Strategy Analyzer Data queries for futures

[vonboettichert]

Hi,

I am running extensive backtests on a strategy and got historical trade data from TickData LLC and came across a couple of questions.

1) The roll methods have significant impacts on the strategy. Upon further reading, it seems that the 'merge back adjusted' smooths out the roll-over period, which doesnt reflect true price as would have been at the time. The 'merge back non adjusted' would give us the price as it was, and simply use the new contract data from the roll-over period. Is the 'merge back non adjusted' the most realistic scenario for the strategy tester, and if so, is there any data manipulation that occurs?

2) The data that was received from TickData LLC contains both trade and quote data. The trade data doesn't contain any bid / ask prices (they exist in the quotes), so I was wondering whether the strategy analyzer makes use of the bid / ask quotes in the market if my strategy is programmed on the 'last' price chart.

3) Data differences: the data received from TickDataLLC and from Continuum is from the CME group. That means that they have the same data provider. Using only the trade data (last prices) from TickDataLLC, the strategy performs completely differently. I followed all the steps necessary to import the TickDataLLC data, but was wondering whether I should be importing individual contracts one at a time, if I should be importing tick-based bars (which my strategy runs off) etc. Could you please clarify on these settings, as TickDataLLC says this falls within range of Ninjatrader support and won't offer any help. Please see screenshot attached.

Best regards,
T

[NinjaTrader_PatrickG]

"merge back non adjusted' would only consider the rollover date and not the offset value, so there is no 'manipulation' with this setting. You can read more about merge policy here:

https://ninjatrader.com/support/helpGuides/nt8/merge_policy.htm

If the strategy is programmed to use the last price, then that is what is considered. You would need to program the strategy to specifically consider ask or bid if that is what you desire.

If the strategy is performing differently from two different sets of data, the data must necessarily be different. I could not speculate as to how or what is different as NinjaTrader is simply executing the strategy on the data you've provided into the platform. The only information we have regarding TickData LLC import would be here:

https://ninjatrader.com/support/helpGuides/nt8/index.html?importing.htm#FormattingdatafromTickDataLLC

My curiosity would be whether or not TickData LLC is providing you with already merged data or raw contract data. For example, if you download a year of ES data, does it give you the relevant front months for that period of time (i.e. gives you ES 12-19 data for one year, or gives you ES 12-18, ES 03-19, etc. when they were the 'front month' during the last year.

[vonboettichert]

Hi PatrickG,

Thanks for your answer.
TickData's Tickwrite program has the optionality of providing you a continuous file with merged data, where the merge can happen according to different methods (i.e. most active at roll, expiry, etc.)
You can also generate stand-alone contract files, which will only contain trades for a specific contract. I found this option the most consistent, and using this together with a non-adjusted merge method.

Differences are relatively neglible at this stage, but only have 1 years worth of data to compare

Best regards,
T