Merging issue w/ CL

[smeagol]

I only have the Zenfire feed and understand that I will not get historical daily bars but tick and minute should be stored. I have selected `store real-time data` about two months ago.

I have recently merged the current CL contract (March) with the February. There were no error reports and I can see volume/price filled in when looking at the new merged March contract. The problem is incorrect price changes. I`m attaching two pictures to clarify.

The first pic shows the merged CL (March) contract with the high on 1/11/2010 just above 84.00. That is one example of the incorrect changes post merge. The RTH high on that day was actually 83.73.

The second pic is when I chart just the expired February contract. All prices appear accurate. I`ve tried everything and went through most of the threads here. Hope someone knows how to fix this.

If I wanted to merge again is the only option to delete historical data to undo the merge? Would that result in a complete loss of the February data I have stored on my computer since I only have Zenfire?

Thank you

[NinjaTrader_VinceB]

Hi,

Thanks for posting.

Someone will get back to you later this morning.

[NinjaTrader_Kyle]

Hello smeagol,

Thank you for your post.

1.) Price changes after merging:
Prior contract data is adjusted since there is always a price difference between the expiring contract and the current front month contract. This is called the "premium" and includes the cost of interest and the dividends of the underlying index.

The formula used to back adjust historical data is as follows:


New price = Old price + (Open price of front month of merge date - Close price of expiring month on the day prior to the merge date)

2.) Merging again:
Correct, the only way to accomplish this would be to delete the existing data, reload both contracts, then merge again. I expect that you would receive the same results if you choose to try this.

[Brutus]

Hi
Is there a way to merge data without the back adjustment? (really needed for the CL contract)

Suggestion: A check box to disable the automatic adjustment.

[NinjaTrader_Jason]

Hello Brutus,

You could export the historical data from the two expiries and manually merge the text files to your liking.

Subsequently rename the text file for the current expiry.

Start NinjaTrader and subsequently import the merged text file.

Export

http://www.ninjatrader-support.com/HelpGuideV6/Export.html

Import

http://www.ninjatrader-support.com/HelpGuideV6/Import.html

In addition, merge functionality will be improved in NinjaTrader 7. Please see the link below for more information.

http://www.ninjatrader.com/webnew/NT7/NinjaTrader7.html

New Continuous/Merged Futures Contracts
The concept of continuous contracts are implemented in a manner that allows you to continue to work with the front month for trading (ES 09-09 is the current front month as of this writing) and define a rollover date, June 11, 2009 is the contract boundary between June and September contracts. Rollover dates for the most popular futures contracts will be managed by NinjaTrader server and automatically uploaded to you. You can of course overwrite this. You then set up a "Merge policy" globally which can be overridden at the instrument level. As you request a historical chart, if the days to load crossed over the rollover boundary, NinjaTrader will transparently request the prior month(s) historical data and merge it into one Data Series based on the selected merge policy. This entire process is of course transparent to the user and ensure that a complete chart is received and that you know which contract you are actually executing trades against.

[Brutus]

Thanks Jason

I did it and it was very fast and easy.

Good to see the option being added for NT7