wrong CL rollover date

[sanzo]

NT8 rolled over the CLQ18 contract to CLU18 on 7-17-2018. But the daily volume was actually higher on CLQ18 than CLU18 on 7-17-2018.

CLU18's daily volume surpassed CLQ18 on 7-18-2018 so technically the rollover should be performed on 7-18-2018 instead of 7-17-2018.

[NinjaTrader_ChrisSch]

Hello sanzo,

Thank you for your note.

The rollover dates are suggestions as there are not universally accepted rollover dates for most futures instruments. I will forward your feedback to our development team but if you ever need to rollover before our suggested date, you can do so by simply manually changing the date via Tools > Instruments > CL > Contract Months.

Please let us know if further questions come up.

[sanzo]

Hello sanzo,

Thank you for your note.

The rollover dates are suggestions as there are not universally accepted rollover dates for most futures instruments. I will forward your feedback to our development team but if you ever need to rollover before our suggested date, you can do so by simply manually changing the date via Tools > Instruments > CL > Contract Months.

Please let us know if further questions come up.

I was under the assumption that NT came up with the rollover dates based on volume crossover. Is that not the case then?

[sandman]

sanzo,
I always open a Time&Sales window for both contract dates no matter what instrument. Even though the Rollover date may have already been, I trade the contract with more volume until the volume for the "new" contract date has surpassed that of the old one. This may not be what you were addressing but I thought I'd mention it.

sandman

[brucerobinson]

Sanzo/Sandman,
There is a Feature Request (2686) for this earlier in the year. You might like to ask to be invited to add your vote, FWIW (it's a Platform shortcoming by comparison with other offerings, rather than a Feature Request IMHO).
You may wish to see this thread https://ninjatrader.com/support/foru...ume+based+roll

A more recent thread also worth a read is here https://ninjatrader.com/support/foru...d.php?t=108410 as it discusses the effect of volume rolling over on backtesting and on Volume-based indicators, mainly in the different context of Offset, being the origin of the thread. However, of relevance and as is pointed out is that the effect is exacerbated in markets such as DAX (which Harry chooses, to illustrate) due to fast shift over and low volume. As you've seen with CL, as I report with GC, and happens frequently with DAX, rolling over by volume earlier than the dates taken from the Exchange is commonplace.


The new Contract rollover function works well enough, if/when the dates are a) free from error (which they're sometimes not) and b) coincide with when volume shifts and/or the instrument isn't 'susceptible' such as ES.

I agree with you both, rolling over by volume is a reasonable assumption and desirable whether that be before or after the 'suggested date'.

It would be preferable to have at least as an option, but instead in 8 we got the rollover function implemented working off dates, only, and little appetite evident to do anything using volume. Using volume is convoluted and not provided for in 8. You have to use T&S or (I use) Market Analyzer to watch it rather than being 'pushed to you' as Date-based now is.

Unlike Harry's more recent battle, I lost the will to respond. I don't have his Germanic tenacity.

Please ask to add you vote.

Kind regards

Bruce

[brucerobinson]

NG rolled by volume last night. We'll see what the volume is toward the end of the day (there's still vol on the old contract atm).
It won't roll according to the Platform/date-based until tomorrow.
NG's just another example of low volume instrument, hence more dramatic affect.

Happens all the time

[brucerobinson]

….and today GC rolled over on Volume but not on date. So today GC is un-tradeable on the 08-18 Contract and the 12-18 Contract is not yet available to roll via Database Management | Rollover futures instruments

[NinjaTrader_Dennis]

Hello,

Thank you for using NinjaTrader.

The GC 12-18 doesn't rollover in NinjaTrader until 7/31/2018. If you want to rollover before that and continue to merge past contracts, you will need to adjust the rollover date:

-Control Center > Tools > Instruments
-Locate and select 'GC' > Edit
-Scroll down and select 'Edit rollovers'
-Select the '12-18' contract from the 'configured' list
-Edit the 'rollover date' to any date prior to today > OK > OK > Close
-Right-click on your chart and select 'reload all historical data'

If you do not want your charts to merge back past contracts, you can change your merge policy to 'Do Not Merge' under Control Center > Tools > Options > Market Data > Global Merge Policy.

Below I have provided a link to the Understanding Merge Policies section of the help guide.

https://ninjatrader.com/support/helpGuides/nt8/en-us/merge_policy.htm

Please let me know if I may be of any further assistance.