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Historical Data on NT8 and IB

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    Historical Data on NT8 and IB

    Hi

    I get data from my broker Interactive Broker and all is fine but I've just notice that if I try to use the Daily (and any other timeframe) chart for NG Mar'18 the historical data is not right. The chart is not right. Sure is not what I see on Interactive broker and others screens.

    the instrument is NG 03-18

    for example on the Jan 11 it would look like that the price went down to 2.4 when actually this contract was trading at 2.8

    Also the average reflect this incorrect price.

    might be a Roll problem? I don't seam to have the same issue with other contracts and I'm not doing anything different here.

    Many thanks
    Mp

    #2
    Yes, I suspect the root cause is the NinjaTrader merge policy compared to the other places where you are viewing the data.

    By default, NinjaTrader's merge policy is 'Merge Back Adjusted functions as follows:
    • Data from each individual expiry month across the time span of the historical data request is loaded
    • Offset values will be used to back adjust the historical price data to match the next front month

    I suspect you'll see the data you're looking for if you change your merge policy to 'Do Not Merge':

    Control Center > Tools > Options > Market Data
    Change 'Global merge policy' to 'Do not merge' > OK
    Right-click on your chart and select 'Reload all historical data'

    Here is a link with more information about merge policy:

    https://ninjatrader.com/support/help...rge_policy.htm
    Patrick G.NinjaTrader Customer Service

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      #3
      ok.

      and If I understand I can change this behaviour for each contract?

      clearly this change would alter also the value of backtests isn't?

      Comment


        #4
        You can adjust the merge policy at the instrument level, but it is not possible to adjust the merge policy at the contract level. More information can be found here:

        https://ninjatrader.com/support/help...GeneralSection

        To adjust the merge policy at the instrument level:
        • Control Center > Tools > Instruments
        • Locate and select the instrument you wish to adjust > Edit
        • Change the 'Merge policy' as you desire > OK > Close

        I'll submit a feature request for the ability to adjust the merge policy at the contract level. I'll edit this post with a tracking number when I receive it.

        The instrument and global merge policy will affect the data in backtests.

        EDIT: The tracking number is SFT-3001
        Last edited by NinjaTrader_PatrickG; 02-05-2018, 01:10 PM.
        Patrick G.NinjaTrader Customer Service

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