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Futures Contracts Months & Database

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    Futures Contracts Months & Database

    I am seeing two issues with your futures contracts and databse interaction.
    I am using Kinetic historical data


    1) The offset value

    - Please look at MGC 06-16 as an example
    - Your database gives an Offset value of 2.4 for the 31/03/2016.
    - Your help pages says that the value is either taken from your database (if available) or calculated locally. If caculated locally, we take the difference between the close of new and old expiry one day prior to rollover date.
    - If i take the close values from the historical database on the 30/03/2016, i calculate the offset value to be 1.7, not 2.4. (1228.6- 1226.9).
    - So.. this implies that my offset value is not being calculated locally.
    - So its calculated in your end (with different data I assume).
    - Question: what data are you using for this and how do you get to an offset of 2.4 ?
    - If I dont like the offset value, but agree with your rollover date, I have a problem because I cant change it; the database will override any changes I make.
    - Question: why cant you allow me to have full control of my offsets/rollover dates ?


    2) Deleting contract months

    - there are contracts months that we are just not interested in trading.
    - October Gold.. for instance
    - May Hogs .. for instance
    - I remove the contract from the Contract Months list, as your the help pages says; "You can add and remove contract months by selecting the add and remove buttons in the bottom of the Configured section."
    - Great, the contract is gone.
    - Then I restart NT (there are a number of reasons we have to restart NT; always against our wishes but it happens)
    - The contract which I deleted now re-appears in the list
    - This must be a bug, one of the nasty variety
    - Question: Can/will you fix this please ?

    Thank you in advance

    -

    #2
    - Question: what data are you using for this and how do you get to an offset of 2.4 ?

    The data comes from our servers which is unfiltered with close prices adjusted to the exchange-provided settlement price. The offset is calculated by taking the close of the previous contract and the close of the current contract from the day before the rollover date. The difference is the offset.

    In the screenshot below, I have provided an MGC 04-16 and MGC 06-16 daily chart with a data box displaying OHLCV information for 3/30 (day before 06-16 rollover). The close of the 04-16 is 1224.1. The close of the 06-16 is 1226.5. The difference is 2.4. This is the offset value of the 06-16 contract:

    http://screencast.com/t/lMO3Qknng

    - Question: why cant you allow me to have full control of my offsets/rollover dates ?

    The current behavior is that the default rollover date will always pull its offset using the above calculation. It cannot be adjusted manually. If you were to change the rollover date, it would be calculated locally and this value could be adjusted.

    I will submit a feature request to be able to adjust the offset of the default rollover date.

    - Question: Can/will you fix this please ?

    Development is aware of this and is discussing internally what changes should be made moving forward.
    Patrick G.NinjaTrader Customer Service

    Comment


      #3
      Thanks Patrick,

      1) "unfiltered with close prices adjusted to the exchange-provided settlement price."
      Is the close price you are using the Last Traded Price or the Settlement price ?
      I see the close (settlement price) provided by Kinetic as 1228.6 (06-16) and 1226.9 (04-16); not the values in your reply. What exactly is 1224.1 and 1226.5 ?

      2) "The current behavior is that the default rollover date will always pull its offset using the above calculation. It cannot be adjusted manually" - I hope the Ninja Trader product team can understand that this isnt cool. I undertand its the current behaviour, but I am (and many others as I can see) saying that it may not be the best approach.
      If you have a rollover date of X, and I am happy with that date, but "your data" isnt in line with Kinetic or whatever I am using for historical data.. then there is a wrong data point. I understand I can change the rollover date to have my own value, but .. i dont want to change the date. Thats the date I want to use, but I want a different offset value.. There isnt any value is pushing these offsets through, it would more accurate and simpler to let NT calculate these offsets locally from the historical data.

      3)"Development is aware of this and is discussing internally what changes should be made moving forward." - Great; thank you, is there a development ticket for this item or a reference once can used to track this issue ?

      Comment


        #4
        1) I am working with the Development Team to learn more about the expected behavior here. I will follow up when I have more information

        2) I understand the benefit this could have for NinjaTrader users. As I mentioned, I've sent a feature request to the Development Team to consider changing the expected behavior

        3) This is being tracked as NTEIGHT-10119
        Patrick G.NinjaTrader Customer Service

        Comment


          #5
          Offsets not being saved to database

          4) I am using RC2 and am seeing a new bug which I have not previously encountered, in other versions of Ninja Trader 8. My offsets values are not being saved even though iam using different rollover dates from the ones provided by Ninja Trader.
          Whenever I restart NT8, i find that my new rollover dates are saved, however the offsets values have reverted to the Ninja Trader server provided values.

          Example:

          OJ 11-16
          NT server rollover date: 19/08/2016
          NT server offset: 2.05


          I change this to:

          My rollover date: 18/08/2016
          My offset: 0.95


          I restart NT and see:

          My rollover date: 18/08/2016
          NT server offset: 2.05
          (my rollover date is saved, but not my offset).

          I have not seen this behaviour before.
          I reset the DB and the Instruments, and the problem persists.
          This is affecting all my contracts and all my rollovers, approximetaly 185 values that I need to manage.

          Please let me know if you can replicate/ fix this issue.
          I cant trade my strategy until this is fixed, please assist, thank you.


          2) "I understand the benefit this could have for NinjaTrader users. As I mentioned, I've sent a feature request to the Development Team to consider changing the expected behavior" - can you provide the reference for this dev item ?

          Comment


            #6
            1. I can reproduce this behavior. I will forward this to the Development Team. Thanks for bringing this to our attention
            2. The feature request is being tracked as SFT-1694
            Patrick G.NinjaTrader Customer Service

            Comment


              #7
              Thanks Patrick,

              1) Can you kindly provide the Tracking number for this issue ?

              Comment


                #8
                Originally posted by aavevo View Post
                thanks patrick,

                1) can you kindly provide the tracking number for this issue ?
                nteight-10638
                Patrick G.NinjaTrader Customer Service

                Comment

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