Hi, erm... I guess this is a really stupid question, but seeing that I'm a total noob, well, help me out here? Pretty please?
Ok, I know that NT has the option to merge data (MergeBackAdjusted), but how does it determine the rollover? Also, I want to replicate TS @ES continuous contract in NT7, how do I do that? What's the algo that TS uses to generate @ES? Or it's just the standard 6 days before expiration?
The rollover date is specified under instrument settings. NinjaTrader comes with default settings that are mostly correct for financial futures such as index futures, interest rate futures and currency futures.
The default settings can be changed by selecting another date. To do this go to Tools -> Instrument Manager, then select your instrument and the select -> Edit -> Misc and scroll down. The last line reads "Contract months" and you need to mouse- click into the field that indicates the number of contract months. You will see a little button on the right side and can use it to open a menu. You can now add contract months and enter rollover dates and offsets.
NinjaTrader does not have any algorithm to determine rollover dates based on volume cross-over and/or open interest crossover. If you do not like the default dates, just enter your rollover date manually. NinjaTrader will then roll at session-end prior to rollover date selected.
The offset is usually calculated automatically from your daily data. Best use daily data that comes with the settlement price, such as Kinetick EOD. Offsets is then calculated as the difference between settlement price for new front month and old front month, which is the correct procedure. Offset is calculated upon connection and data loading. I have had some cases where it did not work. You can also enter the offset manually, NT will not overwrite manual entries.
For instruments such as agriculturals, energy or metal futures, I do not like the default values, as rollover comes too late. So I enter my values manually and then later check, whether the offset has been correctly applied.
The following 4 users say Thank You to Fat Tails for this post:
Sorry for jumping in late here, I don't get much free time anymore to browse the forums...
I use NT7 and NT6.5, but on separate machines.
NT 6.5 - trading real money with real software
NT 7 RC1 - backtesting, optimizations, and other things I hate about 6.5 that's better in v7
Also, I would never put a beta product on a production computer. You put the computer at risk of not functioning properly and damaging productivity (losing money). Keep them separate. Assume all beta software is infected with a virus. Run it in isolation. If you don't have multiple computers use virtual machines.
Also, don't try running multiple versions of software of the same machine, they usually end up cross-pollinating eventually, and you're hosed.
My trading computer is just for trading. It doesn't have any other programs that I don't need on it. No MS Office, no anti virus, no video games, etc. You would be amazed how much more stable your trading computers are if you dedicate it to just trading and not clutter it up with a bunch of other things.
My NT 6.5 never crashes. I just use minute charts (no range, tick, or Renko bologna), DOM, charts with trader and a small market analyzer window. I run multiple automated strategies just fine all day long. I have a few indicators but that's it. So maybe I'm not really pushing NT to the limits, but all of these things keep things simple for me and I achieve plenty of portfolio performance with this simple setup. I also recommend not recording market replay data on the machine you're trading on. Do your backtesting and replay testing on a separate computer with a separate installation of NT.
Isolation, separation and segregation of resources keeps things simple and stable.
The following 5 users say Thank You to shodson for this post:
It is very interesting your way of doing......................................
...................."...My trading computer is just for trading. It doesn't have any other programs that I don't need on it. No MS Office, no anti virus, no video games, etc.........."
Could you please specify how to protect your internet connected computer from attacs ( if no antivirus...)????
Thank you for your exchanging experience.
your computers should never have protection only at the PC level... I dont know your setup, but if you are using cable or DSL, or perhaps fiber, you would have a "modem" which would then connect to a router/fw combo.. sometimes the modem/router/fw is all one.. again, I dont know your setup...
My trading computer runs Windows Server 2008. My only protection is the Windows software firewall, and weekend security patches. On 2nd thought I probably should put at least some simple anti-virus software on it like eSet or AVG or Defender, but I don't worry about viruses because you usually get them from downloading files from anonymous or untrusted sources. I never download anything from that computer, it just trades. I don't browse the web on it. If I'm going to put some files on it I download it onto my laptop or some other PC first, play with it and vet it, then if I'm comfortable with it I FTP it to my server for use. I didn't mean to insinuate that you shouldn't run anti-virus software on your trading computer, but you should install and run as few applications as possible on it to enhance stability.