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CL data / contract changes > check NT7 merge policy
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CL data / contract changes > check NT7 merge policy

  #11 (permalink)
Elite Member
Charlotte NC
 
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Harry,
it was 2-19 but I changed it to 2-16 to prevent being pushed back to March. But I guess it did not work. Shal i move back the roll to its original date?
I did everything as told above but no luck.

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  #12 (permalink)
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meyer99 View Post
Harry,
it was 2-19 but I changed it to 2-16 to prevent being pushed back to March. But I guess it did not work. Shal i move back the roll to its original date?
I did everything as told above but no luck.

Usually, NinjaTrader calculates the offset for backadjusting the data automatically.

If you leave the original rollover date, the offsets are loaded from NinjaTrader servers. But I agree that for CL the NinjaTrader default rollover dates cannot be used.

In case you change the rollover date, NinjaTrader will use the daily data and calculates the offsets from the difference of the closes for the new and old front month prior to rollover date. If you roll on February 17 (volume crossover), you should therefore use the difference of the closes from February 16.

Offset = Close CL 04-11 for Feb 16 - Close CL 03-11 for Feb 16 = 87.84 - 84.99 = 2.85 (settlement values)

I checked my NinjaTrader install, it calculated false offsets, although my daily data is correct. This often happens with NinjaTrader. The software does not correctly calculates offsets.

Best thing to do. Have an Excel spreadsheet with the required offsets and enter them manually. Manual entries will override automatically calculated offsets.


Last edited by Fat Tails; February 18th, 2011 at 08:06 AM. Reason: settlement values corrected
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  #13 (permalink)
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Meyer 99, I just tried to do that with my charts and use Rithmic and the same thing happens even if try to reload historical data. Haven't had the chance to email ninja support but curious to know what causes this.

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  #14 (permalink)
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meyer99 View Post
Harry,
it was 2-19 but I changed it to 2-16 to prevent being pushed back to March. But I guess it did not work. Shal i move back the roll to its original date?
I did everything as told above but no luck.


Thanks Thanks for any help.
This thread saved my day.


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  #15 (permalink)
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Harry, to summarize:

Tools/ inst. manag./Inst. editor/ definition/mergeback adjusted.
Then on Misc/ contract months/04-11/offset +2.48?
Then load new contract to inst. list and reload historical?

Thank you for your help.
How do you know so much about everything ?

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  #16 (permalink)
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meyer99 View Post
Harry, to summarize:

Tools/ inst. manag./Inst. editor/ definition/mergeback adjusted.
Then on Misc/ contract months/04-11/offset +2.48?
Then load new contract to inst. list and reload historical?

Thank you for your help.
How do you know so much about everything ?

Sorry, I was tired yesterday evening, made a mistake and took the settlement values from Feb 17 instead of Feb 16. I have now modified my post, the correct offset is 2.85.

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