MergeBackAdjusted real-time issue

[dom993]

Hi there,

Like most, I use MergeBackAdjusted, which has many benefits for both backtesting and live trading.

However, in live trading, there is the following issue:

- the day prior to the configured Rollover date, from 6pm to midnight in real-time, it is impossible to use the new front-month contract with backadjusted data from the prior month going to 6pm.

- once past midnight, Ninja correctly displays backadjusted data from the prior month up until 6pm of the prior day to the configured Rollover date.


I understand for most people this isn't an issue, however I now have a strategy that is always in the market, and needs correct data 24/7 to execute.

I would certainly appreciate this being fixed, or a workaround provided.

Re. workaround, do not tell me I can use DoNotMerge, because in that case after doing the rollover I have different historical data, potentially leading to a different state for my strategy - it just doesn't work (for example yesterday, that strategy was short in the close on CL 04-13 data but long on CL 05-13).

Thanks in advance
Dominique

[NinjaTrader_Matthew]

Thank you for the feed back. What I can say right now is that in the next major release we are looking to improve data loading specific to session begin / end rather than local calendar date midnight to midnight as we do with NT7.

Other than that the only option would be to run the strategy on a provider that supports a continuous contract natively such as Kinetick in a multi-instrument strategy.

You would run the data calculations the CL ##-## contract and then submit the live order to the series with the active expiry (CL 05-13).

[dom993]

hi Matthew,

Since I am using Kinetick for my live system, there is some hope ... what would be the symbol to use for the continuous contract for CL?

Edit: OK I found that part ... sometimes I read to fast

How do I know in advance when that continuous contract switches from 1 expiry to the next? My strategy is pretty dependent on volume, and what I have found to be best for it is to rollover at the close 2 business days before the last trading day.

Edit: I can see from loading that continuous contract it did rollover Sunday at the open, that's 3 business days, still would like to know where to find that information

Thanks in advance
Dominique

[NinjaTrader_Matthew]

Hi Dominique,

From the list of Expiry in the Instrument Manager, you'll find a "##-##" symbol (literally) which you can add to your instrument list and will be continuous.

In the case of Kinetick/TeleventDTN, they will rollover on expiration date for the Nymex CL

http://www.iqfeed.net/symbolguide/index.cfm?symbolguide=guide&displayaction=support&section=guide&web=iqfeed&guide=commod&web=IQFeed&symbolguide=guide&displayaction=support&section=guide&type=nymex_gbx

If you're using volume, I'm not sure if that helps completely but it's the only option we have until the next major release.

Perhaps other community members have other creative ways they have worked around this they can comment on.

[dom993]

Thank you Matthew

FYI, per that link the rollover date is 3 trading days before expiration date (QCL) - that matches what I see on the chart.