Rolling Over a Futures Contract

[thostby]

Do I need to do anything else than:

1.Select the Tools menu within the Control Center followed by the Instrument Manager menu item

2.Left mouse click on the expired contract in the list to the left within the Instrument Manager window
3.Press the > button to remove the expired contract from the instrument list
4.Press the < button to add the current contract to the instrument list

I have done this, but the charts do not update automaticly to 10-12 from 09-12.

Do I need to do manually write this in to every chart with the same symbol?

When I tried to do this with some of the charts, I had a huge gap from yesterday to today.

Symbol is BRN

[NinjaTrader_Bertrand]

thostby, you would only need to do this once to rollover contracts on the default instrument list to a new expiry - the chart will need to be then individually updated to the new contract (10-12 for BRN since today).

Which broker / dataprovider are you using here and which NT7 version would you run as this happens?

[thostby]

Amp with cqg, Nt 7.0.1.000.10 64bit (direct live) and one account Live

[NinjaTrader_Bertrand]

Thanks, if you check under Tools > Instrument Manager for BRN, which rollover data and offset is entered for it? You can see those entries if you edit the BRN master instrument and expand the contract months section under the misc tab.

[thostby]

Take a look at the pic, it contains dates 10-12 and 09-12.
It is standard, I have not edited anything in these settings.

Yesterdays High 116.72 and close 116.25 on the chart is from 09-12 contract.

The open price today is around 114.30 ish for 10-12.

So it is probably correct that the gap is so big on my chart?

I thought it would maybe merge together, but that wouldn't be right either?

[NinjaTrader_Bertrand]

thostby, what's interesting is that your offset value is 0 - are you merge policies set to MergeBackAdjusted for the instrument if you check in the 'Definition' tab of the instrument manager for it?

If yes, please please blank out those offset values (remove the 0 entered) for the 09-12 and 10-12 contracts and then reload your BRN 10-12 chart, so offset values would be locally calculated then by NT.

[thostby]

It is globalsettings.
Under options, data, Historical chart data - merge policy is Mergebackadjusted.
I have now tried to remove the "0" in offset value for 09 and 10-12.
Now the gap is gone, but should not the high for yesterday be the "09-12" high, that was over 116. The high for yesterday is 114 on my chart with 10-12.


I don't know these rules that well, but yesterday I traded on 09-12 contract and the price went over 116 on the close. It is for me weird if the close of 116 isn't supposed to be yesterdays close because the new contract is now 10-12 which had a close on 114 ish yesterday.

Do you know how this works?

[NinjaTrader_Bertrand]

That's the idea of using merge back adjusted - historical prices are adjusted via the offset, so continuity in the continuous contract price chart would be retained. If you wish to preserve exact historical price levels you would need to use the merge non back adjusted option, however that would leave the natural gaps then in at contract boundaries.