Historical chart data on SGXNK in IB pulls from different contract

[wintermelon]

Hello,

When I load up the chart for SGXNK 06-13 using IB data, the historical data seems to be populated with the data from SGXNK 03-13. Basically I cannot get any historical bars of SGXNK 06-13.

This happens for all historical bars even on the same day. For example, if I load the chart at 10am, all the bars before 10am will be from SGXNK 03-13, only the subsequent bars using real-time data are plotted correctly for 06-13.

I saw this since 3 days ago and hoped that the problem would go away when the 03-13 contract expired yesterday. But now what is happening is that since the 03-13 expired, there is no historical bars plotted at all for the period after it expired.

I tried loading the SGXNK 06-13 chart on Amibroker and Amibroker was able to plot everything correctly, so the issue isn't from the IB feed.

[NinjaTrader_Kyle]

Hello wintermelon,

Thank you for your post.

Please open the Options menu (Tools > Options) then navigate to the Data tab. Which 'Merge Policy' is used?

[wintermelon]

Its currently "MergeBackAdjusted"

[NinjaTrader_Kyle]

Hi,

Thanks for getting back to me.

Please set the policy to 'DoNotMerge' then click OK and reload your charts.

[wintermelon]

Hi Kyle,

That did the trick. I read up on the merge policy in the help guide, but today for example, the 03-13 contract had already expired yesterday, shouldn't the MergeBackAdjusted policy purely load only the 06-13 data? It appeared that it tried to load the 03-13 1-minute bars which does not exist since the 03-13 contract had expired. When will the total switchover to the new contract happen? It wasn't specified in the help guide.

[NinjaTrader_Kyle]

Hi,

What data is used all depends on the rollover date defined in NinjaTrader's Instrument Manager:
Open the Instrument Manager by clicking Tools > Instrument Manager.
In the Manager, select the instrument from the list on the right then click Edit to open the Instrument Editor.
In the Editor, navigate to the Misc tab and scroll down to the Contract Months section - select that property then click the '...' button which appears.
In the Contract Months menu, select a contract to see it's rollover date.

With the 'MergeBackAdjusted' policy, this date is used as the cutoff point between contracts.

[wintermelon]

I see. I looked at the rollover date for SGXNK contract and saw that its not correct, have made the change.

Thanks much for your help Kyle!