How can I merge back adjusted for future months?

[Trader_55]

I am trying to get a chart for ZS 11-12 and ZC 12-12 to show up, where it merges data with past contract months.

The problem is that the current front-month for ZS is 08-12, and there is also 09-12 defined in between. I know that for rollover when there is only a few days diffference, I can go in and modify the rollover date for the next month to be a bit earlier if I want to start showing it before the "official" date.

However, 11-12 is far in the future, and if I set the rollover date to today's date it doesn't look right to me. What dates would I use and how would I go about setting up ZS to show a continuous contract for 11-12 as of today?

[NinjaTrader_Kyle]

Hi Trader_55,

Thanks for your post.

Adjusting the defined roll-over dates within the Instrument Editor would be the only way to go here. Can you provide an image of your chart and clarify for me which specific dates you'd defined for any expiry you'd modified? Likewise, please let me know which data provider you're using with NinjaTrader - I'll need to begin by testing with the same setup here.

[Trader_55]

Hi Trader_55,

Thanks for your post.

Adjusting the defined roll-over dates within the Instrument Editor would be the only way to go here. Can you provide an image of your chart and clarify for me which specific dates you'd defined for any expiry you'd modified? Likewise, please let me know which data provider you're using with NinjaTrader - I'll need to begin by testing with the same setup here.

Here are some screen shots for how I modified the roll-over dates for 09-12 and 11-12 as well as a screenshot of the chart and my settings. I have a custom session defined from 6 PM to 5:30 PM the next day, and it doesn't make a difference if I change the session template. Notice that the chart is wrong - the recent price high should be around 1700 for ZS 11-12, and that is not showing.

Also, those offset values were created by NT - I just originally left them blank.

[NinjaTrader_Kyle]

Hi Trader_55,

Which data provider do you use with NinjaTrader?

[Trader_55]

Hi Trader_55,

Which data provider do you use with NinjaTrader?

Sorry forgot about that - I am using Zen-Fire.

[NinjaTrader_Kyle]

Hi Trader_55,

Thanks for clarifying.

Could you please load ZC 11-12 in the Orders tab of the Control Center window - do you see data updating here or do bid, ask and last price report 'n/a'? On my end, I see data avaialble in real-time only for the 09-12 front month - do you see the same?

[Trader_55]

Actually it's ZS 11-12 .... ZC would be the 12-12 month. And yes, I do see data for those 2 instruments and contract months.

[NinjaTrader_Kyle]

Hi,

Can you clarify for me what you mean by 'Actually it's ZS 11-12 .... ZC would be the 12-12 month'.

We're charting the 11-12 front month in the image you'd provided. I too see real-time data for the 12-12 front month.

[Trader_55]

What I meant was that you asked for ZC, which is the corn contract, not ZS, the soybeans contract. I assume that you meant ZS, since that is what I have sent you data for. ZC (corn) does not have any trading for 11-12, since it is not active... the active month for that one is 12-12. But in this case, we are trying to solve ZS (soybeans) anyways....

[NinjaTrader_Kyle]

Hi,

Thanks for clarifying!

Was the recent high near 1700 you mentioned the high on the 22nd? What high are you seeing for that date? The current setting for the 11-12 expiry is the 24th according to the images you provided - data prior to that point in the chart would be from a prior contract.

[Trader_55]

No, that high was from the 20th to 22nd or so... basically, I load up a chart of the 11-12 contract with the settings at "DoNotMerge", see what that looks like, and then try to get the merge-adjusted contract to look the same if you are playing with it...

[NinjaTrader_Kyle]

Hi,

That's actually the first step I took in this case. Can you clarify for me where we should be seeing the high you mentioned after the 24th?

When comparing the merged and non merged charts, they do appear the same after the roll-over date which you've defined on the 24th. (see attached)

[Trader_55]

Sorry, I have shut down NT right now as I have to go out for a few hours... however here is a chart from finviz.com which shows (I presume) the latest soybeans chart, which has a high actually approaching 1800. Maybe I don't have the right settings. How about we forget about my particular set up and just see if you can get something up and running with a chart that shows a merge back-adjusted contract for ZS 11-12 going back 2 months, which basically matches the same chart for ZS 11-12 without any merging. If you can get that set up, I will assume that it is correct and use that. Then we can discuss how you did it...

[NinjaTrader_Kyle]

Hi Trader_55,

I believe that setup is already in place. Please double-check the data provided by Zen-Fire on your local machine (different data feeds will provide different data) and let me know what differences you see after the defined roll-over date of the 24th.

[Trader_55]

Thanks.... I figured out something where I just set the rollover date a few months in the past... don't know that it's 100% correct, but it looks close enough.