Daily Close How to change from Settlement to Last price

[NinjaTrader_PaulH]

Hello Venom,

Thanks for your reply.

Glad you were able to get your chart(s) set up as you wish.

Regarding the difference between TOS and NT I could not advise on the TOS side and would suggest you clarify with them what their process is.
On the NinjaTrader side, we adjust based on the offset at the time of the rollover between the two contracts in an attempt to normalize price. You may want to investigate rollover dates in both NT and TOS as a potential explanation if TOS does the back adjusting calculation/process the same way.

Please see the section, " Understanding the Contract months section" here: https://ninjatrader.com/support/help...nstruments.htm

[Venom]

Hi Paul, can you please clarify if I'm understanding correctly. When you say that you adjust based on the offset, does that mean that you just pulling up/down last daily closing price of contract we are moving away from so that it matches opening price of front month/ most liquid contract?
Give you an example from ThinkorSwim, to clarify. For example ES last rollover created a gap between 9/13 and 9/14. New front month opened at 2909.50, so ToS adjusted by changing closing price of prior contract to 2909.50. Is that what you do at NT? And what date did you rollover last ES contract?

[NinjaTrader_PaulH]

Hello Venom,

Thanks for your question.

Please review the help guide section here on merge policy explanation: https://ninjatrader.com/support/help...rge_policy.htm

The link also contains another link to editing instruments which will allow you to examine the specified offset value as well as the particular roll date per contract.

The ES 09-18 was rolled to ES 12-18 on 09/13/2018 with a 5.25 offset.

The ES 12-18 will roll on 12/13/2018.

[Venom]

Paul I have read that link, but I still didnt get the answer as to how offset is calculated. Is there a formula or closing price of contract we are rolling over from is adjusted to match front month's opening price? And can rollover date be changed or is it set date for every NT user?

[NinjaTrader_PaulH]

Hello Venom,

Thanks for your reply.

Here is a link that provides further detail which I will also copy/paste below for convienience. Please see, " Understanding the Contract months section" in https://ninjatrader.com/support/help...nstruments.htm

From that section of the help guide:

"The Offset value is used to connect the last value of a contract month with the next one.

Although NinjaTrader will attempt to download the Offset values from the data server, if they do not exist on the data server, they will be calculated locally. Offsets are only downloaded when the "Offset" field is left blank and the rollover date matches the date defined on the server.

When NinjaTrader will calculate the Offset value locally:

• The Offset field in the Contract Months window is blank
• Historical data exists in the database for both the new and old contract near the rollover date
• The Merge Back Adjusted policy must be selected in the Market data category of the Options menu
• You must be connected to your data provider and requesting data for the instrument


How NinjaTrader will calculate the Offset value locally:

• Use the old and new expiry’s daily price data for calculations
• If daily data does not exist, use minute data
• If minute data does not exist, default Offset value will be 0
• One day prior to the rollover date, calculate the difference between the close price of the new expiry and the close price of the old expiry. This is the Offset value.
• If you wish to overwrite the calculated Offset value you can input in your own
• When using minute data, the close price at the ending time as defined in the default session template for the instrument will be used

Notes:

1. 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.
2. The rollover date is the date to roll into the selected contract month and NOT out of."

[Venom]

But it just says that Ninja will download offset values from the data server, but how is that calculated? You said offset is 5.25 for ES last rollover, can you just explain how that number was calculated?

[NinjaTrader_PaulH]

Hello Venom,

Thanks for your reply.

Even though the help guide section is referencing calculations done locally they are the same on the other and then downloaded automatically. Here is the key section of the help guide:

• How NinjaTrader will calculate the Offset value locally:
  
  • Use the old and new expiry’s daily price data for calculations
  • If daily data does not exist, use minute data
  • If minute data does not exist, default Offset value will be 0
  • One day prior to the rollover date, calculate the difference between the close price of the new expiry and the close price of the old expiry. This is the Offset value.

When I set the merge policy (Tools>Options>Market data>) to "Do not merge" and create a 1-minute bar chart of ES 09-18 and ES 12-18 and then check the last bar of the session on 09/12/2018 the ES 09-18 close price is 2887.0, The ES 12-18 shows a close price of 2892.25, the difference is 5.25.

[Venom]

Man, this adjustment is really annoying, thanks got it. What about rollover date, can it be changed or is it set date?

[NinjaTrader_PaulH]

Hello Venom,

Thanks for your reply.

Yes, you can change the rollover dates, however, these would be reverted if you selected the option "Futures expiries" under "Update instruments" under Tools>Database management and click the update button.

[Venom]

NT rolls 1 day earlier than ThinkorSwim, am I understanding correctly that most providers are rolling over around similar dates with no more than 1-2 day difference?
Thanks for all the answers, appreciate your help

[NinjaTrader_PaulH]

Hello Venom,

Thanks for your reply.

Sorry, I could not speak for other vendors on their roll dates.

[Venom]

• • • Use the old and new expiry’s daily price data for calculations
    • If daily data does not exist, use minute data
    • If minute data does not exist, default Offset value will be 0
    • One day prior to the rollover date, calculate the difference between the close price of the new expiry and the close price of the old expiry. This is the Offset value.

It says above that daily data or minute data will be used. Will offset be the same in either way?
And what daily close is used settlement or last?

[NinjaTrader_PaulH]

Hello Venom,

Thanks for your reply.

The daily bars "last" price, not the settlement price, would be used.

It would be the same value regardless of Minute or daily bar.

[aligator]

Hello Venom,

Thanks for your post and welcome to the NinjaTrader forum!

The behavior of daily bars In NT8 is to display the OHLC of the ETH session and the close of the bar will be the contracts daily settlement price.

You can create a daily bar from minute data, creating a data series of 1440 minute type bars (24 hrs x 60 minutes = 1440) which would then provide a daily bar with the last price of the session as the close value. By default, the data series will use the instrument settings for the trading hours which are ETH. Please note that the default "number of days" to load for type "Minute" is set to 5 so you would also likely need to change this value in the data series window if you want to see further back than 5 days. For your convenience, I've loaded a screenshot of what the settings should look like for 365 days of 1440 minute bars using the default trading hours.

Hi Paul,

While this approach works, we are talking about 365 * 1440 = 525,600 data points. This can be a real performance issue if you add a couple of complex indicators to the chart. Also, some indicators and strategies that are designed for daily data may not work with minute data and require modifications.

Seems like it may be easier to include the last close feature as an option in NT. Is that a hard thing to do? If not perhaps it can be a feature request.

Cheers!

[NinjaTrader_PaulH]

Hello aligator,

Thanks for your post.

Your math is incomplete as for each bar you have the Open, High, Low, Close, volume and time data points.

I will write a feature request "to provide daily bars with the option to show settlement or last close price" and will update this thread when I have that number.