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continuous contract in NT7 /merge policy / rollover
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continuous contract in NT7 /merge policy / rollover

  #31 (permalink)
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Thanks very much for the comprehensive response!

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  #32 (permalink)
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Hi,

I have problem to get data merged without back-adjustment. For example, I have 2 individuals contracts @ESU11 and @ESM11. I wish to merge them in NT without back-adjustment to get the result like the @ES# but not @ES#C. I have tried ES ##-## in NT but the downloaded data shows the same as @ES#C.

Please help.

Thanks.

mlc

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  #33 (permalink)
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monolisa View Post
Hi,

I have problem to get data merged without back-adjustment. For example, I have 2 individuals contracts @ESU11 and @ESM11. I wish to merge them in NT without back-adjustment to get the result like the @ES# but not @ES#C. I have tried ES ##-## in NT but the downloaded data shows the same as @ES#C.

Please help.

Thanks.

mlc

You seem to refer to another piece of software which you do not mention. If you try to explain the same problem in a comprehensive way without refering to unknown definitions, it might be easier to answer.

NinjaTrader allows you to display

- single month contracts
- merged contracts non-backadjusted (showing rollover gaps)
- merged contracts backadjusted (values of prior contracts vertically shifted to close the rollover gaps)

NinjaTrader does not create any continuous contracts, but displays those as provided by the data provider. As you also do not mention, who is the data provider which you use with NinjaTrader, it is impossible to answer your question.

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  #34 (permalink)
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Thanks, Fat Tails.

I am using IQFeed. I did use QCollector for DTN to check whether price was adjusted between @ES# and @ES#C

My question is: How do I get merged contracts non-backadjusted (showing rollover gaps) in NT using IQFeed?

Thanks.

mlc

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  #35 (permalink)
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monolisa View Post
My question is: How do I get merged contracts non-backadjusted (showing rollover gaps) in NT using IQFeed?

In NT, go to Tools->Options->Data->Merge policy: "MergeNonBackAdjusted"

OR

Tools->Instrument Manager, select ES, click Edit, set merge policy to "MergeNonBackAdjusted" (this will override the global option described above)

Be sure the 09-11 ES contract is in your instrument list (you do not want the ES ##-## in this case), and create a new chart of that instrument. This should give you what you need.

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  #36 (permalink)
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Thanks josh. I think I found the solution - I use the symbol ES ##-## in NT with the option "Use back-adjusted data" unchecked in IQFeed config. This gives me a merged contract with no back adjustment (ie. with gaps).

Thanks.

mlc

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  #37 (permalink)
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monolisa View Post
Thanks josh. I think I found the solution - I use the symbol ES ##-## in NT with the option "Use back-adjusted data" unchecked in IQFeed config. This gives me a merged contract with no back adjustment (ie. with gaps).

Thanks.

mlc

That is a strange solution, the way Josh has suggested will certainly work correctly.

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  #38 (permalink)
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I know. The issue is that if I follow what Josh has suggested:

Tools->Instrument Manager, select ES, click Edit, set merge policy to "MergeNonBackAdjusted" (this will override the global option described above)

Be sure the 09-11 ES contract is in your instrument list (you do not want the ES ##-## in this case), and create a new chart of that instrument. This should give you what you need.


Then I would only get the contract of 09-11. There's no merging of 06-11 to 09-11.

mlc

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  #39 (permalink)
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monolisa View Post
I know. The issue is that if I follow what Josh has suggested:

Tools->Instrument Manager, select ES, click Edit, set merge policy to "MergeNonBackAdjusted" (this will override the global option described above)

Be sure the 09-11 ES contract is in your instrument list (you do not want the ES ##-## in this case), and create a new chart of that instrument. This should give you what you need.


Then I would only get the contract of 09-11. There's no merging of 06-11 to 09-11.

mlc

(1) Change the settings as Josh has explained.
(2) Open a chart for ES 09-11
(3) It will show the contract ES 09-11 from June 9 (rollover day) until today, but show the contract ES 06-11 from June 8 backwards until March, where it will switch to ES 03-11.
(4) See chart below.

Of course you will need to load the historical data for the contract ES 06-11 first, or open the chart while being connected to your data provider.

Attached Thumbnails
continuous contract in NT7 /merge policy / rollover-es-09-11-60-min-09_06_2011-rollover.jpg  
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  #40 (permalink)
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Thank you Fat Thails for all the info. I am currently trying to find out if the backadjustment option in NT is working. I am sending a picture of rollover contract 6/2012 which looks like not backadjusted at all even when I have mergebackadjust option on. Could you please confirm if it is backadjusted or not? Ah I just realized I posted it with comment in slovak language. It just says "I am not sure if backadjusted correctly"

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continuous contract in NT7 /merge policy / rollover-jun_jul_es.jpg  
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