Rollover dates and offsets

[NinjaTrader_RyanS]

Hello,

Thank you all for your patience on this matter.

The issue with the offset values in NinjaTrader should be resolved by restarting NinjaTrader, and reloading the historical data to your charts.

Please let us know if you have any further questions.

[NinjaTrader_RyanS]

Hello,

Thanks for the note.

We are looking into this discrepancy on the HO contract on our end.

I will be sure to post as soon as I hear more on this issue.

Thanks for your patience-

[poseidon_sthlm]

I vote with Harry!

But I don't agree at all on the statment that:

As long as I can change it, I do not mind all your false contract months, false rollover dates, false offsets, false holiday calendars & false trading hours.

In my opinion Ninjatrader has to step up imediately and offer correct and useful data for these trading support functions. This negligence of data maintenance in NT8 has been going on for over two years!!

/poseidon_sthlm

[Harry]

offset is too troublesome. When a new offset get added does it mean that all prices get adjusted until beginning of time? I select do not merge and stop worrying about offset every 3 month.

If you do not use volume indicators and if you never run backtests that approach may work.

If you wish to use volume indicators, and if you do want to run backtests over longer periods, then you need to use backadjusted contracts.

[nkhoi]

offset is too troublesome. When a new offset get added does it mean that all prices get adjusted until beginning of time? I select do not merge and stop worrying about offset every 3 month.

[Harry]

False offsets

Here are further examples for bad rollover offsets (with Kinetick data).

Heating oil rollover to August 2018 contract (rollover day June 15)

The correct offset would have been -0.0031.
The offset preset in Ninjatrader 8 is -0,1800 (58 times larger)

Heating oil rollover to July 2018 contract (rollover day May 17)

The correct offset would have been 0.0062

The offset preset in NinjaTrader is + 0.0800 (13 times larger)

Probably someone has confused dollars and cents or maybe used another instrument. The offsets for HO are all false. I feel the way offsets are maintained in the database is ridiculous. No one who trades any money can use that nonsense data.

I am really fond of NinjaTrader, but I have absolutely no understanding for the very bad maintenance of trading hours and rollover offsets.

Please find attached a mergebackadjusted (!) chart. The gap is mainly due to the false offset ....

[bltdavid]

I vote with Harry.

When Harry goes to such great lengths to document and explain the issues he is having with NinjaTrader (version 7 or 8), I have learned to sit up and diligently study his comments.

I consider Harry to be one of the world's foremost experts (outside of NinjaTrader headquarters) on all things NinjaTrader.

Since I am very fond of his commercial products, I cannot upgrade to NT8 until this issue is fixed.

Please ask all of engineering to study these requests carefully.

[NinjaTrader_RyanS]

Hello,

Thank you all for your feedback.

I'm sorry to hear of your frustration regarding these items, and we can understand the impact that this has on your overall trading method.

We truly appreciate the feedback, as we are always trying to improve NinjaTrader and user submitted ideas and feature requests are responsible for many of the new features and changes we add to the platform. All feature requests are reviewed by the development team for future builds, however it can take some time to design, test, and the implement them to the platform.

The workarounds we discussed earlier are the only options I can supply for the time being unfortunately. Until recently this has not been a requested change in NT8 since it was released, so the development team has not had the opportunity to review it for the current iteration of the platform.

We'll leave this thread open for users to leave their comments/suggestions, as well as add their votes towards this Feature Request as we monitor this suggestion.

If you have any other suggestions or concerns, please let us know so we can help to the best of our ability.

[aslane]

NT should be listening on this one, your offsets are generally wrong on most rolls. At a minimum you should be using the settlement prices (which should also be the daily bar closes).

[Harry]

Hello Ryan,

I think the way NinjaTrader behaves today is unacceptable. It is not possible to create a correctly merge backadjusted contract.

Your way of your dealing with problems is not at all satisfactory. Instead of suggesting a solution of the problem you call it a feature request.

A feature request will probably not be dealt with before 2020. It basically means that you are fending off problems, by not fixing them but simply ignoring them.

Is there any trader in your team, who understands what we are talking about?

Do you understand that NinjaTrader makes it impossible to use proper data as a base for trading decisions?


Suggestion:

To be more productive, there are two ways to fix the problem:


Option 1 (to be implemented ASAP):

Allow the user to select whether NinjaTrader downloads offsets and overrides the data that was manually entered by the user.

Option 2 (feature request):

Use a standard method for calculating offsets - as you did with NinjaTrader 7 - and do not supply fantasy offsets that cannot be used.

As long as I can change it, I do not mind all your false contract months, false rollover dates, false offsets, false holiday calendars & false trading hours. It is my responsiibility to adapt the settings. However, currently you are preventing me from entering proper values and I cannot tell my customers how to fix it.

Please look at the chart again. Your offset is 22.5. It is completely off the correct value which should lie between 24 and 26.5 (settlement 25.5). All indicator values such as VWAP, standard deviation bands, weekly pivots and monthly pivots are now 3 points off, just because you are not willing to fix the problem.

I am great fan of NinjaTrader, but false data to such extent is totally unacceptable.

[NinjaTrader_RyanS]

Hello,

I have added these considerations to a feature request, and linked this forum ticket for the development team to review. The tracking number is SFT-1694.


NinjaTrader 7 calculates the rollover based on the close price of daily bars the day before rollover.
NinjaTrader 8 calculates the rollover based on the close price of minute bars the day before rollover.

Thanks again for your contributions.

[emuns]

Hello Ryan,

I must agree with Harry. The way how the offset is calculated in NT8 is very awkward. I really don´t understand how you can say, that it has no impact on charting or backtesting?! On the contrary, the impact is absolutely crucial!

You suggested to submit feature request to be able to change the offset value without changing the rollover date. It could be fine but I don´t understand why should I be penalized for my effort to get "correct" values. Let´s say that I would like to backtest some strategy. I would like to do it on more futures markets on longer history. So I would need to find the "correct" offsets for many markets and many rollover days. Than calculate it, and than manually change NT default settings… It is really Sisyphean task!

There should be some settings in, let´s say, Tools > Options > General, where would be "Offset calculation" option. There would be drop down list with possible calculations settings. If you don´t like it, suggest another solution. Or change the default settings.

And I have understanding on Harry´s insisting to not to take it as a feature request. It is a request for posibility to easily change settings which is at least very questionable now.

What is the offset settings in NT7 and why you changed it?

[Harry]

Hello Ryan,

I am indeed frustrated. The matter is not at all subjective, because the method that is in place results in false offsets. I have taken all my time to explain that it does not work and the spread chart also proves it visually. You are not listening and pretending that there are users that need false offsets.

Now you tell me that in order to fix the offset I need to change the roll date. However, if I change the roll date and enter the correct offset, this will result

- in correct prices
- but false volume

If I keep the rollover date this will result

- in false prices
- but correct volume

The user is caught between the devil and the deep blue sea.


Example for false volume:

I am not going to show it for NQ, as I do not want to change the rollover date to a false date. I am taking FDAX, because you have already preset a false rollover date, making it easier for me to show evidence for false volume.

For FDAX the preselected roll date is today, March 15. The correct roll date would be tomorrow, March 16. Now please have a look at the chart, and how this affects volume!

Today's volume seems to be a meagre 32% of average volume. Why is this? Easy answer. You have selected the false front month contract. FDAX rolls on Friday. If you had selected the correct front month, today's volume would have been nearly twice as high as the volume shown on the chart.

This shows the problem I am having with the customization of NinjaTrader 8.

Nota: With FDAX you got it totally wrong. This is also good because in that case I may enter both rollover date and offset manually as needed without NinjaTrader overriding the correct values.

[NinjaTrader_RyanS]

Hello Harry,

I've noted your displeasure with the current offset calculation, and have submitted a feature request on your behalf to be able to change the offset value without changing the rollover date. Once I receive a tracking number for this request, I will update you with this info.

I understand your frustration with the way the value is calculated, but please note this is a subjective matter, and using a different method may adversely affect other users' indicator calculations, as they may want to use the calculation method already in place.

I believe the best resolution for all parties is to be able to manually adjust the offset value without changing the roll date, so hopefully this can be implemented in future releases.

However, the current solution would be to change the roll date and adjust the offset. Is this method not working for you? I have verified this works on my end. I would be sure to save your workspace after doing so.

I look forward to hearing from you.

[Harry]

Hello Ryan,


I am trying to help to communicate customer dissatisfaction with your product on behalf of several customers.

I wanted to communicate two things

- that your method of calculating offsets is flawed and results in false charts and indicator values

- that the user cannot change the false offset without changing the rollover date


You are just defending your product, unwilling to go ahead and communicate the necessary changes to NinjaTrader development.

NinjaTrader 8 is not working correctly.

Today it is not even possible to enter correct rollover date and offset manually.

What are you going to do about that?


For further evidence I have added a chart with the 1-second spreads calculated from NQ 03-18 and NQ 06-18 over the last 15 minutes of regular trading on Wednesday March 7. As you will notice the spread oscillates around 25.5 and is mostly contained within the arbitrage interval between 24 and 26.5.

The spread has never even come close to the value of 22.5.

Why don't you simply admit that you have got it wrong and make it better!