Rollover NQ

[MacAttack]

What are the instructions to rollover NQ from June to September contract?

What dates do I use?

After I rollover do I then have to merge the previous data with the new contract?

What I would like is to rollover to the new contract and have the previous contract's data automatically merged with it, so I have a usable chart instead of a chart with 1 day of data on it.

Thanks.

[NinjaTrader_Ben]

Hello,

Please follow the instructions below to rollover the expiration date of a futures contracts.

• From within the NinjaTrader Control Center window select the menu Tools > Instrument Manager
• Highlight the contract you wish to rollover in the left side of the Instrument Manager window
• Press the ">" button (the instrument will disappear from the list)
• Press the "<" button and the instrument should re-appear with the front month expiration date

Click here for a video and further instructions

The correct dates will auto-fill but you can select them from the drop down expiry list.

You can merge the data, but you don't need to. If you choose to:

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

Your last statement is not possible by default. If you want this, I recommend using a data feed that supports continuous contracts:

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

(You will need to contact them to see if they support that contract.)

[MacAttack]

Do you know if ZenFire supports continuous contract data and if so what the symbol is for NQ?

[David Lean]

It is possible that other members will have other ideas, but my perspective is you are confusing a "Data" issue with a "Charting" issue.

In Short: This is something you get from your data vendor, perhaps they have offer "Continuous" contract for the set of Futures contracts that you regularly trade eg: NASDAQ 100 E-mini. Try plotting that.

In Detail

It is something I've encountered with many trading s/w packages not just Ninja.

Your Desire: To see a continuous set of prices that go back in history, just like stocks. Especially when you are backtesting.

The Assumption: To deal with stock splits & similar you just go back thru the stocks historical data & adjust it. So we should be able to do the same with Futures.

The Problem. Multiple Futures contracts exist & are actively traded at the same time. And they have different prices. eg: Some traders do nothing but trade the difference between 2 contracts with different expiry dates (arbitrage). So it is impossible to simply merge them together without distorting the value.

The Partial Solution. Ignore the problem & ignore the errors.
Start with the assumption that most people trade a specific set of contracts. (perhaps the quarterly expiry ones). So we will just use those. We will ignore any light trading on that contract while an earlier contract is the one most people trade. ie: In May 2010, we will only look at Jun2010 & ignore any trades on the Dec 2010 contract. We will only look at Dec 2010, after Sept 2010 expires (or perhaps 1st notice day, depending on when most traders swap to the next period.)

If we decide that in any specific period there will only be one "most heavily traded contract", we can combine append those contracts together into a continuous contract. Some data vendors "average" the prices between 2 contracts around the rollover period. Other just have a gap.