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Partner 728x90

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rollover lose

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    rollover lose

    I noticed that when I rollover the contract, I lose the data of the old contract. I am attaching an example of the volume profile.



    before the rollover

    https://clip2net.com/s/40yEc3w


    after

    https://clip2net.com/s/40yEj50

    it's a problem because I change the volume profile





    #2

    What version of NinjaTrader are you using? Please provide the entire version number. This can be found under Help -> About (Example: 8.0.X.X)

    What is your merge policy? To check, go to the Control Center > Tools > Options > Market Data > Merge policy

    I would expect the data to change because it is now calculating from a different contract month. Can you describe what data is 'missing' after rolling over?
    Patrick G.NinjaTrader Customer Service

    Comment


      #3
      my version is 8.0.17.2 64-bit ,
      Licensed features:Core Trader + Order Flow +
      https://clip2net.com/s/40yGhRN


      on 11/03/2019 I expect to find the vpoc 11482 as in other platforms also changing the contract. the fdax rollover is Rollover Day 03/14/2019.




      Comment


        #4
        I am still not sure that I understand the issue. NinjaTrader is merging your historical data together based on three things:
        • Merge policy
        • Rollover date
        • Offset value
        So, your merge policy is 'merge back adjusted' and you're viewing FDAX 06-19 which means that data after 03/14/19 is from the 06-19 contract and before 03/14/19 is 03-19 data. Also, the offset is 17.5 for the 03-19 data so that it matches up with the 06-19 data. Is it that you do not want NinjaTrader to do this offset adjustment?

        If the comparison you're making is between another platform and NinjaTrader, then we would have no idea how that platform handles roll over dates, offsets, and merge policy and would not know how to make it 'match' another platform. I can only very that what is occurring in NinjaTrader is expected and explain that expected behavior.

        Does changing your merge policy to "merge non back adjusted" then reloading the data on your chart (CTRL+SHIFT+R) resolve the issue? If not please elaborate further on what is missing.

        Here is a link with more information about merge policy:

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

        Comment


          #5
          I wasn't clear I want to see what you say: "So, your merge policy is 'merge back adjusted' and you're viewing FDAX 06-19 which means that data after 03/14/19 is from the 06-19 contract and before 03/14/19 is 03-19 data"

          in my case it does not happen.
          after the rollover, the data that were present in the old contract, example 11/03/2019 poc 11482 changes after the rollover. the data of the old contract is changed.

          Comment


            #6
            I would expect historical data to change because of the rollover+offset. Please see the help guide link below to understand more about how NinjaTrader merges data via the offset:

            https://ninjatrader.com/support/help...rge_policy.htm
            https://ninjatrader.com/support/help...tMonthsSection

            Does changing your merge policy to "merge non back adjusted" then reloading the data on your chart (CTRL+SHIFT+R) resolve the issue?
            Patrick G.NinjaTrader Customer Service

            Comment


              #7
              I do not understand. I just want to see the data of the old contract even after the rollover. as I showed you in the photos this does not happen. ninja does not allow it. after the rollover the old data is changed. if you know how to help me ok. otherwise can you kindly give me email support?

              Comment


                #8
                By default, NinjaTrader's merge policy will merge historical data together from older contracts and also adjust them based on the offset value. I understand that you do not want the historical data to be adjusted. You can accomplish what you desire by changing your merge policy to 'merge non back adjusted'. Follow these steps:
                • Control Center > Tools > Options > Market Data
                • Change 'Merge policy' to 'Merge non back adjusted' > OK
                • Right-click on your chart and select 'reload all historical data'.
                Please read through the links in my previous posts if your curious how all of these things function in more detail.
                Patrick G.NinjaTrader Customer Service

                Comment

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