Cocoa (LIFFE) futures rollover dates

[dgeidman]

Hello,

I was looking at the '12-13' and '03-14' Cocoa contracts (symbol 'C') charts (daily data from IQfeed):

Note that the data is not merged.

The December-13 data is available until 2013-12-13 and the next contract volume surpasses the volume of the December contract around November 2013.
In the instrument definition of the cocoa futures the rollover date to the '03-14' contract is 2014-02-10, well after the previous contract is delivered. This situation creates a two month gap in trading.
Am I doing something wrong? Are my rollover dates incorrect?

Thanks,
Denis

[NinjaTrader_ChelseaB]

Hello dgeidman,

I am not sure about this and I am currently looking into it.

I'll let you know what I find out.

(In the meantime, you can switch to the newer contract early before the rollover date)

[dgeidman]

Hello Chelsea,
Thank you for your response.

I will switch contracts while both are still traded.
I was just surprised that the dates suggested by Ninjatrader make no sense - it is impossible to merge and back-adjust the data using these dates.

Best,
Denis

[NinjaTrader_ChelseaB]

Hi dgeidman,

I've talked this over with our development and they agree the rollover dates for this do not make sense.

I have put in a request to have this corrected in a future version of NinjaTrader.

Thank you for letting me know about this issue, and thank you for your work in discovering this issue.

[dgeidman]

Hello Chelsea,

I hope this issue is resolved quickly.
Meanwhile, I would like to back test my strategies on a back adjusted data.
I can calculate the correct rollover dates and offset values for futures contracts, based on historical data.
Updating these values manually for many contracts is not realistic because it will take a very long time.
Is there a way to batch update the rollover dates and offset values for a list of futures contracts (based on a list of values I've calculated in advance)?

Thanks,
Denis

[NinjaTrader_ChelseaB]

Hello Denis,

Our development department has let me know they have confirmed this and they are looking in to correcting this for a future release of NinjaTrader.

In the meantime, you would need to manually edit these to correct them. There is a not a way of correcting multiple rollover dates at once.