Problem with handling of non-front month prices

[hayday]

I'm having a problem with how ninjatrader handles historical data/prices when you select a futures contract that is not the front-month contract. It loads the historical data using the front-month contract, and then starts using the current price of the contract for whatever month I've selected. For example, I want to trade CL 08-14, it will use the prices for CL 07-14 which is still the front month for a few more days, then I see a big gap down for the current prices.

Is this expected behavior for when you use one of the merged options for historical data? I see the issue goes away when I do not merge data.

Do most people use Do Not Merge data during rollover weeks or just for live trading in general? And then switch to merged data for backtesting? Seems kinda like a pain, but if that's what you're supposed to do, then ok.

I think I would rather see the historical prices for whatever contract month I chose for its entire life, and then merge the beginning of it with the price of the previous month, but not sure if there is a reason why people prefer otherwise. Seems confusing to bring up the price of next months contract just to see a big gap. And when I select a specific month in the future, I want to see only its prices, not the front-month's too.

[NinjaTrader_ChristopherJ]

Hello,

Thank you for your post.

This occurs if you have selected a expiry that has not rolloever yet however by default CL 08-14 should be the current contract within NinjaTrader.

Please reset your instruments with the steps I have provided below:

• Disconnect
• Tools
• Options
• Data tab
• Reset Instruments
• Restart NinjaTrader
• Reconnect

Next please right click within your CL 08-14 chart and select "Reload all historical data".

[hayday]

Thanks for the reply. I still get this issue though. Just tried it using CL 08-14 and CL 09-14.

I think I'm just going to stick with Do Not Merge for live trading from now on, and use merged data only for backtesting.