Merge backadjusted still flawed

[Harry]

If you open a chart for ES 06-10 on rollover date, the data is completely false. The chart below suggests an intraday drop in price that took never place.

Problem: Offset is applied intraday and shown as a long red bar. I added ES 03-10 as a second data series to show the problem.

There really is a huge problem with NT7 handling data, session management, merging contracts. It is really rare to get a chart that is not flawed. I consider that this one of the most critical points.

[Harry]

I would call this a total disaster!

NT 7.0.0.10. with TWS 900.6, ES with globex template.

The whole thing is worse than I first noticed:

There are five remarks:

(1) there is no contract backadjusted to ES 06-10
(2) the offset is applied within the contract
(3) all data of ES 06-10 for today is false (contract price + offset)
(4) NT creates an artificial drop, where real time data is linked to historical data
(5) even the old contract ES 03-10 is flawed, because again session break and day break is confused (see other 4 bugs I already reported)

I would call this a disaster and I am extremely unhappy with this!

[NinjaTrader_JoshP]

Harry,

Please understand this is a beta and unfortunately you will likely run into bugs. This particular issue is a known issue and is likely unrelated to any of your other pending issues. We are already looking into it. Thank you for your patience.

[Harry]

Thanks for the answer

Thank you for answering Josh.

You are right, this is a pre-Beta. As long as you confirm that there is an issue and you are working on it, I am happy.

I am only feeling uneasy, because there are quite a lot of bugs that are related to MargeBackAdjusted and Session Management. Also my last impression was that MergeBackAdjusted should work as expected, but of course I am not aware of all the details.

[Harry]

Update

Today looks better, just all the data of rollover date is incorrect. Offset applied to new contract....

[hcgaloi]

I'm using TF and beginning of the week (M-Th) the rollover data were bad. Today (Fri) the data were correct.

[NinjaTrader_Bertrand]

Harry, thanks we believe we identified the offset issue and working on a fix.

hcgaloi, which front month were you using prior to the actual rollover day yesterday?

[Harry]

How to merge COIL ?

I entered COIl and tried to merge backadjust. Result: No merging at all. I am aware that the daily data of COIL is flawed, because the Interactive Brokers API of NinjaTrader is not fully compatible, but this should not prevent COIL intraday data from being merged.

I could observe that NT 7 simply continued to load the last contract back for 65 days, although I had entered a rollover date for COIL 05-10.

Just to check the settings:

Symbol: COIL||||1
MergePolicy: UseGlobalSettings (which is MergeBackAdjusted)
Contract month: 05-10
Rollover date: 11.03.2010
Offset: 0,3

Any ideas?

[NinjaTrader_JoshP]

Harry,

What kind of chart are you running? Daily? Minutes? What kind of data is available in your database? Can you please try deleting your daily data to force it to load from minute data?

[Harry]

Minutes only. Please find below a screenshot. On the right side you can see that the data series of COIL 05-10 was not built from backadjusting contract COIL 04-10 prior to rollover date. On the left side you will see my instrument settings, maybe something is wrong there.

I woud also like to use daily data, but it is now for years that NinjaTrader cannot correctly dispaly daily data from IB for a number of futures contracts. For COIL there are even entire days missing. This is a known problem of NinjaTrader that has never been solved ( I will repeat this from time to time to remidn you, see chart below)

Harry,

What kind of chart are you running? Daily? Minutes? What kind of data is available in your database? Can you please try deleting your daily data to force it to load from minute data?

[NinjaTrader_Bertrand]

Hi Harry, do you have a IB paper account with IPE data enabeld so I could use this to reproduce and look into here?

We fixed a related issue concerning rollover offsets / merging today which is incorporated in our next beta 7.0.0.11

[Harry]

Yes, I have a simulation account enabled for IPE, will send you a mail via support.

Hi Harry, do you have a IB paper account with IPE data enabeld so I could use this to reproduce and look into here?

We fixed a related issue concerning rollover offsets / merging today which is incorporated in our next beta 7.0.0.11

[Harry]

Still does not work on rollover date

Now testing NT 7.0.0.11 - seems somehow improved but still problems.

The problem occurs on rollover day. March 19 is the correct rollover day for CL 05-10, so I entered this date with an offset of 0,30. NinjaTrader default rollover dates for CL are irrealistic, but it can be overwrittten.

The chart below shows what happens:

(1) Historical data for old contract is correctly adjusted by offset of 0,30.

(2) Historical data for new contract on rollover date is displayed with a false negative offset of -0,30.

(3) Real-time data for new contract is correctly displayed.

So there is an island with a negative offset again.

To reproduce:

CL 05-10/ rollover date March 19, 2010 / offset 0.30
Session template NYMEX ETH, System time CET

[NinjaTrader_JoshP]

Harry,

That is simply the data for CL 05-10.

Attached #1 = CL 05-10 with DoNotMerge. Notice the gap.
Attached #2 = merging back adjusted will not remove above gap.

Please clarify if I'm missing something here.

[Harry]

Hi Josh,

I rebuilt the left chart that you attached (1 min).

The situation now changed, it is past midnight local time:

(1) data prior to midnight correct
(2) historical data after midnight with false negative offset
(3) real-time data correct