I need some help getting my head around continuous contracting and have a few questions.
1. Please explain how the Continuous Contracting is done on a Live Chart with a Strategy Running Live? Assuming I have a Strategy that uses Merged Contracts to calculate its indicators (e.g. 200 days required) and uses the current contract to place orders…
1a. On roll date for example, does NT adjust all the historical data, pull in the entire history for the ##-## contract again or do nothing and I have to go to the Historical Data Manager and manually pull in the entire history for each ##-## at expiry?
1b. Taking the above example, can I have NinjaScript automatically calling the next contract (to place trades on) once the ##-## expires, or does the script need to explicitly state the contract.
2. Please explain what criteria are used to determine the roll-dates for Merged contracts (e.g. Volume, Volume + OI, first trigger, second trigger)?
3a. On the one hand it appears that NinjaTrader calls the Continuous Contracts from the data-provider (e.g. Kinetic or eSignal), as evidenced by the difference in availability of ##-## contracts between providers.
On the other hand NinjaTrader provides both Contract Roll-Over Dates and back-adjusting Offsets under the following…
Tools >> Instrument Manager >> Instrument Editor >> Misc >> Contract months…
This indicates that back-adjusting is done locally (i.e. on my machine), however, when I go to Historical Data Manager to download a ##-## contract the individual contracts are not pulled in, indicating that the contract is sourced from the vendor. This raises the following sub-questions.
3b. Considering NT sources ##-## data from vendors and the roll-date and offset are in NT, does this mean that if we modify these NT will pull in our own custom format Continuous Contracts?
3c. Can I update Roll Over Expiries via NinjaScript and have the Merged contracts roll on the date I set via the script. If so, how?
3d. Can I update the Back-Adjust Offsets via NinjaScript and set the Offsets for the Back-Adjusting of contracts. If so, how?
3e. Considering all this stuff is in NT, when will NT incorporate it’s own back-adjuster.
I look forward to your answers and please correct any misunderstandings I may have.
Regards,
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