Soybeans Roll Over

[LightWeight]

Hello,

I am trying to roll my strategies over to the ZS 11-14 contract, however I can't get the chart to appear properly, it shows past price at the 1382 price level and current price at the 1242 level whenever I open a new chart for it, creating a huge gap. I tried changing the roll over data in the instrument misc. section to a past date, but that didn't correct the price gap. How can I set up my platform so that the historic and current price data for the November contract appears properly?

[NinjaTrader_Kyle]

Hello LightWeight,

Thank you for your post.

I suspect that this issue relates to merge settings. Please open the options menu's Data tab and tell me which 'Merge Policy' setting is used. (Tools > Options > Data tab)

[LightWeight]

Hello LightWeight,

Thank you for your post.

I suspect that this issue relates to merge settings. Please open the options menu's Data tab and tell me which 'Merge Policy' setting is used. (Tools > Options > Data tab)

It's currently set to MergeBackAdjusted.

[NinjaTrader_Kyle]

Hello,

Thank you for getting back to me.

Please change this setting to 'DoNotMerge' then click OK. Finally, reload data in your charts.

[LightWeight]

Hello,

Thank you for getting back to me.

Please change this setting to 'DoNotMerge' then click OK. Finally, reload data in your charts.

Hi Kyle,

I have a number of auto-strategies currently running, will doing this screw any of them up? Also, should I normally have it set to DoNotMerge? I do an extensive amount of backtesting and algo development.

[NinjaTrader_Jason]

Hello LightWeight,

This will not affect automated strategies you have running. I assume they do not run on the ZS 11-14 currently, but other instruments. If you do have automated strategies running as per the ZS 11-14, they will be terminated and restarted when you reload historical data.

By default, NinjaTrader automatically merges data from previous expiries in charts (MergeBackAdjusted). This is causing the gap. The ZS is setup to rollover to the 11-14 expiry on 8/18/2014 in NinjaTrader. If you create a ZS 11-14 chart before this date, all historical data is loaded from the 08-14 expiry. Realtime data is received from the 11-14. There is a price difference between the two expiries, which causes the gap.

There is also a 09-14 expiry month listed. The ZS is setup to rollover to the 09-14 expiry on 7/18/2014.

You can change the rollover date or disable merging of data to solve the issue as Kyle mentioned. Do you intend to load only 11-14 data or do you like to merge data from previous expiries in the chart?

How did you change the rollover date? Did you remove and re-add the ZS 11-14 to your instrument list after you made this change? The instruments needs to be removed and re-added to your instrument list in the Instrument Manager for the change to take effect (or a restart of NinjaTrader).

[LightWeight]

Hello LightWeight,

This will not affect automated strategies you have running. I assume they do not run on the ZS 11-14 currently, but other instruments. If you do have automated strategies running as per the ZS 11-14, they will be terminated and restarted when you reload historical data.

By default, NinjaTrader automatically merges data from previous expiries in charts (MergeBackAdjusted). This is causing the gap. The ZS is setup to rollover to the 11-14 expiry on 8/18/2014 in NinjaTrader. If you create a ZS 11-14 chart before this date, all historical data is loaded from the 08-14 expiry. Realtime data is received from the 11-14. There is a price difference between the two expiries, which causes the gap.

There is also a 09-14 expiry month listed. The ZS is setup to rollover to the 09-14 expiry on 7/18/2014.

You can change the rollover date or disable merging of data to solve the issue as Kyle mentioned. Do you intend to load only 11-14 data or do you like to merge data from previous expiries in the chart?

How did you change the rollover date? Did you remove and re-add the ZS 11-14 to your instrument list after you made this change? The instruments needs to be removed and re-added to your instrument list in the Instrument Manager for the change to take effect (or a restart of NinjaTrader).

Hi Jason,

I want to change to the November ZS contract because it currently has the highest volume per the CME site:

http://www.cmegroup.com/trading/agricultural/grain-and-oilseed/soybean.html

Grains appear to be a little screwy, as around this time of year the bulk of the volume shifts to November beans and December corn, at least as far as I can tell. Because I can't get the charts to load properly I can't actually check intraday volume to compare them in Ninja.

I went into the instrument editor and changed the roll over date for 11-14 ZS to 6/18/2014, tried removing and re-adding the contract and then reloading data, but I'm still getting the chart gap between historic and real time data. And I don't believe I can change the general data merge option right now because I have dozens of automated strategies running that I assume would be disrupted or reloaded.

I've run into this problem a few times before when getting ready to trade crops, and I swear I've fixed it before without having to change the data merge policy, but I always forget what I did to fix it....I thought before that it was changing the roll over date in the instrument editor to a past date, thus forcing Ninja to roll the contract over previously and display the current chart properly, but that approach doesn't appear to be working. Is there any other way I can get this particular instrument to chart current data without having to change the entire data merge policy?

[NinjaTrader_Jason]

When I test this on my end, I do not see a gap in the ZS 11-14 chart. I changed the rollover date to 6/18/2014 as per the 11-14 expiry.

You can change the merge policy individually per instrument. Highlight the instrument in the Instrument Manager and click Edit. You can now change the merge policy for that instrument only. Make sure to remove and re-add the instrument to your instrument list again after this change.

[LightWeight]

When I test this on my end, I do not see a gap in the ZS 11-14 chart. I changed the rollover date to 6/18/2014 as per the 11-14 expiry.

You can change the merge policy individually per instrument. Highlight the instrument in the Instrument Manager and click Edit. You can now change the merge policy for that instrument only. Make sure to remove and re-add the instrument to your instrument list again after this change.

The November beans price is currently around 1240, so there SHOULD be a gap on your chart -- I think you didn't give it long enough for a trade to take place and thus paint the gap on the chart, as volume is rather slow at this time of night.

[NinjaTrader_Jason]

Yes, you are correct - I did not receive a new last price yet.

[NinjaTrader_Jason]

I think the 09-14 expiry interferes. Please adjust the rollover date for this expiry as well and make sure it occurs before the 11-14 modified rollover date and after the 08-14 rollover date. Once you changed the rollover dates accordingly, please check again.

[LightWeight]

I think the 09-14 expiry interferes. Please adjust the rollover date for this expiry as well and make sure it occurs before the 11-14 modified rollover date and after the 08-14 rollover date. Once you changed the rollover dates accordingly, please check again.

I actually followed your advice to just change the back-adjusted policy for only Soybeans, in the instrument editor, and now the chart appears to be plotting the price accurately (I also have the roll over date for 6/18 still for November). I'm not sure I can be 100% that the volume is also accurate, but like I said the CME as well as other sites show November as being the high volume month now. So I think I'm all good -- I'll just have to do the same for corn pretty soon here as well I suppose. Thanks again for the help.

[Harry]

I think the 09-14 expiry interferes. Please adjust the rollover date for this expiry as well and make sure it occurs before the 11-14 modified rollover date and after the 08-14 rollover date. Once you changed the rollover dates accordingly, please check again.

This is correct. When switching from the July to the November contract, the two intermediary contracts with lower volume - August and September - need to be skipped.

Please

-> select the same rollover date for August, September and November contract
-> set the offset for August and September manually to 0
-> set the offset for the November contract manually as calculated from the difference between the settlement prices for the November and July contracts on the day prior to rollover date

[LightWeight]

This is correct. When switching from the July to the November contract, the two intermediary contracts with lower volume - August and September - need to be skipped.

Please

-> select the same rollover date for August, September and November contract
-> set the offset for August and September manually to 0
-> set the offset for the November contract manually as calculated from the difference between the settlement prices for the November and July contracts on the day prior to rollover date

Hi Harry,

Thanks for the input -- can I ask what the purpose of these steps is? Just changing the instrument to "Do Not Merge" actually gets it to chart properly, without even changing the roll over date I found out.

I guess my other concern here is backtesting -- I normally just use the front month to run a multi-year backtest, which requires merged data...meaning I'd need to click on the August ZS contract currently, however that is NOT the contract my algos are currently trading. So I wonder if the steps you mentioned above are actually what I'd need to do for backtesting the November contract?

[NinjaTrader_Jason]

When set to DoNotMerge, the ZS will not merge historical data from previous expiries anymore. So if you backtest the ZS 08-14, it will only load data from the 08-14 expiry.

The workaround provided by Harry will still merge historical data as per the rollover date you choose.