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Issue with Future rollover

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    Issue with Future rollover

    Hi;
    Lately I have noticed that when adding a future contract (today I added FDAX) the instrument manager no longer defaults to the next expiry date. In this case it suggested Dec-11 as the expiry instead of Mar-12.

    Also when loading the historical data (I requested 120 days) it no longer does an automated merge. Looking at the FDAX it looks like it retrieves the history from the Mar-12 contract, rather then using the Dec-11 contract (and other previous contracts) to build the history.

    I am sure this was working differently before, e.g. when adding a future contract it would always default to the current expiry month or when loading the history it would correctly merge them.

    Any ideas what is causing this. I am using IB as the datafeed.

    Thanks
    Thomas

    #2
    Hi Thomas, is your Time and Date on this PC set and synched correctly?

    For the merge options, please check what policy is set on the instrument and global level - you would see this

    a) under Tools > Instrument Manager for the FDAX master intrument
    b) under Tools > Options > Data for the global setting
    BertrandNinjaTrader Customer Service

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      #3
      Hi,
      thanks for the quick reply. Yes my PC shows the correct time date and date. Not sure what you mean with synched but I sychronize my time regularly witht the windows time server.

      FDAX merge policy is set to UseGlobalSettings
      I have attached a screenshot of the Data settings.

      Thanks
      Thomas
      Attached Files

      Comment


        #4
        Ok, and the FDAX master instrument is set to use the global policy then?

        For the time sync, please try another server as well as we have regularly seen issues with the one you mentioned. For example try time.nist.gov please and reboot your system then fresh after the sync.
        BertrandNinjaTrader Customer Service

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          #5
          Yes the FDAX is set to use the globalpolicy.

          I have changed the timeserver and will test again after next reboot to see if that makes any difference.

          Just to clarify though can you confirm that the default functionality is:

          1) when choosing a future contract in the Instrument Manager it should default to the current expiry month. In the example of FDAX to Mar-12

          2) When loading (or reloading) history it should automatically merge past contracts.

          Thomas

          Comment


            #6
            Correct Thomas, it would default to the next available expiry month then.
            BertrandNinjaTrader Customer Service

            Comment


              #7
              Changed the timeserver as suggested and rebooted the system, still the same issue. Any other ideas?

              Comment


                #8
                Unfortunately not, I would need your workspaces / logs - traces and to try to reproduce on our end here then. You could send this info in via Help > Mail to Support.

                Thanks,
                BertrandNinjaTrader Customer Service

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