continuous contract in NT7 /merge policy / rollover - NinjaTrader | futures io social day trading
futures io futures trading


continuous contract in NT7 /merge policy / rollover
Updated: Views / Replies:22,054 / 60
Created: by christo64 Attachments:13

Welcome to futures io.

(If you already have an account, login at the top of the page)

futures io is the largest futures trading community on the planet, with over 90,000 members. At futures io, our goal has always been and always will be to create a friendly, positive, forward-thinking community where members can openly share and discuss everything the world of trading has to offer. The community is one of the friendliest you will find on any subject, with members going out of their way to help others. Some of the primary differences between futures io and other trading sites revolve around the standards of our community. Those standards include a code of conduct for our members, as well as extremely high standards that govern which partners we do business with, and which products or services we recommend to our members.

At futures io, our focus is on quality education. No hype, gimmicks, or secret sauce. The truth is: trading is hard. To succeed, you need to surround yourself with the right support system, educational content, and trading mentors Ė all of which you can find on futures io, utilizing our social trading environment.

With futures io, you can find honest trading reviews on brokers, trading rooms, indicator packages, trading strategies, and much more. Our trading review process is highly moderated to ensure that only genuine users are allowed, so you donít need to worry about fake reviews.

We are fundamentally different than most other trading sites:
  • We are here to help. Just let us know what you need.
  • We work extremely hard to keep things positive in our community.
  • We do not tolerate rude behavior, trolling, or vendors advertising in posts.
  • We firmly believe in and encourage sharing. The holy grail is within you, we can help you find it.
  • We expect our members to participate and become a part of the community. Help yourself by helping others.

You'll need to register in order to view the content of the threads and start contributing to our community.  It's free and simple.

-- Big Mike, Site Administrator

Reply
 13  
 
Thread Tools Search this Thread
 

continuous contract in NT7 /merge policy / rollover

  #41 (permalink)
Elite Member
Berlin, Europe
 
Futures Experience: Advanced
Platform: NinjaTrader, MultiCharts
Broker/Data: Interactive Brokers
Favorite Futures: Keyboard
 
Fat Tails's Avatar
 
Posts: 9,653 since Mar 2010
Thanks: 4,226 given, 25,602 received
Forum Reputation: Legendary


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.

Reply With Quote
The following user says Thank You to Fat Tails for this post:
 
  #42 (permalink)
Elite Member
Bratislava, Slovakia
 
Futures Experience: Advanced
Platform: Sierra Chart, NinjaTrader
Favorite Futures: NQ, YM, ES
 
Pepe2000's Avatar
 
Posts: 91 since Sep 2012
Thanks: 11 given, 108 received

Yes I already found out, that I was too stupid to look at the dates correctly. Thank you!

Reply With Quote
 
  #43 (permalink)
Market Wizard
Bangkok
 
Futures Experience: Intermediate
Platform: MultiCharts.NET, S5, Ninj
Broker/Data: AMP, S5, IB
Favorite Futures: ES
 
DionysusToast's Avatar
 
Posts: 2,673 since Nov 2010
Thanks: 777 given, 8,742 received
Forum Reputation: Legendary


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
Reply With Quote
 
  #44 (permalink)
Elite Member
Quebec
 
Futures Experience: Intermediate
Platform: NinjaTrader wt Rancho Dinero's profiling tools
Broker/Data: Stage 5 trading/AMP/CQG
Favorite Futures: ES, NQ, YM
 
trendisyourfriend's Avatar
 
Posts: 3,698 since Oct 2009
Thanks: 3,041 given, 4,498 received


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?

Reply With Quote
The following user says Thank You to trendisyourfriend for this post:
 
  #45 (permalink)
Elite Member
Georgia, US
 
Futures Experience: None
Platform: Various
Favorite Futures: Various
 
josh's Avatar
 
Posts: 4,897 since Jan 2011
Thanks: 5,143 given, 11,242 received


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.

Reply With Quote
 
  #46 (permalink)
Elite Member
Berlin, Europe
 
Futures Experience: Advanced
Platform: NinjaTrader, MultiCharts
Broker/Data: Interactive Brokers
Favorite Futures: Keyboard
 
Fat Tails's Avatar
 
Posts: 9,653 since Mar 2010
Thanks: 4,226 given, 25,602 received
Forum Reputation: Legendary


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.

Reply With Quote
The following 2 users say Thank You to Fat Tails for this post:
 
  #47 (permalink)
grappling dummy
Hawaii at the beach
 
Futures Experience: Beginner
Platform: Nt8, MotiveWave, TOS
Broker/Data: S5
Favorite Futures: ES, ZB fine alcohol and muscle cars
 
KahunaDog's Avatar
 
Posts: 476 since Apr 2013
Thanks: 945 given, 345 received

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.


Last edited by KahunaDog; December 10th, 2014 at 09:09 PM.
Reply With Quote
 
  #48 (permalink)
Elite Member
Berlin, Europe
 
Futures Experience: Advanced
Platform: NinjaTrader, MultiCharts
Broker/Data: Interactive Brokers
Favorite Futures: Keyboard
 
Fat Tails's Avatar
 
Posts: 9,653 since Mar 2010
Thanks: 4,226 given, 25,602 received
Forum Reputation: Legendary


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.

Reply With Quote
The following user says Thank You to Fat Tails for this post:
 
  #49 (permalink)
Elite Member
Michigan
 
Futures Experience: Intermediate
Platform: Ninjatrader
Favorite Futures: NQ
 
vk79's Avatar
 
Posts: 130 since Jun 2009
Thanks: 243 given, 77 received

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

Attached Thumbnails
continuous contract in NT7 /merge policy / rollover-2015-02-01_1116.png  
Reply With Quote
 
  #50 (permalink)
Elite Member
Berlin, Europe
 
Futures Experience: Advanced
Platform: NinjaTrader, MultiCharts
Broker/Data: Interactive Brokers
Favorite Futures: Keyboard
 
Fat Tails's Avatar
 
Posts: 9,653 since Mar 2010
Thanks: 4,226 given, 25,602 received
Forum Reputation: Legendary



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:

https://futures.io/download/educational_manuals_ebooks_videos/628-download.html?view


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.

Reply With Quote
The following user says Thank You to Fat Tails for this post:

Reply



futures io > > > > continuous contract in NT7 /merge policy / rollover

Thread Tools Search this Thread
Search this Thread:

Advanced Search



Upcoming Webinars and Events (4:30PM ET unless noted)

Jigsaw Trading: TBA

Elite only

FuturesTrader71: TBA

Elite only

NinjaTrader: TBA

Jan 18

RandBots: TBA

Jan 23

GFF Brokers & CME Group: Futures & Bitcoin

Elite only

Adam Grimes: TBA

Elite only

Ran Aroussi: TBA

Elite only
     

Similar Threads
Thread Thread Starter Forum Replies Last Post
Contract Rollover: Adopt Real World Position and manage per previous position entry RM99 EasyLanguage Programming 3 May 30th, 2012 07:55 AM
continuous CL ## vs that month contract emini_Holy_Grail NinjaTrader 7 November 2nd, 2011 06:29 PM
CL data / contract changes > check NT7 merge policy meyer99 NinjaTrader 15 February 18th, 2011 08:08 AM
2000-2009 continuous contract minute data for CL, 6E, & ES now available cunparis The Elite Circle 20 December 28th, 2010 01:02 PM
Futures Contract Specifications - How long is the life of a contract ? trendisyourfriend Traders Hideout 11 November 14th, 2010 10:34 AM


All times are GMT -4. The time now is 06:25 AM.

Copyright © 2017 by futures io, s.a., Av Ricardo J. Alfaro, Century Tower, Panama, +507 833-9432, info@futures.io
All information is for educational use only and is not investment advice.
There is a substantial risk of loss in trading commodity futures, stocks, options and foreign exchange products. Past performance is not indicative of future results.
no new posts
Page generated 2017-12-17 in 0.15 seconds with 20 queries on phoenix via your IP 54.82.81.154