Futures Rollover Wizard

[Joerg]

Hello,

currently I am testing NT8 in order to figure out if I like to upgrade from NT7. I use NT mainly for strategy development, automated trading and data management. In my point of view there are some major improvements but also some major gaps in NT8 which I would like to share in this message:

overall improvements:
- much better performance especially for the database.
- native support for IB gateway which provides an API without auto-logoff

gaps, especially in data management:
- Still no possibility to define rules for futures rollovers. It is possible to setup custom roll dates but not on a mechanic way, like in TradeStation or Multicharts which results in much more manual work to maintain the database, especially since the rollover definitions provided by NinjaTrader are sometimes wrong. An example of Multicharts is demonstrated here:
https://www.youtube.com/watch?v=_s_81xpM3Ds (especially beginning 1:40)
- Still no possibility to export historical data in a flexible way. I can backup the whole database or a single symbol with one data resolution but not a set of symbols with different resolutions (e.g. Minute + Tick)
- Still no support of second bars which are offered by some data providers.

As said I do not use NT for manual trading and therefore some further improvements are not in my personal scope but hopefully you can use my feedback for future developments.

Many thanks,
Joerg

[NinjaTrader_ChelseaB]

Hello Joerg,

With these items, are you wanting to submit these a feature requests, or are these items you feel were implemented in NinjaTrader 7 and are no longer available in NinjaTrader 8 and this is preventing you from upgrading to the latest version?

To view a continous contract in NinjaTrader 7 or NinjaTrader 8 use the contract expiry as ##-##. For example ES ##-##. Usage of this is brokerage / data provider specific. Some brokerages will not provide data for continuous contracts. Most brokerages will not accept orders for continuous contracts.

I'm uncertain of your mention of second bars. You can add as many data series to a chart as you would like in the Data Series window. You can use any of these series as the input for an indicator applied to that chart. Indicators and strategies can have added series added within the code of the script to reference multiple time frames and instruments.
Can you clarify the functionality that is missing?

[Joerg]

Hello Chelsea,

I want to submit this (again) as a feature request for NT8. It was not implemented in NT7 as well.

I know that some data providers support continuous contracts and I can access them with ##-## in NT. Many providers do not do so and the rollover rules do not allow any customisation. I also know that NT allows the definition of rollover dates and offset values as described in the help guide: http://ninjatrader.com/support/helpG...nstruments.htm

The first problem there is that I need to that for every single rollover in every market. The second problem is that when a contract expiration is defined on the NinjaTrader server I can not effectively delete it since NT7 always downloads the rollover definitions at startup and if there is no custom definition the contract is added again after deletion. I collect data of around 30 futures markets and on average I have one of these problems per month and only the customer support can solve it on the NinjaTrader servers which typically takes some days.

All this would be solved if NT would get some kind of wizard which allows to define rollover rules like it is possible in TradeStation or Multicharts. It would need to provide the possibility to define the expiration cycle (which expiry months shall be used) and the rollover rule (which trading/ calendar day of the month/ month before expiration; volume based, Open Interest). The coding should not be very complex but it would save a lot of time for many traders of futures contracts.

An example can be found here (especially beginning 1:40):

https://www.youtube.com/watch?v=_s_81xpM3Ds

[NinjaTrader_ChelseaB]

Hello Joerg,

To confirm you would like to submit the following feature requests:

You would like to set up rollover dates based on rules and not preset dates.

You would like to export historical data from and to specific times instead of complete sessions.

Do I have these two requests correct?

Is there a 3rd request involving AddDataSeries() in a script?

[Joerg]

Hello Chelsea,

The first request is correct and should be a valuable improvement for many futures traders.
The second request is correct but incomplete. The export shall be more flexible in terms of time periods AND symbols.
The third request is nothing I supposed.

Many thanks.

Joerg

[NinjaTrader_ChelseaB]

Hello Joerg,

Your request for futures rollovers to be based on rules instead of a specific date is being tracked with ID #SFT-2048. Your request to export Historical Data for specific times and for multiple instruments is being tracked with ID #SFT-2050.

Please note, it is up to the NinjaTrader Development to decide if and when a request will be implemented.

We appreciate the feedback. Please let us know of any other requests you have for the NinjaTrader platform.

[Joerg]

Hello Chelsea,

regarding the request ID #SFT-2048 I would like to ask if you can provide an initial feedback from the development department regarding the priority of such a feature?

Currently there is a situation when it also would be quite useful in order to implement the newly traded Russel 2000 Mini Futures at CME into NinjaTrader:

http://www.cmegroup.com/trading/equity-index/us-index/e-mini-russell-2000.html

To set it up as a custom symbol with the roll dates leads to a lot of manual work whereby a roll over wizard would simplify this dramatically and generate a sustainable roll over schedule for future contracts of that series.

Many thanks.

Joerg

[NinjaTrader_ChelseaB]

Hello Joerg,

No feedback was provided other than a tracking ID.

If this is a feature that you need immediately, I would recommend either attempting to create this as an indicator or hiring a consultant to create this as an indicator at your request.

Below is a link to an example indicator that changes the instrument.

http://ninjatrader.com/support/forum/local_links.php?linkid=905

The NinjaTrader Ecosystem has affiliate contacts who provide educational as well as consulting services. Please let me know if you would like our business development follow up with you with a list of affiliate consultants who would be happy to create this script or any others at your request.


Regarding the RTY 09-17, you do not need to create this instrument or insert the rollover dates yourself and I would not recommend this.

Please follow the instructions in the link below to add the RTY into the NinjaTrader database automatically.

http://ninjatrader.com/support/forum/showthread.php?t=101967

[Joerg]

Dear Chelsea,

many thanks for your answer. I followed the instructions regarding RTY and it now is accessible.

Regarding the request ID #SFT-2048 I am afraid there is a misunderstanding:
I do not need to switch the symbols in a chart or a quote list or somewhere else in the front-end. For me the approach in NT8 to roll-over all contracts to the next expiration when they are due via the database management menu is fine.

What I mean with a rollover wizard can be probably described most easily with some pictures:

#1 (NT8): The rollover dates are preset.
#2 & #3: Continues contracts are build via a concatenation based on preset rules. Rules can be time based (calendar day, trading day, days before expiration etc.) or activity based (Volume, Open Interest, etc.). Of course the activity based rules can not be extrapolated into the future.

Since NT8 already has preset days maybe the easiest way would be a wizard which generates the rollover day tables based on time based rules. Of course the activity based rules would be more complex to implement but the time based rules could sit on top of the current implementation as an optional override functionality and would erase most of the headaches in connection to rollover definitions.

Am I right that NT8 is not open to manipulate the rollover date tables mechanically?
Could you please check if the request ID #SFT-2048 reflects this feature correctly and pin this post to it additionally?

Many thanks again.

Joerg

[NinjaTrader_ChelseaB]

Hello Joerg,

I am not understanding your request.

It would not be advisable to change the rollover dates as they are defined by the exchange in NinjaTrader's database. These need to match other traders and need to match the settings of the exchange to properly build charts and do backtesting.

However, you can choose to rollover your chart before the rollover date (or after, though this would mean until you rollover you won't be getting any data)

I am not understanding what the rollover wizard would do.

You are wanting a wizard that will modify the rollover dates in the actual database that are defined by the exchange to new dates that are picked by a set of rules?

[Joerg]

You are wanting a wizard that will modify the rollover dates in the actual database that are defined by the exchange to new dates that are picked by a set of rules?

Yes, exactly that is what I am promising. But let me please specify it a little bit:

1. Sorry for disagreeing but, the exchange does not set the rollover dates. Every trader chooses its own rollover strategy and in result there are more or less common market practices when to roll over which contract. They are more common for financial futures but less common for commodity futures. The exchange only sets the last trading days, first notice days, expiration days and so on.

2. Dependent on the needs of each trader he chooses a different rollover strategy. The most common strategy of course is simply volume based. Whereby in some cases also the day when the volume shifts changes from time to time in a specific market based on market practices. E.g. it can be useful to roll over always on a Monday if the position is closed over the weekend anyway. Many scenarios are possible.

3. The roll over days in NT has been quite inconsistent in the past. E.g. in the chart attached you can see, that the July Soybeans have been rolled into August round about one week earlier than the volume has shifted.

All this has resulted in a lot of manual work around the roll dates in the past for me and some vendors have implemented such kinds of wizards to come around this issue. For me and I am sure for many other futures traders as well this would simplify the data management in NT substantially. In many other dimensions NT has big advantages against other tools but the roll over handling is definitely an issue for improvement.

And as said: it could be an optional override feature based on the current implementation of roll overs and a reset would be always possible based on the data coming from the NT servers.

Many thanks.

Joerg

[JerryWar]

Joerg,
I agree 100%, I requested something similar in the past, and in addition when Continuous contracts are created their has to be a specific rollover date. Esignal for items like the emini S&P use to use the 3 thursday of the month with a few exceptions. But that is really arbitrary and should be determined by volume change over in the contract.

[NinjaTrader_ChrisSch]

Hello,

Thank you for the feedback. I have submitted a vote to an existing feature request with the custom tracking ID SFT-2048 .

Please let us know if we may be of further assistance.

[Joerg]

Hello Chris,

many thanks. I just noticed that there are some wrong rollover dates in the current database. I just checked the GLOBEX symbols I follow and found 3 symbols with gaps in the merged contracts due to wrong rollover dates (please see attached chart).

Also for LB the rollover data end with the current front contract and will need manual adjustments in the coming months.

Bests,
Joerg

[NinjaTrader_PatrickH]

Hello Joerg,

Thank you for your response.

What dates are incorrect and what are the correct dates? Can you provide links to the correct dates you are pulling your information from?

I look forward to your response.