CL Daily Volume Across Multiple Contracts

[aventeren]

Howdy--

I switch to the next CL contract when the next contract's daily volume surpasses the current contract's daily volume.

I am currently backtesting, and I need to know what days each contract's daily volume was surpassed by the next contract's daily volume. Therefore I would like to plot all of the available CL contracts and their daily volumes, and visually see where each contract's daily volume was outstripped by the next contract--but I can't figure out how to do this b/c NT basically merges data for historical contracts.

I know this is probably a basic question, but does anyone know how to chart each CL contract's daily volume against other CL contract's daily volumes so that I can visually see what day I would have changed over to the new contract? For instance, I would like each contract's daily volume to be plotted as a line, and when the next contract's daily volume line plot crosses through the current contract, I would note that day for my backtesting.

This should be simple enough, but I can't figure it out.

Thanks for everyone's help...

[NinjaTrader_RyanL]

Hello aventeren,


Thank you for your forum post.


You can view all the previous contract months rollover dates from within the Instrument Manager:

• Control Center > Tools > Instrument Manager...
• Type "CL" into the name field > Click Search
• Double left mouse click on the CL instrument from the grid below
• Click on the "Misc" tab of the Instrument Editor
• Scroll to the bottom of this list > Left mouse click on "Contract Months"
• Left mouse click on the "..." elipsis that appears.
• From the Contract Months screen you are able to see each previous month and when it rolled over.

You can view individual contract month information from the CME Group website directly as well:

• http://www.cmegroup.com/trading/ener...olume_voi.html

Within NinjaTrader, if you are able to access a continuous contract for CL you can load CL ##-## and the apply a VOL indicator to show the volume for all historical data that is loaded on this chart which will include previous contract months data.

• Control Center > Tools > Instrument Manager...
• Type CL into the Name field > Click Search
• From the Expiry drop down menu > Select "##-##"
• Click the "<" Left arrow button to add this instrument to your default instrument list.
• Click OK when finished.

[aventeren]

Hello aventeren,


Thank you for your forum post.


You can view all the previous contract months rollover dates from within the Instrument Manager:

• Control Center > Tools > Instrument Manager...
• Type "CL" into the name field > Click Search
• Double left mouse click on the CL instrument from the grid below
• Click on the "Misc" tab of the Instrument Editor
• Scroll to the bottom of this list > Left mouse click on "Contract Months"
• Left mouse click on the "..." elipsis that appears.
• From the Contract Months screen you are able to see each previous month and when it rolled over.

You can view individual contract month information from the CME Group website directly as well:

• http://www.cmegroup.com/trading/ener...olume_voi.html

Within NinjaTrader, if you are able to access a continuous contract for CL you can load CL ##-## and the apply a VOL indicator to show the volume for all historical data that is loaded on this chart which will include previous contract months data.

• Control Center > Tools > Instrument Manager...
• Type CL into the Name field > Click Search
• From the Expiry drop down menu > Select "##-##"
• Click the "<" Left arrow button to add this instrument to your default instrument list.
• Click OK when finished.

Ryan--

Thanks for your response. I know about the official rollover dates, but I switch to the new contracts when the next contract's daily volume surpasses the current contract's daily volume. I track this with the Market Analyzer window, and I watch the current contract's volume and the next contract's volume--and when the next contract's volume surpasses the current, the next day I start trading the next contract--which typically is not near the official roll over date.

So my goal is to figure out how to chart multiple CL contracts, and only see each contract's daily volume--not an aggregate volume that NT automatically does. So for instance, the CL 10-13 volume surpassed the CL 9-13 volume on August 16th, so on August 17th I started trading the CL 10-13 contract--even though the official roll over date was August 19th.

Is it possible to chart just a single contract's data and not have that contract's data aggregated into the previous contracts' data?

Thanks,

Aventeren

[NinjaTrader_RyanL]

Hello aventeren,


Thank you for the follow up.


Please make sure that NinjaTrader's merge policy is set to "DoNotMerge"

• From the Control Center > Tools > Options
• In the Options menu > Click on the Data tab
• In the Data tab see the "Merge policy" drop down menu
• Make sure this is set to "DoNotMerge"
• Press "OK" when finished
• Load a daily chart for a previous CL expiry month (Example: CL 06-13, CL 07-13, CL 08-13 etc...)

[aventeren]

Hello aventeren,


Thank you for the follow up.


Please make sure that NinjaTrader's merge policy is set to "DoNotMerge"

• From the Control Center > Tools > Options
• In the Options menu > Click on the Data tab
• In the Data tab see the "Merge policy" drop down menu
• Make sure this is set to "DoNotMerge"
• Press "OK" when finished
• Load a daily chart for a previous CL expiry month (Example: CL 06-13, CL 07-13, CL 08-13 etc...)

Thanks, Ryan. So I loaded the 09-13 CL Daily chart with the "DoNotMerge" change. Do you know why the volume line would not start until after the 20th bar? I have no other indicators on the chart...just the VOL.

Also, how would I plot multiple contracts on the same chart? Again, I am just interested in each contract's volume.

Thanks,

Aventeren

[NinjaTrader_RyanL]

Hello aventeren,


Thank you for the follow up.


The reason why the volume bar does not start until the 20th bar would be due to the VOL indicator requiring 20 bars of historical data to calculate.


You can plot additional data series on the chart by typing "+" and then the instrument name. For example: Type +CL 08-13 and hit enter to add the CL 08-13 data series to your chart.

You can furthermore add an individual VOL indicator for each data series and if you would like you can also make the data series transparent so that it does not appear on the chart.

• Right mouse click on the chart background > Data series...
• Select the appropriate data series from the bottom left hand corner > Edit the parameters on the right hand side
• Specifically edit the "Chart Style" section for the color for down and up bars to be transparent.
• Click OK when finished.

• http://www.ninjatrader.com/support/h...price_data.htm

[aventeren]

Hello aventeren,


Thank you for the follow up.


The reason why the volume bar does not start until the 20th bar would be due to the VOL indicator requiring 20 bars of historical data to calculate.


You can plot additional data series on the chart by typing "+" and then the instrument name. For example: Type +CL 08-13 and hit enter to add the CL 08-13 data series to your chart.

You can furthermore add an individual VOL indicator for each data series and if you would like you can also make the data series transparent so that it does not appear on the chart.

• Right mouse click on the chart background > Data series...
• Select the appropriate data series from the bottom left hand corner > Edit the parameters on the right hand side
• Specifically edit the "Chart Style" section for the color for down and up bars to be transparent.
• Click OK when finished.

• http://www.ninjatrader.com/support/h...price_data.htm

That did it; thanks!