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    #16
    If you open the CL 03-13 before it was programmed to roll over, the historical data would be the 02-13 data, while the real-time data would be 03-13.
    MatthewNinjaTrader Product Management

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      #17
      Well then my description is NOT correct. Let me clarify that the issue at hand here is LIVE trading. I think I understand what is happening for historical trading and the merge function but that is not my concern in this thread. I believe the thread is confusing mixing LIVE context and Historical context - let's please focus on LIVE trading.

      From your last message,
      while the real-time data would be 03-13
      leads me to believe that the merging we've been talking about is not applicable in Live trading.

      Your 8:56 message says
      Looking at the chart, it appears the CL 03-13 is still merging into the CL 02-13 contract for your chart.

      If you started trading the CL 03-13 in 1/18, you need to make sure you've updated the merge policy to reflect this.
      but your last message at 11:48 says:

      If you open the CL 03-13 before it was programmed to roll over, the historical data would be the 02-13 data, while the real-time data would be 03-13.
      The last 2 quotes seem contradictory to me. Does merging happen during Live trading?

      If merging does not happen during live trading, then we still have to explain the chart I attached where the trade entry prices don't match the prices on the axis. In other words, there is some sort of funny data problem.

      Please understand that I am not trying to be argumentative - my money is on the line so it's important I understand the issues.

      Thank you for your patience.

      Comment


        #18
        There is no difference if you're trading live, or simulation, or backtesting,etc

        Regardless of what you're doing, the merge policy is going to work the same when you open a chart before the programmed merge policy.

        When you load the chart, it will merge the historical data up to the time the chart was loaded. All data on the chart is CL 02-13 in this case. At this point, your chart starts updating in real-time. This is CL 03-13 data.

        As you reload the chart throughout the day, or load the chart the next day or from another computer etc, the historic data is still CL 02-13 as per the merge policy.

        Lets say for example, today is 1/18/2013, and the merge policy is defined as 1/21/2013.

        At 10:05AM, you open a CL 03-13 chart with 3 days of data.

        All of the historical data before 10:05AM will be the CL 02-13 data.

        The data after 10:05AM, will be the real-time CL 03-13 which is merged into that CL 02-13 data.

        An hour later, at 11:05AM, you reload the chart.

        In this case, all of your data will now be CL 02-13 up until 11:05AM. Everything past 11:05 will be CL 03-13.

        If you do not agree with this behavior, you can always disable the merge policy moving forward.
        MatthewNinjaTrader Product Management

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