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Opening follow up contract months leads to wrong charts

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    Opening follow up contract months leads to wrong charts

    Hello NinjaTrader support team,

    I'm having issues when opening the new future contracts (e.g. next month). The price difference of the futures is shown as price movement wich is just wrong.
    Restarting NT or reloading historical data have no effect on this. Sometimes the problem disappears over time(wich is no solution).
    I can't work with this charts in that state. I'm having this problem in CL future 06 => 07 and also sometimes in ZL, ZM.


    I'm using kinetick and a NT lifetime license.

    Best regards,
    Johnny

    #2
    Hello,

    Thanks for writing in today.

    What is your global merge policy?

    From the Control Center> Tools> Options>Market Data> set Global Merge Policy to Do Not Merge and then reload the historical data on the chart. This will only display the current contract and will not merge the past contract data into the chart.

    Please let me know if I may be of any further assistance.
    Marco G.NinjaTrader Customer Service

    Comment


      #3
      Hello Marco,

      thanks, its working now as expected.

      Best regards,
      Johnny

      Comment


        #4
        I don't usually want to change Global Merge Policy to DoNotMerge.

        I always fix this by editing the instrument in the Instrument Manager, changing
        the date from the projected future date to the date the volume actually rolled
        over.

        See attached screenshot.
        Attached Files

        Comment


          #5
          Originally posted by NinjaTrader_Marco View Post
          From the Control Center> Tools> Options>Market Data> set Global Merge Policy to Do Not Merge and then reload the historical data on the chart. This will only display the current contract and will not merge the past contract data into the chart.
          Doesn't that setting affect all the charts for all futures instruments?

          Is there a way to set some instruments to DoNotMerge allowing all the
          others to remain MergeBackAdjusted?

          Comment


            #6
            #johnny90 #bltdavid - if not already, it seems like your votes should be added to the Feature Request for a Volume-based Rollover solution such as offered by Sierra Chart, eSignal, InvestorRT etc so please request if not already. Thanks.

            FYI FWIW if unaware Ninja has an Indicator 'Rollover Indications' which tells you the rollover date on your chart (a 'heads up') and the ability to roll from the chart before the Calendar date Ninja use. However it still brings about the Merge Policy Issue. and is not a solution to rolling over by volume.
            #blt iirc I am pretty certain you are correct re: Merge Policy being 'Global'.

            So, FWIW, I have Rollover Indications indicator on instruments where Volume rollover typically precedes Date (a minority) to give me date heads up, maintain a Market Analyser for current and next front month contract (more Instrument List to maintain) and compare volume, and when rolled by volume delve into the inner workings to change the date per #bltdavid's solution. Only way I know.

            If anyone knows an easier, less convoluted, lower maintenance way to achieve this basic function please share.

            Comment


              #7
              Originally posted by brucerobinson View Post
              #johnny90 #bltdavid - if not already, it seems like your votes should be added to the Feature Request for a Volume-based Rollover solution such as offered by Sierra Chart, eSignal, InvestorRT etc so please request if not already. Thanks.
              Do you have a link to the thread where we should add our votes?

              Originally posted by brucerobinson View Post
              FYI FWIW if unaware Ninja has an Indicator 'Rollover Indications' which tells you the rollover date on your chart (a 'heads up') and the ability to roll from the chart before the Calendar date Ninja use.
              Thanks!

              Originally posted by brucerobinson View Post
              However it still brings about the Merge Policy Issue. and is not a solution to rolling over by volume.
              #blt iirc I am pretty certain you are correct re: Merge Policy being 'Global'.
              Yeah, which is I why I think it is bad advice to change it.

              Besides, people can forget they changed it to DoNotMerge, which can create
              other 'strange' data issues for themselves weeks or months later.

              Originally posted by brucerobinson View Post
              So, FWIW, I have Rollover Indications indicator on instruments where Volume rollover typically precedes Date (a minority) to give me date heads up, maintain a Market Analyser for current and next front month contract (more Instrument List to maintain) and compare volume, and when rolled by volume delve into the inner workings to change the date per #bltdavid's solution. Only way I know.
              Yep, in NT7, I use bltEasyTimer to get that same heads-up for the upcoming date, then I also
              just watch Market Analyzer for a true change in volume, rolling over manually when I see the
              new contract with higher volume.

              If this higher volume situation happens earlier than the rollover date in Instrument Manager,
              I edit the instrument and change NT's rollover date to be the date when I saw the volume
              change actually occur.

              [EDIT: Sorry, I just realized this was an NT8 forum -- bltEasyTimer is currently NT7 only]
              Last edited by bltdavid; 05-08-2020, 09:15 AM.

              Comment


                #8
                Hello all,

                Thank you for your feedback on this item.

                First off, there is a way to roll the CL early without having to change the merge policy.

                To do so:
                • Control Center > Tools > Instruments
                • Locate and select 'xx' > Edit
                • Scroll down and select 'Edit rollovers'
                • Select the 'xx-xx' 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.For bitdavid, I have added a vote for you to SFT-2686, a request to use volume-based rollovers.

                Please let us know if you have any further questions.


                Melissa J.NinjaTrader Customer Service

                Comment


                  #9
                  Thanks, Melissa!

                  Comment


                    #10
                    Yeah, another vote added. Thank you. One day, one day.....
                    With the advent of Alerts, I wondered if I may be able to add alerts to the Instruments' Contracts Volumes in Market Analyzer with a Greater than or Equal, but forlorn hope dashed against the rocks of despair once more :-(

                    Comment


                      #11
                      Thought I'd use this as timely example of why this hotchpotch of 'fixes' (Rollover Indications Indicator etc) needs, wait for it, you guessed it, a proper Platform Volume-based rollover solution.
                      Fri 8th May - 'Current' CL Contract 06-20. Volume on 07-20 is two times that on 06.
                      Rollover Indications shows next rollover 05-14 - a week after the volume shifted.
                      It doesn't show in Database Management.
                      I expect there will be little volume remaining on 06 by the time it appears in Database Management.
                      A classic example of where a 'push' notification of volume switch would be so helpful.
                      Unusual event and circumstances, CL/commodities don't have Exchange rollover dates etc. But it is not uncommon.
                      A week ahead. So the only way I have of keeping on top of this is to diary the dates and manually maintain and check volume in a Market Analyzer.
                      Which, obviously, I do.
                      But this is the modern world. This has been requested since 2014, with spurious reasons from NT as to why this isn't needed.
                      Just to illustrate the point.
                      And hopefully votes, bring about change. It frequently comes up.

                      Comment

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