Calendar Spread

[marcoheimann]

Hi all,

I was not sure wether my question is related to charting or indicator development. Pleas feel free to move the thread.

I use the spread indicator found in the filesharing section (here) to chart calendar spreads.

It seems to work correctly most of the time but there are sometimes false plots. See for example the attached spread of YG 12-12 - YG 02-13.

In the first screenshot the primary instrument is 21/08/2012 but the data box displays 22/08/2012 for the secondary instrument (YG 02-13). If the spread indicator calculates the difference of the 2 closing prices it should plot -0.4, however it plots 17.5. In my opinion there must be a mix up with the dates or something. This is confusing.

If you look at the second screenshot you will see that the plot here is correct.

I know that NT does not support 3rd party Indicators, but it might as well be a data/charting issue and any help would be appreciated.

Thanks,

Marco

[NinjaTrader_Bertrand]

Hi Marco, there are no 2013 contracts per default setup in NT - how did you define it? Would it plot / chart the data as expected when viewed standalone without the indicator?

[marcoheimann]

Hi Bertrand,

I set the 02-13 contract in the instrument manager. I load it in the same panel then the 12-12 contract (actually it is the lightgrey line on the screenshots). Plots seem correct.

Also I do have the same issue with the YG 10-12 vs.YG 12-12 spread. From times to times there are spikes in the spread that are not correct. Still 80% of the time the indicator values are correct (verified in data box).

Marco

[NinjaTrader_Bertrand]

Yes, but what merge settings / rollover dates are spec'ed for it? Is this something you added to your NT? As this is not set by default for now (our next R11 will provide the update). Do you run those 2 expiries via DoNotMerge alongside each other?

[marcoheimann]

I DoNotMerge the contracts, otherwise the indicator plots 0. I did not specify the rollover dates, but as I said I have the same issues with october and december contracts from 2012.

Also, the errors occur more frequently than rollover.

Do you think I should not have the same issues for other contracts, let's say ZB 09-12 vs. ZB 12-12 for example?

[NinjaTrader_Bertrand]

I see, thanks. Correct on DoNotMerge you don't need the rollover dates spec'ed.

If those issue show up more frequently then rollovers, I would suggest to ping the indicator developer on it if he's aware of anything or if there's perhaps an updated version available - as in this case it would look to us like an indicator / coding issue vs a charting one.

[marcoheimann]

Thanks Bertrand, I just asked kdoren if there is anything I might have overlooked.

Marco

[NinjaTrader_Bertrand]

Thanks, would be great if you could update this thread with your findings.

[marcoheimann]

Ok I will come back here if there are any advances.

[kdoren]

YG 02-12 is very lightly traded, and on some days no price is reported at all (price = N/A in the data box). The spread indicator will just use the most recent reported price, which is from a different day, so the the output is useless because you couldn't actually trade it.

Try using my "index" indicator, which has a parameter "NoOutputWhenMissingInput" which, if set to "true", will not plot any output if an input is missing. For intraday use, there is a parameter "OldestDataMinutes" which specifies how many minutes old the data must be to be considered "missing". I've attached a plot.

http://www.ninjatrader.com/support/f...catid=4&id=456

But of course, it's only practical to trade spreads of actively traded instruments. You could try using GC as a proxy for YG because it's more actively traded, but even GC-02-13 doesn't trade on some days.

-Kevin

[marcoheimann]

Hi Kevin,

Thanks for the quick answer, ad thanks again for sharing the indicators. You're right about the light volume in the 02-13 contract. I'll choose diffent contracts and use the index indicator for eliminating the spikes.

Best,

Marco

[pch221]

Calendar Spreads

Hi,
I need help with displaying two date series on one panel. I am trying to chart july KW and dec KW (but only 1 would show up on the panel). Also how do plot the kwz-kwn?
thanks
pam

[marcoheimann]

hi pch221!

The index indicator from kdoren works fine for charting of spreads or any synthetic contract. You can siply plot the difference between two futures contracts, actually you can do any calcualtion you want with the contracts.

For plotting two contracts in the same panel you don't need any indicators. You can do this with ninja natively. Just ad a second data seeries to your chart.

Marco

[pch221]

hi marco.
i am totally new on NT. I do not see any indicator from kdoren under my indicator list.
do i need to import this? i am using the free license. also, quick question: i am in the process of importing ninjatrader script but it keeps saying that i have a programming with error that has to be fixed before doing that. since i have not really done any customisation, any idea where the possible error maybe? do you know who i should contact for this?
thanks so much.
p

[marcoheimann]

Hi pch221,

The indicator from kdoren I was talking about is the one he mentioned earlier in the thread. I repost his link: http://www.ninjatrader.com/support/f...catid=4&id=456

You would have to import this file after dl, to find a new indicator called "index". this indicator allows to calculate spreads between multiple contracts.

For your scrpting error I suggest you to look in the log tab in the control center window to find out which script has errors. Then you can start debugging it. If you have problems you can ask in the programming section of the forum. They're really quick to respond.

Good luck and welcome!

Marco