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Futures Rollover with Interactive Brokers data

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    Futures Rollover with Interactive Brokers data

    I just switched from ES 03-12 to ES 06-12 for the futures contract rollover. My ES charts now show an incorrect closing price on last friday of 1353(should be around 1371) and a correct opening price tonite of 1365, and the entire previous history of the chart is also showing lower, incorrect values. If I look at the historical data, it shows the correct prices.

    I am using an interactive brokers data feed, but that shouldn't be the problem since the data is correct in the database.

    Previously for 9 months I was using a zenfire data feed and did not have this problem.

    I have it set to merge backadjusted historical data.

    How can I fix this problem?

    #2
    Hi buzz339,

    Thanks for your post.

    Could you please try setting your Merge Policy to 'DoNotMerge', then reload your charts? Are these the results which you're looking for?
    KyleNinjaTrader Customer Service

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      #3
      When I do that it no longer shows previous data at all. Only today's data is shown, which is only a few bars.

      Comment


        #4
        Hello,

        Please change the session template to 'Default 24/7' and increase the lookback period of the chart if needed. After making this change, reload the chart and prior data should be available based on my testing here.
        KyleNinjaTrader Customer Service

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          #5
          I already had that session template setting, and my chart lookback is 7 days which covers part of last week. Any other ideas?

          Comment


            #6
            Do you see the historical data in the Historical Data Manager-->Edit-tab for the ES 06-12?

            Are you able to load historical data for the ES 06-12 in TWS?

            Do you expect only historical data from the 06-12 expiry in the chart or do expect historical data from the 03-12 to be merged?
            JasonNinjaTrader Customer Service

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              #7
              Previously when I was using a zenfire data feed NT would merge the two, and the chart would be continuous. Now it is displaying the values of the 3-12 data about 20 points lower than the actual number in the database, and also showing the 6-12 data, but correctly. So I see a huge gap up from 1352 to 1365 on my chart.

              If I switch the chart to display ES 3-12, it displays all the previous data on the chart correctly.

              So for some reason NT is adjusting the previous data lower when I choose to merge the data (again this did not occur previously when I was using zenfire data).

              Yes I can see both the 6-12 and 3-12 data in the historical database.

              Comment


                #8
                buzz339,

                Can you take a screen shot of the ES 06-12 chart and attach it to your reply so we can view the merged data.

                Additionally, what happens when you Right click and reload all historical data on the 06-12 or 03-12 chart?
                CameronNinjaTrader Customer Service

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                  #9
                  I have attached my chart. Ignore all the indicators, just look at 3/11 to 3/12 transition of price.

                  I cannot reload historical data on the chart because that selection is greyed out. I think that has something to do with using IB as the data source because it was not greyed out previously.

                  ---Additional info---
                  I just opened 2 charts side by side - an ES 3-12 and an ES 6-12. I do see the problem now - the ES 6-12 chart does NOT show thursday or friday, 3/8 and 3/9. That explains the large gap. So now the question is ... why are these two days missing on the ES 6-12 chart, even though they do show up fine on the ES 3-12 chart?
                  Attached Files
                  Last edited by buzz339; 03-12-2012, 08:30 PM. Reason: additional information

                  Comment


                    #10
                    Yes, unfortunately IB does not support historical tick data so you cannot load historical data in range charts.

                    What 'Merge policy' do have configured as per the ES instrument? Please go to Control Center-->Tools-->Instrument Manager, highlight the ES and click Edit. The global setting can be found at Control Center-->Tools-->Options-->Data-tab.

                    If set to MergeBackAdjusted, the historical data from the previous expiry is adjusted to be in synch with the 06-12 data in charts.

                    I suspect the gap between 3/11 and 3/12 is caused by missing data. If you check the Edit-tab of the Historical Data Manager, do you see missing tick data?

                    If you still have access to Zen-Fire, please reload historical range data while connected to Zen-Fire.

                    The days are missing on the 06-12 chart, because 06-12 data is used for these dates. Historical data before 3/8 is loaded from the 03-12 expiry.
                    JasonNinjaTrader Customer Service

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