Calculation of offsets

[Harry]

I just checked the offsets for the current ES contract. I use daily Kinetick data.

I expect that the offset is calculated by using close (settlement) prices of the session prior to rollover. Rollover date for ES 12-10 was September 9 , so I look at the settlement prices from September 8:

ES 09-10 (source Kinetick) 1099.25
ES 12-10 (source Kinetick) 1094.50

The offset should be -4.75, however NT7 has calculated an offset of -5.00.
How can this be explained?

[NinjaTrader_Kyle]

Hi Harry,

Thank you for your post.

I think you're looking at the wrong contract (this is the value I see for 12-10), please check 03-11 instead.

[Harry]

Hi Harry,

Thank you for your post.

I think you're looking at the wrong contract (this is the value I see for 12-10), please check 03-11 instead.

No, I am not looking at the wrong contract, please read my question again. 03-11 cannot have an offset yet, as the rollover date is yet to come.

[NinjaTrader_Kyle]

Hi Harry,

Thanks for the clarification and for reporting this.

The value is incorrect and we plan to change it this weekend.

[Harry]

Hi Kyle,

my question did not only relate to that value. I want to understand, how this value was calculated. Could you please clarify, whether

(a) the values are downloaded from your server ( I am not a Zenfire customer)
(b) or calculated locally from my daily data.

So far I could not understand, how the calculation of offsets worked, as I have encountered all sorts of values in this field. Sometimes correct values, sometimes false, sometimes 0. I need to maintain an excel database in parallel and check the values every now and then.

Hi Harry,

Thanks for the clarification and for reporting this.

The value is incorrect and we plan to change it this weekend.

[NinjaTrader_Kyle]

Harry,

The value is downloaded from our server.

[Harry]

False offsets

Just checked the offsets for 6E. If I calculate offsets with the default rollover date, I get

when using the settlement price

- daily chart for 6E 03-11, look for settlement on Dec 09 2010 -> 1.3229
- daily chart for 6E 12-10, look for settlement on Dec 09 2010 -> 1.3236

when using the closing price

- open intraday chart for 6E 03-11, look for close on Dec 09 2010 -> 1.3237
- open intraday chart for 6E 12-10, look for close on Dec 09 2010 -> 1.3244

In both cases the offset would be -0.0007. The offset downloaded from your server is - 0.0006.

I have noticed that the offsets downloaded from NT servers are somewhat arbitrary, Or maybe I simply do not understand how they are calculated. Is there any possibility to have correct offsets on the servers, or not have them at all, so that NT will calculate them locally from my data?

Currently, I have to do manual calculatations for all of them, because often they are false.

[NinjaTrader_Kyle]

Hello Harry,

The offset uses data (Daily RTH) values from Zen-Fire - based on the values you posted, you're looking at Kinetick values.

The Zen-Fire values are these:
Daily 6E 03-11 close (12/9): 1.3230
Daily 6E 12-10 close (12/9): 1.3236


It's not currently possible to disable the loading of these values from the server, but I will forward that suggestion on to development for further consideration as a future addition.

[Harry]

In doubt, I would take the official price of the exchange. I think that this price is collected by Kinetick - at least that is what I have found so far. But I may be wrong.