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Merge Back Adjusted Function Doesn't Work

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    Merge Back Adjusted Function Doesn't Work

    I have chosen "merge back adjusted" in the "merge policy" on the "Data" tab of "Options" and downloaded the free daily SB 03-15 contracts (Sugar No.11) from Kinetick. However, I can still see gaps on the rollover dates (for example on Jun 17,2014 and on Sep 17,2014). Could you please tell me how to solve this problem?

    #2
    Hello Zwzcwann,

    Thank you for your note.

    I can confirm the gaps on my end as well with Kinetick.

    I will need to escalate this as I do not believe that the data is coming from NinjaTrader, in order to find a solution for you.

    Thank you for your patience.
    Cal H.NinjaTrader Customer Service

    Comment


      #3
      Hello Cal,

      Thank you for your reply. I'm really surprised to get a reply so quickly at weekend.

      I checked the "Misc" tab of the contract's "Instrument Editor", at the "Contracts months" and did find the rollover dates, but all the "offset" were 0. The same happen to stock price. I downloaded the Agilent Technologies Inc. of S&P 500 (symbol:A) daily data from Yahoo. The company splitted its shares on Nov. 3, 2014, which was not shown on the chart. I also checked the "Misc", where I could find the record of dividends but not the split. It's wired as in the online chart of Yahoo, they did split the share.

      I could fill the information manually. However, that would be a hard task, considering the fact that I should check the information of so many financial instruments and correct them by myself. So I still would like to know whether this could be solved in an easier way.

      Comment


        #4
        Hello zwzcwann,

        Thanks for your reply.

        The offset is not recorded for this instrument.
        To calculate it locally please go to Tools> Instrument Manager
        Select the SB and press Edit
        Select the Misc tab
        Scroll to the bottom and select Contract Months then click the "..." button
        Select each current/past expiry and delete the 0 offset
        Select OK
        Go back to your chart, right click on it, and select Reload All Historical Data
        BrandonNinjaTrader Customer Service

        Comment


          #5
          Does this means, once any numbers are deleted in the 'offset' field and reload the data, offset will be re-calculated on all rollover dates??

          Somehow I got a different answers from your support via emails, claiming that the offsets are computed at Ninjatrader servers and downloaded and stored in the program folder. To reset/get the correct values one has to uninstall Ninjatrader, cleanup the program folders and re-install.

          It is VERY frustrating getting conflicting information on issues critical as this!
          Please clarify.

          Comment


            #6
            balancenv,

            I'm not aware of those instructions working for the offset, as this is downloaded information that gets updated in the local NinjaTrader database.

            Please use Brandon's directions from Post #4
            Cal H.NinjaTrader Customer Service

            Comment


              #7
              I've searched the forums and found no detailed information so I think this topic deserves some serious attention.
              From the bits and pieces in this thread, I gather the rollover date and offsets are:

              1. Ninjatrader servers keep track of all the rollover dates and offsets for popular instruments.
              Will download/update to user local machine whenever a connection is made. No user input is needed.
              2. For instruments not covered by Ninjatrader, users will have to input rollover date and offsets by hands.

              But there're more details than just 'high level descriptions'':

              1. This update is independent of the data providers? Regardless of whether I am using eSignal, CQG, or Interactive Brokers, the offsets are the same?
              2. For covered instruments, if I make changes to offsets locally, will my changes be overwritten by next 'update'?
              3. Can we have specifics of how offsets are calculated, and how can we be sure its accuracy??
              One case and point is, for Hang Seng HSI, Dec 14 (12-14) and Nov 14 (11-14) offsets are 7 and 113 respectively, while esignal's offsets are 16 and 12.
              I've even written a small program to 'match' all 1-min data for Oct and Nov contracts 3 days before the rollover date and there's no match of difference of '113' anywhere.
              The difference between 113 and 12 is non-trivial. and if you dig further back in time, there're more cases of offset differences (with esignal for example) > 200...

              Comment


                #8
                Hello balancenv,

                Thanks for your reply.

                I have tested and verified my steps to work.

                Please see the Understanding the Misc tab - Offset Value section of our help guide linked below.
                http://www.ninjatrader.com/support/h...nstruments.htm

                1) Correct
                2) This is from the link above "Note: If you inputted your own Offset value, it will be overwritten by values downloaded from the data server if it exists there. To prevent this you will need to ensure that your rollover date is not the same as the ones coming from the data server."
                3) You take the closing price of the rollover date for both the previous and current contract and see what the difference is.
                BrandonNinjaTrader Customer Service

                Comment


                  #9
                  Follow up on this thread:

                  1. Ninjatrader provides this as a service is a great help to us. However, if you're overwriting user setting, please make sure your # is correct.
                  Can anyone explain why HSI (HKFE's Hang Seng) 11-14 contract (rollover date 10/30 is correct) offset is 113?
                  Like I said, no where I can see the difference between the two adjacent contracts +/- two days from the rollover date with that price difference.

                  Other data services (eSignal for example)'s offset is 12. We're looking at an order of magnitude difference!

                  2) If I am putting in my own numbers, I need to set a different rollover date and both the date and offset will NOT be automatically overwritten by the system?
                  And this also means the system will perform rollover functions according to my spec?
                  e.g. if the HSI 11-14 rollover date is changed from 10/30 to 10/29, then from 10/29 onward it's 11-14 contract prices and 10/28 (inclusive) backward is 10-14 contract prices, offset adjusted?
                  Last edited by balancenv; 01-13-2015, 02:43 AM.

                  Comment


                    #10
                    Hello balancenv,

                    Thanks for your reply.

                    1) I have verified this offset to be incorrect and will report it to the server team.
                    2) That is correct.
                    BrandonNinjaTrader Customer Service

                    Comment

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