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Historical Data after Rollover

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    Historical Data after Rollover

    I'm using the Kinetick - End Of Day(Free) Data Connection and have done a rollover from ES 09-20 to ES 12-20.
    Now suddenly there is a difference in the historical market values.
    All prices of ES 12-20 are 9.75 points lower than those of ES 09-20.

    Example:

    Jan 02, 2018

    ES 09-20 O:2684.75, H:2705.5, L:2684, C:2702.5
    ES 12-20 O:2675, H:2695.75, L:2674.25, C:2692.75

    Can this be explained?
    Thanks

    #2
    Hello,

    This is due to the default merge policy which accounts for the contract offset during rollover. If you would like to have the offset removed, you would likely want to change the merge policy to 'MergeBackNonAdjusted'.
    Below is further information on merge policies:
    https://ninjatrader.com/support/help...rge_policy.htm

    Ryan S.NinjaTrader Customer Service

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      #3
      I see,

      can this also be done within the strategy?

      Thanks

      Comment


        #4
        Hello,

        When backtesting a strategy, the platform will use the merge policy automatically so if you make this change the backtest will account for this as well.
        Ryan S.NinjaTrader Customer Service

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          #5
          Thanks.
          I know, but can the policy be set from back- to nonback adjusted inside the strategy?

          Comment


            #6
            Hello,

            This setting only affects data the strategy is run on, not the operating logic of the strategy itself so this would not be possible. Therefore the setting will be global to all strategies and chart data.

            Please let us know if you have any other questions.
            Ryan S.NinjaTrader Customer Service

            Comment

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