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Problem with Ninja 7 rollover


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Problem with Ninja 7 rollover

  #11 (permalink)
 Klausi 
Germany
 
Experience: Advanced
Platform: NinjaTrader
Broker: Zen-Fire
Trading: CL,GC,6E
Posts: 58 since Jan 2010
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Jeff Castille View Post
Well........I guess it was inevitable.........found a problem with Ninja 7......it seems that it occurs around contract rollover....it has to do with the new feature that Ninja has that attempts to merge past contracts without having historical data.

Everything was fine all day then suddenly my data went crazy.....that chart didn't look the same as it had just a few minutes before.....what a mess.......called my broker......did some trouble shooting......reset instruments.....reset data base......still messed up. Got ahold of Ryan at Ninja and he finally figured it out......he had to set the contracts on "do not merge" in order to view just the front month contract.

They say a "real" version on Ninja 7 will be out in about a month........you might want to wait until then to try it.....unless you want to deal with crap like this.

Jeff

I have had the same problem when first time rolling over CL - contract, but checked the problem out myself, I adjusted to ' Do not merge ' and anything was allright again.
I have left ' Do not merge ' there as standard / default since that time.
Regards
Klaus

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  #12 (permalink)
 
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 Fat Tails 
Berlin, Europe
Market Wizard
 
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Klausi View Post
I have had the same problem when first time rolling over CL - contract, but checked the problem out myself, I adjusted to ' Do not merge ' and anything was allright again.
I have left ' Do not merge ' there as standard / default since that time.
Regards
Klaus

This depends on the lookback period of your charts / data series. If you just need a few days that is fine. But the setting DoNotMerge has a number of disadvantages.

(a) The new front month is illiquid prior to rollover day. So you cannot do any serious volume analysis over the chart period.

(b) Also you will not find any realistic values, when backtesting over a longer period.

The setting DoNotMerge does not solve the problem, if you are not a scalper. Apppropriate settings for futures contract depend on trading style and indicators used. As a rule you may take

lookback period until a few days prior to rollover date -> do not merge
lookback period until two years max. -> mergebackadjusted
logner term lookback period -> continuous contracts (spliced)

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Last Updated on October 19, 2010


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