Rollover of futures contracts

[theyogirock]

hi,

I am new at NT and have a question about how does Kinetick link the futures contracts at rollover...do they adjust from one contract to next, both in daily files as in intraday files, or don't they?

thanks in advance

[NinjaTrader_VinceB]

Hello Theyogirock,

Thank you for your post.

Futures contracts need to be rolled over manually at the rollover date.

Please follow the instructions below to rollover the expiration date of a futures contracts.

• From within the NinjaTrader Control Center window select the menu Tools > Instrument Manager
• Highlight the contract you wish to rollover in the left side of the Instrument Manager window
• Press the ">" button (the instrument will disappear from the list)
• Press the "<" button and the instrument should re-appear with the front month expiration date

http://www.ninjatrader.com/support/helpGuides/nt7/rolling_over_a_futures_contrac.htm

[GaryGuy]

Hello Theyogirock,

Thank you for your post.

Futures contracts need to be rolled over manually at the rollover date.

Please follow the instructions below to rollover the expiration date of a futures contracts.

• From within the NinjaTrader Control Center window select the menu Tools > Instrument Manager
• Highlight the contract you wish to rollover in the left side of the Instrument Manager window
• Press the ">" button (the instrument will disappear from the list)
• Press the "<" button and the instrument should re-appear with the front month expiration date

http://www.ninjatrader.com/support/h...es_contrac.htm

If a person does not "manually roll over" at the expiration date (due to memory lapse or other difficulty like being unable to trade) What contracts will be settled to cash and which ones will be delivered or demanded as per contract type?

[sledge]

If a person does not "manually roll over" at the expiration date (due to memory lapse or other difficulty like being unable to trade) What contracts will be settled to cash and which ones will be delivered or demanded as per contract type?

That is really a question for your broker..also examine the specific futures contract at say, the CME website.

[theyogirock]

thanks Vince,

I have 2 additional questions:

1) If I want to test a system (be it with intraday or daily data) over a long period of time (let's say 10 years of historical data) I need the futures contracts to be linked at expiration. Do you or kinetick provide futures historical data that goes beyond one contract and linked at expiration for testing purposes?

2) are there among the futures files that NT has when downloaded any intraday-data ones that I could use to test intraday strategies with historical data?

thanks again

[NinjaTrader_RyanL]

Hello theyogirock,


Thank you for the follow up.


1.) As long as your Merge policy is set to "MergeBackAdjusted" within NinjaTrader, when requesting data on the current front month expiry, if the requested data goes back to the previous contract month date then NinjaTrader will automatically merge and back adjust the previous contract months data into the current front month.

So as long as your data provider is offering this historical data, you could test your system on this historical data.

• Control Center > Tools > Options...
• Data tab
• Under "Real-time data" > Make sure the Merge policy is set to "MergeBackAdjusted"
• Click OK when finished

2.) As long as you are receiving intraday data(tick, minute) from your data provider, this data will be saved to the historical data files and you can then run a test on this historical data.


Historical chart data is saved to the following file system location by default:

• C:\Users\<USERNAME>\Documents\NinjaTrader 7\db

[BMM73]

Hi support,

if my merge policy is set to "MergeBackAdjusted" what will happen to my chart objects, i.e. orizzontal lines, drawn on the "old" expiry?

I suppose they will be lost because they were drawn on an other expiry, is it possible to transfer all chart objects drawn on the old expiry to the new one still considering the MergeBackAdjusted policy?

i.e. I draw a line on level 2100 of old expiry and it will be moved to new expiry at 2090 or whatelse is its new value after backadjusted merging?

thanks

[NinjaTrader_PatrickG]

Drawing objects will remain on your charts regardless of merge policy.

In NinjaTrader 7, drawing objects are removed after 20 days if not viewed to improve performance. NinjaTrader 8 does not have this limitation.

If there is a scenario or series of steps which you can take to cause a drawing object to disappear after changing merge policy and/or contract month, please elaborate on exactly what steps must be followed to reproduce the issue.