Instrument rolling tomorrow

[pmaglio]

Looking at a chart ( like CL 03-11 ) which rolls tomorrow gives us a chart with historical data of CL 02-11 and live data of CL 03-11
Is that a correct feature ? or should it paint the same instrument both for previous bars as current ones ?

[NinjaTrader_RyanO]

Hi pmaglio,

Thank you for your post.

Based on the NinjaTrader Merge Policy this is expected. The Merge policy option can be found in the Data tab of the Options menu and sets how NinjaTrader handles the merging of historical data for futures contracts.
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.

*More information on Offsets can be found in the Editing Instruments section of the Help Guide.

MergeNonBackAdjusted
Selecting this option uses data from each individual expiry month across the time span of the historical data requested. Offset values are NOT used and leaves historical data as raw data.

For example: If requesting a chart of the ES 09-10 from June 1st through July 1st, two contract month 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; however, NO Offset value will be applied. The result is a continuous chart of ES front month data for the dates selected.Significant price gaps in the chart may be present due to changes in contract values that were NOT Offset.

DoNotMerge
Selecting this option will not merge any data and only show historical data for the front month selected.

For example: If requesting a chart of the ES 09-10 from June 1st through July 1st, two contract month were the front month during that time span (06-10 and 09-10). The 06-10 data will NOT be merged and only data for the 09-10 contract will be used. The result is a chart that goes as far back as there is data for the selected front month, which may be less than the requested date range.


Now, once roll-over day passes the Merge Policy will apply an adjustment if you are using the MergeBackAdjusted policy such that the historical data from 02-11 will be scaled with the 03-11 real-time and historical data.