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Difference between FDAX 03-20 vs FAX 12-19 for 12/16/2019 1 Minute

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    Difference between FDAX 03-20 vs FAX 12-19 for 12/16/2019 1 Minute

    Just noticed this difference between these two. The chart looks similar but the values seem to have started at different values.

    Included screenshot of Historical Data window because I assume those are the same values being displayed in the Charts. The FDAX 03-20 here seems to be different between Chart vs Historical Data window.

    Can you guys test this on your end? I've already removed and reloaded the Historical Data for Minute charts for 12-19 and 03-20, and same results.

    Settings used below. Data sourced from IQFeed.

    Click image for larger version

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    FDAX 12-19

    Click image for larger version

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    FDAX 03-20

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    #2
    Hi cmarkb,
    If you use the FDAX 03-20 and look at Mid Dec. 2019, you have a roll over date in between. Which merge policy do you use?
    Tools -> Options -> Market Data -> Global Merge Policy
    NT-Roland

    Comment


      #3
      Hi NT-Roland,

      Thanks for the reply.

      It's currently set to Merge back adjusted.

      Comment


        #4
        Hi cmarkb,
        That's exactly what I expected and should explain the difference.
        @NinjaExperts: Please correct me if I'm wrong. Thx.
        Data for each future is recorded separately. Loading data for the current future should not change the historical data of the previous future.
        Often, a gap can be observed between the price for the current and the previous contract for many good reasons. If you choose, "merge back adjusted", the difference between the current and previous contract is measured at a specific point in time (e.g. on the close of the day prior to the rollover), and then all data of the respective previous contract is displayed adjusted, but not overwritten in the database. Let's assume, the current contract traded at 13.500 and the old one at 13.475 at the time of gap determination. Now, if you open a back-adjusted continous chart, it will show current contract data as is and will add to all the data of the previous contract 25 points to eliminate the rollover gap. This procedure is repeated on each rollover.
        NT-Roland

        Last edited by NT-Roland; 07-11-2020, 07:56 AM.

        Comment


          #5
          Hi NT-Roland,

          Thanks for the explanation. Will play with that option tomorrow.

          Comment


            #6
            Hello,

            Thanks for your posts.

            Yes, this appears to be related to the Merge Policy in use which is determining how to plot available data on your charts.

            That sounds like you have a good grasp on the concept, NT-Roland. I'll just add here the Help Guide article on the subject for further information:

            https://ninjatrader.com/support/help...rge_policy.htm

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

            Comment

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