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Dumb Question: Gap in chart
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Created: by SammyD Attachments:0

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Dumb Question: Gap in chart

  #1 (permalink)
Learn to swim
Salt Lake City, Utah
 
Futures Experience: Intermediate
Platform: NinjaTrader, Tradestation
Favorite Futures: Forex
 
Posts: 72 since Feb 2011
Thanks: 274 given, 36 received

Dumb Question: Gap in chart

Hi All,
I'm sure this is a dumb question but I haven't used NinjaTrader for quite awhile and especially not since they implemented the rollover feature. I am trying to pull up a continuous gold contract using a CQG feed but there is a gap from the end of August to the end of September. I tried reloading historical data but to no avail. Am I missing something obvious here? Thanks in advance.

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  #2 (permalink)
Elite Member
Chicago, IL
 
Futures Experience: Beginner
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zcui's Avatar
 
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Try go to instrument manager, search GC 09-12, click "edit", then "Misc", go to bottom line "Contract Months", click on it and you will see "..." appears, click it and change the rollover date to a few days earlier.

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  #3 (permalink)
Learn to swim
Salt Lake City, Utah
 
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Thanks! When I go in to edit the contract(misc tab, contract months), there are no months defined between August and December. I'm just starting to look at gold so maybe I need to review the contracts and rollovers on the CME website but this seems strange to me.

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  #4 (permalink)
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SammyD View Post
Thanks! When I go in to edit the contract(misc tab, contract months), there are no months defined between August and December. I'm just starting to look at gold so maybe I need to review the contracts and rollovers on the CME website but this seems strange to me.


@SammyD: This is not strange. For each commodity there are only some months that are liquid. For gold these are the months below (I have added the rollover dates that you can use for each contract under instrument settings)

- February (11/29/2011)
- April (1/30/2012)
- June (3/29/2012)
- August (5/30/2012)
- December (7/28/2012)
- February (11/29/2012)


You do not want to roll to the illiquid contract October, so NinjaTrader is absolutely correct.

The rolldate for the april contract is in a few days. Best go to the CME website, search for first notice day (January 31) and roll a working day earlier (January 30).

To show a correct continuous chart, you need to select the correct rollover dates, and of course you would need to set Tools -> Options -> Data -> Merge Policy to "MergeBackAjdusted".

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  #5 (permalink)
Learn to swim
Salt Lake City, Utah
 
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Posts: 72 since Feb 2011
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Thank you very much. This is what I feared; I didn't do my homework and therefore, a dumb question. Thanks again

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  #6 (permalink)
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SammyD View Post
Thank you very much. This is what I feared; I didn't do my homework and therefore, a dumb question. Thanks again

There are no dumb questions. Sometimes it is faster and easier to ask a question here than to spend hours to find the answer alone. And even if you have found an answer yourself, it is not obvious that the answer is correct. I had the same trouble with the rollover dates for gold some time ago.

In fact NinjaTrader originally had included October with the contract months and I had finally convinced them to remove it, because it is illiquid. Gold is a peculiar futures contract, where the price is not linked to physical supply but to interest rates, so unlike other physical commodities there is no need to have many different contract months. But I do not understand why October is illiquid and why February and April are liquid. In my opinion it would be good enough to have just two contract months.....

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