How to handle instrument session times changes made by exchange

[darmbk]

Hi,

I believe the session times for livestock futures are changing soon. While such changes are rare, this lead me to a question. If I were running a strategy backtest over a period of data that contained such a change in session times, what would happen? I presume that trades would be entered and closed out based on the intersection of the dataset and session template. I'm not sure what a possible fix could be. If I was aware of the change at least I could split my backtest into two steps using the two session templates before and after the change. Does anyone have any thoughts on this?

Cheers,
darmbk.

[NinjaTrader_Bertrand]

Hi darmbk, correct this would be scheduled to happen as per Oct 27th. Included these changes per default to the session templates is on our list for NT7's next maintenance update.

With such a change your understanding is correct, the applied template would be used to generate your chart / bars and as such this would not be dynamic to reflect such a change - you would either split up the backtest or use a template such as Default 24/5 to get all open hours and then custom time filter logic would be used to allow trading per each segment of the data (pre / post the session hours change).