Historical Data for Futures....Merge adjusted vs Merge Non-Adjusted vs Do Not Merge

[vern13]

I am looking for the correct historical data sets in order to prepare my levels for a given trading session in the CL and GC futures contracts (crude oil, and gold).

Right now I am running CQG data, and when I run a data set with each individual data setting I get different highs and lows, open and closes for each data bar.

Here is what I need to be able to do: I need the historical data to reflect the accurate High, Low, Open and Close of the futures contract that was trading with the most volume at the time of the price bar occurrence.

This week has been a good example on the CL contract....Monday's volume traded the December CL contract, and we rolled the volume to January's Contract on Tuesday. How would I get my daily charts to reflect Monday's High, Low, Open and close and apply it to the January Crude Contract.....similar to a Continuation chart that rolls with the most heavily traded Contract?

Would I choose "merge back-adjusted data", "merge non back adjusted data", or would I choose "do not merge" the data?

Thank you in advance.

[NinjaTrader_Kyle]

Hello vern13,

Thank you for contacting us with this question.

Since NinjaTrader merges based on dates and not volume, your best bet would be to use the 'DoNotMerge' setting and manually check volume to determine which contract has the highest volume.

For more information about merge policies, please see the 'Understanding Merge Policies' section of the following link: http://www.ninjatrader.com/support/h...rical_data.htm