ES AutoMerge

[TraderSU]

Do we merge ES price/volumes for overlapping contracts or we just apply a cut-off date when we do auto merge?

Thanks,

[NinjaTrader_Ben]

Hello,

I am sorry, you are in the ATM section which doesn't seem to pretain to your question. Also, can you provider some screen shots of more detail regarding you question? Also, what version of NT are you on? This may help:

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

[TraderSU]

Hello,

I am sorry, you are in the ATM section which doesn't seem to pretain to your question. Also, can you provider some screen shots of more detail regarding you question? Also, what version of NT are you on? This may help:
http://www.ninjatrader-support.com/H...eV6/Merge.html

Probably it was more suitable for "Miscellaneous Support" section. Please move it there if you wish.

So guess only price is being adjusted during merge and old contract volume is stored without any adjustment.

[NinjaTrader_Ben]

Hello,

OK, let me know if you have any questions.

[TraderSU]

Just wanted to know about how volume is processed with automerge.

[NinjaTrader_Chip]

Hello TraderSU,

Let me know if this is what you were referring to:
Merge policy - Sets the merge policy for Futures contracts:
• DoNotMerge: historical data is not merged
• MergeBackAdjusted: NinjaTrader automatically merges and back adjusts historical data
• MergeNonBackAdjusted: NinjaTrader automatically merges, but does not back adjust, historical data

For complete details about how historical data is processed see the following:

http://www.ninjatrader.com/support/helpGuides/nt7/index.html?data_tab.htm

Please let us know if we can answer any additional questions.

[TraderSU]

Hello TraderSU,

Let me know if this is what you were referring to:
Merge policy - Sets the merge policy for Futures contracts:
• DoNotMerge: historical data is not merged
• MergeBackAdjusted: NinjaTrader automatically merges and back adjusts historical data
• MergeNonBackAdjusted: NinjaTrader automatically merges, but does not back adjust, historical data

For complete details about how historical data is processed see the following:

http://www.ninjatrader.com/support/helpGuides/nt7/index.html?data_tab.htm

Please let us know if we can answer any additional questions.

Yes, i was talking about MergeBackAdjusted

Do we process volume for this? If yes, what is the logic. If no, old contract overwrites the new one or other way?

[NinjaTrader_Chip]

Hello TraderSU,


MergeBackAdjusted:
Selecting this option uses data from each individual expiry month across the time span of the historical data requested. Offset* values will also be used to back adjust the historical data to match the next front month.

For example: If requesting a chart of the ES 09-10 from June 1st through July 1st, two contract months were the front month during that time span (06-10 and 09-10). The 06-10 data will be merged with the 09-10 data and an Offset value will be used to connect the last 06-10 contract data point with the first 09-10 contract point. The result is a continuous chart of ES front month data for the dates selected.

Please let me know if I can answer any additional questions.

[TraderSU]

Hello TraderSU,


MergeBackAdjusted:
Selecting this option uses data from each individual expiry month across the time span of the historical data requested. Offset* values will also be used to back adjust the historical data to match the next front month.

For example: If requesting a chart of the ES 09-10 from June 1st through July 1st, two contract months were the front month during that time span (06-10 and 09-10). The 06-10 data will be merged with the 09-10 data and an Offset value will be used to connect the last 06-10 contract data point with the first 09-10 contract point. The result is a continuous chart of ES front month data for the dates selected.

Please let me know if I can answer any additional questions.

I got that part. What about VOLUME? What volume will be shown for 10:05-10:10 AM candle of chart for the day 06/08/2010? ESH0 or ESU0 or their sum.

[NinjaTrader_RyanO]

TraderSU,

There is no merging of different front months' data. Rather the data for the 06-10 contract is displayed as part of the 09-10 contract up until roll over day.

So the data up until June 10th will be the 06-10 contract, which is then adjusted to match the prices, and thereafter it is data from the 09-10 contract.