Continuous contract and gaps

[Mercader]

Hello

I´m using policy of "mergebackadjusted" for my backtesting. I have realized that it only works on the current contract but it doesn´t do on the continuous contract where the gaps of the rollover persist.

Is it possible to have a continuous contract without gaps?

[NinjaTrader_Bertrand]

Mercader, for which contact and provider do you see this happen?

Are you on the most current NT7 R14 release? If so please ensure to recheck after instrument definitions have been reset via Tools > Options > Data > Reset Instruments.

[Mercader]

Mercader, for which contact and provider do you see this happen?

Are you on the most current NT7 R14 release? If so please ensure to recheck after instrument definitions have been reset via Tools > Options > Data > Reset Instruments.

Yes, I'm on the most current version NT7 and I did the reset too but the continuous contract continue with the gaps.

Mi broker is Mirus with Zenfire connection

[NinjaTrader_Bertrand]

Which market / contract are you exactly using? Would you perhaps also have a screenshot of the outcome you see?

[tiger45]

I thought you couldn't do continuous contracts with Zen Fire? Not true?

[NinjaTrader_Bertrand]

You can do them directly in NT, for backtesting you can also use the ##-## symbol.

For live trading including transparently merged in history, just use the current front month symbol (i.e. ES 09-13) and have the MergeBackAdjusted option set either for the instrument or globally under Tools > Option > Data. NT will then merge past contracts data into this front month if you request data across the rollover date boundaries defined.

[Mercader]

I´m with Zen Fire and I have continuous contract with the symbol ##-##. The problem is that I have data from 2006 but de "offset" value for the rollover is only until 2011 and now I must introduce data manually.

[NinjaTrader_Bertrand]

I´m with Zen Fire and I have continuous contract with the symbol ##-##. The problem is that I have data from 2006 but de "offset" value for the rollover is only until 2011 and now I must introduce data manually.

Which symbol are you working with?

[Mercader]

Market is FGBL (Euro Bund) 09-13. I´m defining offset value, but at continuos contract, don´t disappear the gaps. It corrects the first contract but not the next.

For example, now it corrects the gap between 06-13 and 09-13 but it don´t correct between 06-13 and 03-13.

The current contract has no problem and merge all the contracts and erase all the gaps.

(Sorry for my english, I know I don´t speak very well)

[NinjaTrader_Bertrand]

Thanks, no worries.

For the ##-## continuous contract, that's native build on the server and you could not influence rollover dates or offsets. That would be possible only on the direct contract with the local merge option included, so for example on the FGBL 09-13, which is current front month.

http://www.ninjatrader.com/support/helpGuides/nt7/editing_instruments.htm?zoom_highlightsub=offset

It's also important to note that for using custom offsets, you would need to change the rollover date to something different from the default we ship with, as otherwise the offset would be downloaded from the server - more options for flexbility are on our feedback list for a future NT release.

[Mercader]

There is no problem.

But when current contract expire, will I have to do the same thing (manual Offset) on the next contract or could I export data 09-13 and import for 12-13 contract?

Thank you

[NinjaTrader_Bertrand]

On rollover, just use the 12-13 contract then as new front month - the roll into date is listed for each master instrument under Tools > Instrument Manager. You dont have to worry about merging data over anymore, NT will do this for you. If you request data then further back for the 12-13 it would go back to the 09-13 for you automatically.

[Mercader]

Thanks.
Why the program doesn´t calculate the offset.
Is it easy, isn´t it?

[NinjaTrader_Matthew]

Hello,

NinjaTrader will calcualte the offset locally as long as it has not downloaded the offset from the server.

When NinjaTrader will calculate the Offset value locally:

• The Offset field in the Contract Months window is blank
• Historical data exists in the database for both the new and old contract near the rollover date
• The MergeBackAdjusted policy must be selected in the Data tab of the Options menu
• You must be connected to your data provider and requesting data for the instrument

In order to force this to happen, you'd need to change the Rollover date, and then set the offset to 0. At this point, you should see the offset calculated locally

How NinjaTrader will calculate the Offset value locally:

• Use the old and new expiry’s daily price data for calculations
► If daily data does not exist, use minute data
► If minute data does not exist, default Offset value will be 0
• One day prior to the rollover date, calculate the difference between the close price of the new expiry and the close price of the old expiry. This is the Offset value.
► If you wish to overwrite the calculated Offset value you can input in your own
► When using minute data, the close price at the ending time as defined in the default session template for the instrument will be used

Note: If you inputted your own Offset value, it will be overwritten by values downloaded from the data server if it exists there. To prevent this you will need to ensure that your rollover date is not the same as the ones coming from the data server.

More at: http://www.ninjatrader.com/support/h...nstruments.htm

[Mercader]

Ok Matthew

I´m really stupid. I´ve lost my time in calculating the offset value, and the last thing I was to do was erase the date and place the offset field blank.

Thank you very much.