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MergeBackAdjusted Merge Policy Documentation

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    MergeBackAdjusted Merge Policy Documentation

    I have been reading the "Merge Policy" but it does not contain enough information, or I don't understand it. Let's say you have two contracts, each for 3 months. The first contract starts at 1200 (first day of first month) and ends at 1250 (rollover day). The next contract starts at 1260 (day after rollover day of first contract) and ends at 1290 (rollover day of second contract).

    In my example, I would assume that the day after rollover, it then takes the price one day prior and adjusts it by the Offset. It does so all the way back to the first day of the first contract? So 1200 changes to 1210, and 1250 changes to 1260 on the first contract rollover day? Then for contracts before these two, it must start with the new starting price and keep applying the same adjustments?

    #2
    Hello tradetree,

    Thanks for your reply.

    You example and understanding of the MergeBackAdjusted policy is correct.
    BrandonNinjaTrader Customer Service

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