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

  #61 (permalink)
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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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  #62 (permalink)
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Fat Tails View Post
First of all...

Thanks for a detailed post. I wasn't aware of how mine was set up. I don't sweat the gaps like you guys do, but I wanted to be consistent, so I set it to non-adjusted.

Also, being new to NT8 and this is the first rollover, I was unclear how or if the objects would migrate forward. I'm struggling to get comfortable with the relationship between objects and data serieseses. I loaded the Dec 18 and got prompted to carry the alerts forward. The drawings and indicators migrated automatically, so it seems easy enough. They were copied forward, so I can switch back back and forth.

Tips for thinkDesktop users:

1. To view the next expiry (Dec), set the Global merge Policy to "Do not merge". Otherwise a chart for ES 12-18 will show Sep data.
2. After making changes to your merge policy, don't forget to "Reload All Historical Data" on the chart's right-click menu.
3. In NT8, drawings and alerts seem to be attached to the continuous and the discrete contracts at the same time. I think maybe sort of.

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  #63 (permalink)
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Leon of Pizza View Post
Thanks for a detailed post. I wasn't aware of how mine was set up. I don't sweat the gaps like you guys do, but I wanted to be consistent, so I set it to non-adjusted.

Also, being new to NT8 and this is the first rollover, I was unclear how or if the objects would migrate forward. I'm struggling to get comfortable with the relationship between objects and data serieseses. I loaded the Dec 18 and got prompted to carry the alerts forward. The drawings and indicators migrated automatically, so it seems easy enough. They were copied forward, so I can switch back back and forth.

Tips for thinkDesktop users:

1. To view the next expiry (Dec), set the Global merge Policy to "Do not merge". Otherwise a chart for ES 12-18 will show Sep data.
2. After making changes to your merge policy, don't forget to "Reload All Historical Data" on the chart's right-click menu.
3. In NT8, drawings and alerts seem to be attached to the continuous and the discrete contracts at the same time. I think maybe sort of.

If you use the setting "Non-adjusted", most, if not all of your indicators will display false values. This can be avoided by setting the chart to "Do not merge" or "Merge-BackAdjusted". With "Do not merge", volume will be false if the selcted contract is not the current front month contract.

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  #64 (permalink)
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Fat Tails View Post
If you use "Non-adjusted"...your indicators will display false values.

I'm confident you're correct on that, but I only use the 20EMA and gap effects are washed out in the first day.

I prefer to use range. Its been working well with the non-adjusted method and I'm afraid that if I changed something, it would suck all of the magic out of it.

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  #65 (permalink)
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Leon of Pizza View Post
I'm confident you're correct on that, but I only use the 20EMA and gap effects are washed out in the first day.

I prefer to use range. Its been working well with the non-adjusted method and I'm afraid that if I changed something, it would suck all of the magic out of it.

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Your chart is just self-delusion.


Bear in mind that there is no gap on the EURUSD chart.

It only appears on the 6E chart because of the accrued interest between the two expiry dates.

Also the washing out of the gap takes about 60 bars for an EMA(20), because it is an IIR filter.

It is not washed out on the first day but only after the third day.


If you wish to do proper technical analysis, you need to eliminate the gap caused by the accrued interest.

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  #66 (permalink)
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Fat Tails View Post
Your chart is just self-delusion.

Yes. Its based on an arbitrary belief system.


Fat Tails View Post
...washing out takes about 60 bars for an EMA(20)...It is washed out...after the third day.

Looks to me like the value normalized to within a tick at the end of the first day (46 bars in the example). If the 60th bar prints on day four, you're using a time frame well above my 30m bars.


Fat Tails View Post
If you wish to do proper technical analysis, you need to eliminate the gap caused by the accrued interest.

Carry trade effects are a fractional point over 90 days. Besides that, cross-border trade in goods, bund correlations and tariff-slinging kleptocrats are also fundamental variables. None of that has any discernible effect on the repeatably of intraday trade around the EMA. The same goes for the expense effects on equity and commodity products.

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