Firstly, from my readings the continuous futures contract is denoted with a ##-## contract e.g., ES ##-##. Further, this is only useful if the Data Provider provides a continuous contract i.e., with this contract specification NT is just displaying whatever the Data Provider says is the Continuous contract data.
In regards to the Merge policies, what is the rule being used to determine whether a bar is taken from contract A or contract B. I can think of several possible rules such as
- when Contract A expiry date reached
- when Contract A first notice date reached
- first time Contract B volume is greater than contract A
- always select the Contract with the highest volume (i.e., could go A, B, A, B, B...)
Finally, I am having trouble understanding the difference between MergeBackAdjusted and MergeNonBackAdjusted. The former uses an Offset value but what this is and how it is used is not explained.
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