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Understanding Merge Policy

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    Understanding Merge Policy

    Using NT 7.0.1000.14, I recently experimented with different merge policies and now find that my data has changed.

    I have collected ES data live from my data provider for the last 6 months with master instrument set for "GlobalMergePolicy", and Tools>Options>Data set to "MergeBackAdjusted" and "SaveChartDataAsHistorical".

    My experiment was to change Tools>Options>Data from "MergeBackAdjusted" to "DoNotMerge", run some backtests with Strategy Analyzer, change to "MergeNonBackAdjusted" run some more backtests and then change back to the original "MergeBackAdjusted". This took about 20 minutes.

    Now I observe that my data has changed as my backtests are yielding different results, even though the merge policy was returned to the original setting.

    I have 2 questions:
    1. Is there a way to return my data as it was, or have I corrupted the file?

    2. Does merge policy change the original raw data as received from the data provider, or does it modify raw data each time it feeds a software module such as a chart?

    #2
    Hello Camdo,

    Thank you for your post.

    The Save Data As Historical option is only intended for use when your data feed provider does not support historical data. Are you able to download historical data from your data feed provider?

    I have ran a few tests on my end and I do not see a change in data itself when using MergeBackAdjusted or MergeNonBackAdjusted. Can you provide an example of this that I may investigate further on my end?

    I look forward to your response.

    Comment


      #3
      The Save Data As Historical option is only intended for use when your data feed provider does not support historical data. Are you able to download historical data from your data feed provider?
      My data provider is MBTrading and their historical data is limited, so I run NT 24/7 to collect data and save it for future use.

      I have ran a few tests on my end and I do not see a change in data itself when using MergeBackAdjusted or MergeNonBackAdjusted. Can you provide an example of this that I may investigate further on my end?
      My experiment was to change Tools>Options>Data from "MergeBackAdjusted" to "DoNotMerge", run some backtests with Strategy Analyzer, change to "MergeNonBackAdjusted" run some more backtests and then change back to the original "MergeBackAdjusted".

      Can you please answer this question:
      Does merge policy change the original raw data as received from the data provider, or does it modify raw data each time it feeds a software module such as a chart?

      Comment


        #4
        Hello Camdo,

        Thank you for your response.

        The raw data is not effected by the Merge Policy. The Merge Policy does however effect how the data is viewed on charts and how it is tested in the Strategy Analyzer, bu t once more the raw data is not changed in anyway.

        I cannot re-create this on my end with my tests with the Strategy Analyzer and Merge Policy. I do believe this may be related to having the Save Chart Data As Historical enabled and at the same time still downloading historical data from the data feed provider.

        You can disable the download of historical data from the data feed provider if you wish by going to Tools > Options > Data > disable the option for Get Data From The Server > OK.

        Please let me know if this corrects the data.

        Comment

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