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continuous contract in NT7 /merge policy / rollover


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continuous contract in NT7 /merge policy / rollover

  #41 (permalink)
 
Fat Tails's Avatar
 Fat Tails 
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Pepe2000 View Post
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"

Rollover day was on June 7, you can check that via the instrument manager. A rollover gap would therefore have shown between June 6 and June 7, and not between June 8 and June 11.

What you noticed on the chart is just a gap after the week-end. Your merge backadjusted chart looks correct.

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  #42 (permalink)
 
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 Pepe2000 
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Yes I already found out, that I was too stupid to look at the dates correctly. Thank you!

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  #43 (permalink)
 
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Silly question - but did Kinetick/IQFeed do something different to their continuous symbol on the ES this time?

Maybe this is the way it always is but I swear it adjusted previously.

If you have any questions about the products or services provided, please send me a Private Message or use the futures.io " Ask Me Anything" thread
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  #44 (permalink)
 
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 trendisyourfriend 
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DionysusToast View Post
Silly question - but did Kinetick/IQFeed do something different to their continuous symbol on the ES this time?

Maybe this is the way it always is but I swear it adjusted previously.

I am not sure if it applies to you but maybe this article may give you a clue or not:
Rancho Dinero | Rollover is Coming? Are You Ready?

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  #45 (permalink)
 
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 josh 
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DionysusToast View Post
Silly question - but did Kinetick/IQFeed do something different to their continuous symbol on the ES this time?

Maybe this is the way it always is but I swear it adjusted previously.

The ES continuous symbol is @ES#

The ES continuous back-adjusted symbol is @ES#C

If you want the back-adjusted data, remember that you need to delete all past data and re-download, otherwise it will simply append new data, and you will not see the newly back-adjusted past data.

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  #46 (permalink)
 
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 Fat Tails 
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josh View Post
The ES continuous symbol is @ES#

The ES continuous back-adjusted symbol is @ES#C

If you want the back-adjusted data, remember that you need to delete all past data and re-download, otherwise it will simply append new data, and you will not see the newly back-adjusted past data.

This answer is confusing. I do not see how NinjaTrader would allow you to select between @ES# and @ES#C.


The following is required:


Continuous Futures:

You simply need to load a chart for ES##-##.


Backadjusted Futures:

You have to set the merge-policy to MergeBackAjdusted and simply open a chart for the current front month contract ES 12-13. It is NOT required to delete all past data and reload.

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  #47 (permalink)
 
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 KahunaDog 
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This may have been answered...
But what style(s) do most successful traders use for their s/r levels considering you only get so much back data.

1. What chart to use
As in CL is trading at multi year lows.


2. What kind of support and resistance can you use.?
Fibs.?

Volume profile to trade with?

Edit I'm using the continuous chart ##-## in NT.

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  #48 (permalink)
 
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 Fat Tails 
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KahunaDog View Post
This may have been answered...
But what style(s) do most successful traders use for their s/r levels considering you only get so much back data.

1. What chart to use
As in CL is trading at multi year lows.


2. What kind of support and resistance can you use.?
Fibs.?

Volume profile to trade with?

Edit I'm using the continuous chart ##-## in NT.


The question is

- how long you intend to hold your positions (are you a scalper, daytrader, swingtrader or investor?)
- what tools you intend to use

Example:

(1) If you wish to use fibonacci retracements, then it is important that the swings are not distorted by rollover gaps and that relative price action is correctly displayed. Therefore you need to use mergebackadjusted data.

(2) If you use round numbers to trade, you cannot rely on mergebackajdusted data, but should use merged nonadjusted data.

(3) If you are an investor and mainly rely on trendlines and moving average, then you would prefer a perpetual contract.

(4) Proper backtesting can only be done with mergebackadjusted data.

I do not know what data your continuous contract ##-## contains, you can probably find out by contacting your data provider.

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  #49 (permalink)
 
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 vk79 
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I am not sure if this is the appropriate thread but I am posting anyway.

Charts are exactly same for futures with different expiry dates.
Is it something to do with Merge Policy?
What do I need to do chart futures with different expiry dates?
Attaching CL charts with March and April expiries.

thanks

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  #50 (permalink)
 
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 Fat Tails 
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vk79 View Post
I am not sure if this is the appropriate thread but I am posting anyway.

Charts are exactly same for futures with different expiry dates.
Is it something to do with Merge Policy?
What do I need to do chart futures with different expiry dates?
Attaching CL charts with March and April expiries.

thanks


Both charts are showing merged, backadjusted contracts. The current front month for CL is the March contract (CL 03-15). This means that this months and all later expiries show the same data until the next rollover date. Starting from the next rollover date - which is around March 20 -, and only after the next rollover offset has been determined and entered, the April contract will show different prices. As CL is in contango, those prices will be higher than the prices for the March contact. When the offset is entered this will also lead to a readjustment of all data prior to the rollover date, and the April contract will show different data that is different from the March contract, even for today. However, that data shown for the April contract, is not the trade data for the April contract, but it is merged backadjusted data taken from the March contract and shifted by the rollover offset.

Please make sure that you understand merged, backadjusted contracts, if you use them. There is a paper here that explains the details:




If you do not wish to use merged, backadjusted contracts, NinjaTrader allows you to use single months contracts. Just open the Control Center -> Tools -> Options -> Data -> Historical Chart Data and select "DoNotMerge" from the dropdown menu. All charts that you open after this change will show single month contract data.

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