Mixup of futures contracts in chart display?

[tickert]

Apologies if this has been posted before. I have done a quick search but couldn't find anything.

I'm using the Continuum demo data feed. Merge policy is merge back adjusted.

When I start NT8, connect and load 6E 06-16 there seems to be a large price gap between the historical data and the real time data, see screenshot 06-16 1Min Ninja 06-16 1Min OEC. Real-time data starts at 1:10.

It looks like the historical data is from the March contract and real time data from the June contract. See screenshot 03-16 1Min Ninja 03-16 1Min OEC and compare the bars with those in 06-16 1Min Ninja 06-16 1Min OEC before the long bar at 1:10.

I've included the OEC charts to show the difference, i.e. NT8 and OEC agree on the March contract, but are different for the June contract.

[sledge]

I noticed this also in NT7. ES had a huge gap.

Maybe this is the issue the other guy had with rollover earlier this week.

[NinjaTrader_RileyS]

Hello tickert, thank you for your reply.

Are you still experiencing this type of behavior? Also, what day did you take the screenshots? The reason why I ask is because I see the data in both of your NinjaTrader 8 charts as it being the 9th.

[tickert]

Hi Riley

I have had the same issue after 9 March, but right now I can't reproduce it with the June contract, presumably because the March contract is expired.

However, the same issue now shows up when I load the September contract (see left-hand chart in screenshot June Sept contracts gap). Once the first real-time data point comes in, here at 21:10, the price gap shows up. Prior to 21:10 the two charts are again identical.

I also noticed another issue for the first time, which is visible on the right-hand chart in the same screenshot. Whenever I change instruments and then switch back to 6E 06-16 the first bar that uses real-time data spans almost the whole chart vertically (at around 21:15). Switching instruments again at 21:20, the long bar at 21:15 is gone, but there is now one at 21:20 (see screenshot June contract long bar).

[sledge]

Hi Riley

I have had the same issue after 9 March, but right now I can't reproduce it with the June contract, presumably because the March contract is expired.
.

That is what I saw/see. Everything ended on the 9th and there were intradays missing.

Both on Rithmic and Continuum.

[NinjaTrader_RileyS]

Hello All, I believe I know what's going on here.

By default, the NinjaTrader platforms will merge the current contract's historical data with all contracts. The current contract for the 6E is the 06-16 in NinjaTrader. So, by default in NinjaTrader the merge policy, which influences what historical data that you see on your chart, is set to MergeBackAdjusted.

Now in our system, we have the 06-16 rollover set to the 11th of March. If you did the rollover before the 11th, you would have seen the 03-16 contract's historical data attached to the 06-16 contract month.

Same goes for the 09-16. If you load the 09-16 contract with the merge policy set to MargeBackAdjusted, then you will see the historical data from the 06-16.

To view each individual contract without seeing the historical data merged, you would have to adjust the merge policy to Do not merge [the historical data] which you can do by navigating to the Control Center -> Tools -> Options -> Market data section. In this section, set the option Global merge policy to Do not merge.

If you would like to merge the historical data to the newer contract, you would have to manually change the rollover date which you can do by going to the Control Center -> Tools -> Instruments -> double clicking on the instrument you would like to change the rollover date of -> In the Instrument window, scroll to the bottom of the window and select Contract months -> Choose the next rollover and change to the date you would like. Note to change the rollover dates, you must have the merge policy set to Merge back adjusted.

Note that the rollover dates that we have in our system our from historical rollovers.

Please let me know if questions come up.