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

  #61 (permalink)
Elite Member
Berlin, Europe
Futures Experience: Advanced
Platform: NinjaTrader, MultiCharts
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trendisyourfriend View Post
Thanks @Fat Tails for the feedback, I was aware of the procedure you described but i wanted to know why were the Offset values for the Futures currencies at 0 on my side. I wrote to Ninjatrader and they suggested to reset the instrument list (Option/Datas). However when you do reset it, you lose all the prior manual changes you did to the Offset and Rollover date for all prior contracts on your computer. In short, i did reset it but now i know there will be errors in my prior contracts as i did not record any of these prior offsets but i can live with it.

BTW, Ninjatrader uses the ETH hours for the offset setting. This number as you wrote is calculated by subtracting the close of the old contract month 1440m ETH bar which ended 1 day prior to the rollover date from the close of the new contract month 1440m ETH bar which ended 1 day prior to the rollover date. I think they populate their database with Rithmic datas.

NOTE: if you modify the Offset value you need to modify the Rollover date as well as Ninja will always try to overwrite your manual change based on the default Rollover date as set on their servers.

Thanks again,

I have noticed that the offset values are calculated from the last traded price and not from the settlement price. I think they have those offset values sitting in a database. If I remember well, the offsets are downloaded when you load daily data.

In case that I have false or incorrect offsets, I simply delete them, then connect and download daily and minute data for all contracts. Afterwards the offsets are repopulated from the NinjaTrader servers.

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