rollover dates for ZS, ZW

[uday12]

Hi,

Not sure if "Strategy Development" is the right forum for this.

For many Ag futures like ZS, ZW, the rollover dates in NT's Instrument Database is too early. For instance, ZS 05-19 has a rollover date of 02/19/2019, but the first notice date for ZS 05-19 is 04/30/2019 and wouldn't a better rollover date be a few days before 04/30/2019 rather than in February? From a liquidity / volume perspective, a better rollover date would have been 04/09/2019 (rather than 02/19/2019).

I can obviously change the rollover date in NT. But I was wondering what's the reason for so early rollover?

Even the NT events calendar : https://ninjatrader.com/blog/trade-desk-calendar/ shows that 04/25/2019 is the roll date for May Grains, but in the NT instrument database why does it show 02/19/2019?

Thanks

[uday12]

Please ignore my question. I didn't interpret the NT Instrument Database correctly. I figured out that the rollover date information in the NT Instrument Database for a contract is the start date from which the contract is valid, not the end date.

[uday12]

Hi

(1) There is a mismatch between Grains rollover date in the Event Calendar and the Instrument Database. See the two pictures below. The Events Calendar shows that the Grains Rollover is on 04/25/2019 this month, while the instrument database shows the rollover for the July 2019 contract for ZS is 04/19/2019, which was a Friday and the market was close.


(2) What happens when the instrument manager has a data like 04/19/2019 as a rollover date (such as for ZS 07-19 contract) which is a holiday? What does the chart display? Thanks.

[NinjaTrader_ChelseaB]

Hello uday12,

Strategy Development would not be the correct part of the forums for this inquiry as it is not related to programming NinjaScript Strategies in C#.

There is potential that the NinjaTrader rollover date does not coincide with the volume switch from one contract to the next.
While some rollover dates are 'official' from the exchange, in most cases, these rollover dates are just estimates on when the volume will switch when there is no definitive rollover date.

If you would like to change the rollover dates for an instrument, you are welcome to do so.

https://ninjatrader.com/support/helpGuides/nt8/en-us/index.html?editing_instruments.htm#UnderstandingTheContractMonthsSection

I am looking further into why the Trade Desk Calendar is showing April 25th, and the rollover in NinjaTrader is showing February 18th. I appreciate your patience.

[NinjaTrader_ChelseaB]

Hello uday12,

The Trade Desk Calendar is advising to roll May into the July contract month on April 25th, however, the NinjaTrader platform has this a few days earlier on April 19th.
While this was a holiday and won't be on the chart, it can still be used as the rollover date. Our development has decided to move this to a few days before the 19th to avoid confusion with the holiday.