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Rollover dates and offsets

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  • Harry
    started a topic Rollover dates and offsets

    Rollover dates and offsets

    Need to start ths subject again, as there has been little progress over the last years. I am sorrry. Will post here.


    Looking at Nasdaq futures NQ 06-18.

    Possible options to calculate the rollover offset are:

    Offset option 1 (calculated from settlement prices on day prior to rollover date):
    June = 6949.75 / March = 6924.50 offset = 25.25 points

    Offset option 2 (calculated from regular closes at 3:15 PM CT on day prior to rollover date):
    June = 6949.50 / March = 6923.00 offset = 26.50 points

    Offset option 3 (calculated from last traded price on day prior to rollover date):
    June = 6947.50 / March = 6923.50 offset = 24.00 points

    Offset option 4 (calculated from the difference of the futures contracts at the time when the cash market closed
    on day prior to rollover date)
    June = 6955.50 / March = 6930.00 offset = 25.50 points



    Questions:

    I personally prefer using option 1, but agree that other methods are possible. Here are my questions

    (1) Why does NinjaTrader 8 suggest an offset of 22.5 points? None of the methods results in such an offset.

    (2) I do not want to use the offsets suggested by NinjaTrader. I want to use a correct offset with a correct rollover date.How may I enter the correct rollover date March 8 and the correct offset of 25.25 points for display of merge back adjusted contracts?

    I need to enter March 8 as otherwise my volume indicators will not work correctly. I also need to enter 25.25 points, as otherwise my support & resistance indicators do not work correctly.

    However, when I enter correct values, NinjaTrader will override these values with false values.

    What shall I do to enter the values needed?
    Last edited by Harry; 03-14-2018, 03:11 PM.

  • NinjaTrader_RyanS
    replied
    Hello Habibalex,

    I have added a vote on your behalf to this ongoing feature request.

    Thanks for your feedback.

    Leave a comment:


  • habibalex
    replied
    I would like to add my vote for this feature request.

    In addition, when I set the offset date to a different date ninja will also magically change it back to it's preferred roll date, esp when downloading a new version of ninjatrader.

    I would like to roll my contracts on the day that volume rolls. For ES futures this generally occurs on the Friday after the roll date. In addition, the mergedbackadjusted amount should be based on the settlement price provided by the CME. These are the options for a 'professional' platform.

    SierraChart gives you the option to roll on volume. As a developer/trader, it's shameful ninja still does this incorrectly as I've mentioned this issue YEARS ago. We're literally explaining how to do it properly.

    https://www.cmegroup.com/trading/equ...rvaluefaq.html => see lead month / second month.

    https://ninjatrader.com/support/foru...t-roll?t=86499

    Leave a comment:


  • NinjaTrader_PatrickG
    replied

    A reset of your instrument database should resolve this. To reset your instruments please follow the steps below.
    • Disconnect from your data feed: NinjaTrader Control Center> File> Disconnect> Select your data feed.
    • Reset your Instruments: NinjaTrader Control Center> Tools> Options> Data tab> Reset Instruments>OK.
    • Restart NinjaTrader> Connect (NinjaTrader Control Center> File> Connect> Select your connection.

    Leave a comment:


  • tony98
    replied
    On NT V7 my future contracts list(contract months and expiration dates) ends 12-18. I have just download the latest version 39. Has the rollover database been updated? How can I get an update? Thanks.
    Tony
    Last edited by tony98; 11-29-2018, 09:59 AM.

    Leave a comment:


  • NinjaTrader_RyanS
    replied
    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.

    Leave a comment:


  • NinjaTrader_RyanS
    replied
    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-

    Leave a comment:


  • poseidon_sthlm
    replied
    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

    Leave a comment:


  • Harry
    replied
    Originally posted by nkhoi View Post
    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.

    Leave a comment:


  • nkhoi
    replied
    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.

    Leave a comment:


  • Harry
    replied
    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 ....
    Attached Files
    Last edited by Harry; 07-06-2018, 04:49 PM.

    Leave a comment:


  • bltdavid
    replied
    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.

    Leave a comment:


  • NinjaTrader_RyanS
    replied
    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.

    Leave a comment:


  • aslane
    replied
    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).

    Leave a comment:


  • Harry
    replied
    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.
    Attached Files
    Last edited by Harry; 03-16-2018, 10:51 AM.

    Leave a comment:

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