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Not Plotting Correctly on New Contact
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Created: by sudhirc Attachments:1

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Not Plotting Correctly on New Contact

  #1 (permalink)
Elite Member
detroit,mi
 
Futures Experience: Beginner
Platform: NT
Favorite Futures: NQ
 
sudhirc's Avatar
 
Posts: 326 since Sep 2011
Thanks: 1,560 given, 363 received

Not Plotting Correctly on New Contact

Hi,

I'm having issues plotting the Dec contract for both NQ and ES. The last bar on the charts seems to extent more than it should, please refer to the pics and let me know how to fix it.

Thank you so much in advance,
Please register on futures.io to view futures trading content such as post attachment(s), image(s), and screenshot(s).

Sudhir

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  #2 (permalink)
Elite Member
Berlin, Europe
 
Futures Experience: Advanced
Platform: NinjaTrader, MultiCharts
Broker/Data: Interactive Brokers
Favorite Futures: Keyboard
 
Fat Tails's Avatar
 
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NinjaTrader is preset to show mergebackadjusted contracts. This can be changed under Tools -> Options -> Data -> Merge Policy. However, I recommend not to change the settings.

A merge-backadjusted chart shows

-> the old front month contract until the close prior to rollover day
-> the new front month contract starting from the first minute of the session on rollover day
-> where the old front month contract and all prior contracts are vertically adjusted in order to remove the rollover gap

Rollover day was on September 10. This means that you can display the new contract starting with the trading day of September 10 (nota: the trading day start on September 9, 5:00 PM Central). All data prior to September 10 will be ajusted with the rollover offset calculated from the difference between the closes (settlement prices) of the old and new front month contracts on September 9.

You tried to display the new front month contract on September 9. As September 9 is prior to rollover date, the old front month will be displayed. Also on September 9, the offset is still unknown, as it is calculated from the closes of that very day. Therefore the prices shown on your chart are not yet adjusted. This means that all historical data shown on your chart is the original data from the old front month contract. The real-time data, however, is taken from the new front month contract. The last bar on your chart is built from a single historical tick of the old front month and incoming real-time ticks of the new front month. Therefore it is spread out, as it covers the entire gap.


Solution to your problem:

You should not try to display a merge-backadjusted chart for the new contract, before the offset needed for back-adjustment is known. A merge-backadjusted chart for the new contract only makes sense on rollover day or later. I would call this a user error. Also you will have noticed that your chart displayed correctly on rollover day, which was September 10.

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