Contract rollover

[ofir_y]

Dear support team,

I'm using IQFEED as my data service provider, and I try to find the fastest and easiest way to rollover to new September contract.

In one of the last threads, with the title "Which data feeds support continuous contract?", the answer was: "Currently Kinetick, eSignal, IQFeeed and Barchart will offer continuous contracts within NinjaTrader.
NinjaTrader will automatically merge data to build continuous data. For example if you open a 6E 06-12 chart with 60 days set to load NinjaTrader will merge data from 6E 03-12 into 6E 06-12 to backfill your chart."

Does it mean that all I have to do in my charts is to chane the instrument in the "Data Series" window to "ES 09-12", and Ninja Trader will start use it and back fill the history with June contract data up to the rollover time?

What is that exact rollover time?

Thanks,
Ofir

[NinjaTrader_Kyle]

Hello Ofir,

Thanks for your post.

That is correct - you would simply need to select the 09-12 expiry of YM and NinjaTrader would automatically merge and back-adjust data from the 06-12 expiry to act as historical data in the charts. This will be the case by default so no special steps are required.

Most instruments (YM included) roll over on the second Thursday of the expiration month - the 14th of June in this case as I recall.

[Radical]

Most instruments (YM included) roll over on the second Thursday of the expiration month - the 14th of June in this case as I recall.

I don't mean to nit-pick, but while that is usually true, this time rollover is happening on June 7th (tomorrow). I think it's something to do with the 1st of this month being a Friday.

[ofir_y]

Guys,

Thanks for the prompt answers.
I'm using the ES contract - I guess that's all true also for it, is that corrrect?

As far as I know, I think Radical is correct. Since this month's first day is Friday, the rollover happens at the first Thursday of the month.

Can you tell what is the exact "sewing" point of the new contract to the old one? Is it the rollover day (Thursday 7th) or the expiration day (Friday 15th)?
Should I change the instrument to "ES 09-12" after the rollover time or after the expiration time?
Do you knoe by chance the exact rollover time (by minute)?

Thanks,
Ofir

[NinjaTrader_Kyle]

Hi Ofir_y,

Yes, today is roll-over day for most US Index Futures, ES included.

By default, NinjaTrader would use roll-over day as the breaking point between this front month and the last.

Unfortunately, I'm not sure what time this takes place at a minute level - I would expect that the open would be the official break point, but I'm not able to find a source explicitly confirming or denying that.

[ofir_y]

Dear support team,

I followed the instruction under the "Rolling Over a Futures Contract" section, and then selected the new contract in my charts. The new contract was taking place, but it seems that all the history of the chart (including the times before the rollover) was adjusted to the new contract (i.e., ~6 points bellow the price of the old, 06-12 contract).

Is that how it meant to be? (I thought the new contract will be "sewed" to the new contract starting at the rollover time)

Thanks,
Ofir

[NinjaTrader_Kyle]

Hi ofir_y,

The data prior to today would consist of the 06-12 expiry - the close of that data and the open of the 09-12 expiry would not match however; this is where the adjustment comes in to play.

[ofir_y]

Kyle,

I'm afraid that's not the case in my charts.
As I wrote bellow, the whole history of the charts was recalculated and lowered by 6 points.

Did I do anything wrong?

Thanks,
Ofir

[NinjaTrader_Kyle]

Hello,

Please contact me with a note to Support [AT] NinjaTrader [DOT] com.

In your note, please include a link to this thread and images of both the 06-12 and 09-12 charts.

To send a screenshot press Alt + PRINT SCREEN to take a screen shot of the selected window. Then go to Start--> Accessories--> Paint, and press CTRL + V to paste the image. Lastly, save as a jpeg file and send the file as an attachment.
For detailed instructions please visit the following link

• http://take-a-screenshot.org/