Skipping months in continuous contracts

[MRToby]

Is it possible to create an un-adjusted continuous futures chart that only plots specific contract months instead of the continuous contract simply rolling to the next available contract?

For example, Soybeans (ZC ##-##) will roll from Jul>Aug>Sept>Nov, but commercial trading volume tends to skip August and September, so I don't want to be trading or charting those contracts, but I'd like a continuous chart of all the other months that shows the contract months Jan>Mar>May>Jul>Nov because that's where all the "real" trading happens. In Tradestation, I could get this by adding +FHKNX to the continuous contract symbol of @S=110XN. Is something like that possible with NT8?

Thanks
Toby

[NinjaTrader_PatrickG]

This requires a bit of manual manipulation of the contract's rollover dates. I will be submitting a feature request (EDIT: tracking number SFT-2543) to make this process more user friendly, but here are the steps you need to take to 'skip' contract months.

First, you can't use the continuous contract. You need to use a contract month. Also, you will need to change your 'merge policy' to 'merge non back adjusted':

• Control Center > Tools > Options > Market Data
• Change the 'merge policy' to 'merge non back adjusted' > OK

After this, we need to change the rollover date for the month after the month we would like to skip and make it the same date as the month we want to skip. In this example, we will be modifying the ZC 12-17 rollover date to the same date as the ZC 09-17 to skip the ZC 09-17:

• Control Center > Instruments > Locate and select 'ZC' > Edit
• Scroll down and click on 'xx rollovers' to the right of 'contract months'
• Select '09-17' > make note of the rollover date (06/23/2017)
• Select '12-17' > Change the rollover date to '06/23/2017' > OK > OK > Close

(you'll need to repeat the last two steps above if you'd like to skip the September contracts for other years)

Load a chart of the ZC 12-17. You'll now notice that historical data is merged between 07-17 and 12-17 on 06/23/2017 and completely bypasses the 09-17 historical data.

[MRToby]

Thanks Patrick