidelines" and that to conduct an accurate manual backtest I would have to determine when the new contracts volume took over the previous ones. So does volume rollover apply to the 6E?

Thanks for any help!

Attached Thumbnails
NinjaTrader - Market Replay - Rollover / Volume Rollover-6e-rollover.pdf   NinjaTrader - Market Replay - Rollover / Volume Rollover-volumerollover.pdf  
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