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wrong NG chart

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    wrong NG chart

    Hi,

    I'm currently using Ninjatrader 8.0.14.2 64-bit with Continuum Demo data.

    When I select the current front month NG futures (NG 07-18) and go all the way back to view the data for October-2016 NG futures on Ninjatrader, there are two problems:

    1) if i am on merge-back-adjusted, the chart is correct except the prices are way off due to offsetting. i cannot chart NG futures properly when using merge-back-adjusted because the offsets create an entirely false chart due to the altered prices

    2) then when i am on merge-non-back-adjusted, there ends up being a huge gap from the end of session on 10/21/2016 (Friday) to start of session on 10/23/2016 (Sunday)

    i am not sure why merge-non-back-adjusted NG chart is producing this gap which results in an incorrect chart. i thought merge-non-back-adjusted didn't apply any offset values so under merge-non-back-adjusted, when i am on the current front-month NG 07-18 chart and look back to October-2016, the chart should be identical to the chart that is shown when i am on the NG 11-16 chart.

    how do i fix this?
    Attached Files

    #2
    There is a large gap when you use "MergeNonBackAdjusted" because there is no offset being implemented to mitigate the gap in price between the 11/17 and 12/17 contracts on the roll date (10/23/2017).

    Here is the definitions of both merge policies from the help guide:

    MergeBackAdjusted
    • Data from each individual expiry month across the time span of the historical data request is loaded
    • Offset values will be used to back adjust the historical price data to match the next front month
    • The result is a continuous chart of ES front month data for the dates selected. Price is seamlessly merged between each contract month.

    MergeNonBackAdjusted
    • Data from each individual expiry month across the time span of the historical data request is loaded
    • Offset values are NOT used and leaves historical data as raw data
    • The result is a continuous chart of ES front month data for the dates selected Significant price gaps in the chart may be present due to changes in contract values that were NOT Offset.

    Learn more about merge policies here:
    https://ninjatrader.com/support/help...rge_policy.htm

    There was a gap of .197 between the closing prices of the 11/17 and 12/17 contract on the trading day prior to the rollover date. This is the offset we see applied to the 23rd and is what causes the gap when using "MergeNonBackAdjusted".

    Learn more about offset calculations here:
    https://ninjatrader.com/support/help...tMonthsSection

    If you're trying to view a chart which does not manipulate the data but still merges data together, then using "MergeNonBackAdjusted" is what you need. If you want a 'smooth' chart with no gaps (but with price manipulation via the offset) then you would use 'MergeBackAdjusted'.
    Patrick G.NinjaTrader Customer Service

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