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09-14 Rollover date offset value
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09-14 Rollover date offset value

  #1 (permalink)
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09-14 Rollover date offset value

My chart data seems to be off after I rolled over the the 09-14 contract. big gap down between June 11th and 12th. In the Instrument Editor for the 09-14 contract month the roll over date is 6/12/2014 and the offset value is 0. Is this correct? All the previous contract have offsets between -5 and -7 generally.

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kvnbrn View Post
My chart data seems to be off after I rolled over the the 09-14 contract. big gap down between June 11th and 12th. In the Instrument Editor for the 09-14 contract month the roll over date is 6/12/2014 and the offset value is 0. Is this correct? All the previous contract have offsets between -5 and -7 generally.

What instrument do you talk about?

What are your settings under Tools -> Options -> Data -> Merge Policy ?

You can calculate the correct offset value by checking the settlement prices for old and new contract on the day prior to rollover day (June 11). If necessary, you can enter the offset manually.

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  #3 (permalink)
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Thanks very much for replying so quickly. It is the ES contract I was asking about. The Merge Policy is set to MergeBackAdjusted. I went to the link below for the settlement prices on June 11 for both the ES 06-14 and 09-14 contracts

http://www.cmegroup.com/trading/equity-index/us-index/e-mini-sandp500_quotes_settlements_futures.html#tradeDate=06/11/2014

I then entered a value of -7.25 as the offset for the ES 09-14 contract. The big gap down between the 11th and 12th is now gone. I did notice that the ES 06-14 high was 1954.75 but now is 1948.00 when the ES 09-14 contract is selected. Is that correct? Forgive me I'm fairly new to this.

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kvnbrn View Post
Thanks very much for replying so quickly. It is the ES contract I was asking about. The Merge Policy is set to MergeBackAdjusted. I went to the link below for the settlement prices on June 11 for both the ES 06-14 and 09-14 contracts

http://www.cmegroup.com/trading/equity-index/us-index/e-mini-sandp500_quotes_settlements_futures.html#tradeDate=06/11/2014

I then entered a value of -7.25 as the offset for the ES 09-14 contract. The big gap down between the 11th and 12th is now gone. I did notice that the ES 06-14 high was 1954.75 but now is 1948.00 when the ES 09-14 contract is selected. Is that correct? Forgive me I'm fairly new to this.

The difference between the new and old front month depends on the dividend expectations for the next 3 months and the risk free interest rate. As the interest rate is close to zero, the main factor for calculating the offset are dividends. Therefore the offset for the new contract should be always negative. Actually the last positive offset was 2008, when the interest rates were higher.

Offset are a huge problem with NinjaTrader. For many instruments NinjaTrader has them automatically downloaded from the servers, and those offsets are sometimes false. If you try to enter the correct offsets, then NinjaTrader will overwrite them with the false offsets again.

The only way out in such a case is to enter a different roll date (for example one day earlier). For the earlier roll date, there is no offset downloaded and NinjaTrader will now perform a calculation from daily data or you can enter the offset manually without NinjaTrader auto-deleting it.

I am astonished that NinjaTrader does not autofill a value of -6.75, because that is what happens on my side.

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Thank you very much for sharing your time and knowledge. You really are much appreciated here. After I attempted to manually change the offset value manually in NinjaTrader it has now pulled a value of -6.75 from the server. Thank you for explaining how this process works. Good luck in all you do.

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Fat Tails View Post
Offset are a huge problem with NinjaTrader. For many instruments NinjaTrader has them automatically downloaded from the servers, and those offsets are sometimes false. If you try to enter the correct offsets, then NinjaTrader will overwrite them with the false offsets again.

Harry, have you talked to @NinjaTrader Ray about this along with a suggestion on how you would improve it, perhaps so it can be part of NT8?

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Big Mike View Post
Harry, have you talked to @NinjaTrader Ray about this along with a suggestion on how you would improve it, perhaps so it can be part of NT8?

Mike

Yes, I have talked to NinjaTrader developers. The main problem is that one cannot manually override offsets, when there is an offset stored on the NinjaTrader servers for that instrument and rollover date. The rollover offset, which has been manually entered will be overridden with the value stored on the server.

In the early days of NinjaTrader rollover offsets were not properly maintained, so for a given rollover date the offset will always revert to 0 (frequent case) or to whatever is stored on the NinjaTrader servers.

For example, I have changed the (correct) rollover date for ES 03-12 from Dec 8, 2011 to Dec 7, 2011. If I leave the (correct) rollover date in place, NinjaTrader overrides the correct offset of -6 points with 0 points. When doing a backtest with NinjaTrader without changing the roll date my results are false by 6 points. Fibonacci confluence indicators that rely on proper swing size do not work with false offsets either.

For ES this is the only case over the last 5 years, but for other instruments such as crude oil, gasoline or heating oil, false offsets are frequent. The only possibility for the user is to change the rollover date - I roll 1 day earlier - in order to enter a correct offset.

Also I tend to use offsets based on the settlement price, while the NinjaTrader servers store offsets based on the regular close (a price which is not even published by CME and other exchanges, but simply taken from intraday data).

In short it is impossible to enter the correct offset without changing the roll date a posteriori.

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Fat Tails View Post
Yes, I have talked to NinjaTrader developers. The main problem is that one cannot manually override offsets, when there is an offset stored on the NinjaTrader servers for that instrument and rollover date. The rollover offset, which has been manually entered will be overridden with the value stored on the server.

In the early days of NinjaTrader rollover offsets were not properly maintained, so for a given rollover date the offset will always revert to 0 (frequent case) or to whatever is stored on the NinjaTrader servers.

For example, I have changed the (correct) rollover date for ES 03-12 from Dec 8, 2011 to Dec 7, 2011. If I leave the (correct) rollover date in place, NinjaTrader overrides the correct offset of -6 points with 0 points. When doing a backtest with NinjaTrader without changing the roll date my results are false by 6 points. Fibonacci confluence indicators that rely on proper swing size do not work with false offsets either.

For ES this is the only case over the last 5 years, but for other instruments such as crude oil, gasoline or heating oil, false offsets are frequent. The only possibility for the user is to change the rollover date - I roll 1 day earlier - in order to enter a correct offset.

Also I tend to use offsets based on the settlement price, while the NinjaTrader servers store offsets based on the regular close (a price which is not even published by CME and other exchanges, but simply taken from intraday data).

In short it is impossible to enter the correct offset without changing the roll date a posteriori.

With Kinetick, they definitely have easy access to the settlement prices and every ticker.

Mike

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How does Sierra chart deal with the rollover?

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Big Mike View Post
With Kinetick, they definitely have easy access to the settlement prices and every ticker.

Mike

Yes, but they have always used the regular close - in the beginning there was only Zenfire data - and I understand that they do not want to change the horse in the middle of the race. There is not a huge difference between an offset calculated from settlement prices and one calculated from the regular closes. What is more annoying are the false zeros stored on the servers.

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