merge policy

[patricia70]

Hello all,

I understood the principle of merge policy from this description. However, I would be interested to know which policy makes sense when to use?

I have played through various constellations and in my understanding the "merge non back adjusted" would be the only true selection because it does not distort prices by the offset calculation. However Ninjatrader8 by default uses "merge back adjusted" as global merge policy, why?

looking forward to helpful replies. Thank you.
Patricia

[NinjaTrader_Tyler]

Hello patricia70,

Thanks for posting.

The purpose of MergeBackAdjusted is to prevent significant price gaps from appearing when one contract rolls over to another. Below is a link with more information:

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

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

[patricia70]

Hi Tyler and thanks for the feedback. I am aware of the link, I had already read and mentioned it in my post. However, I don't see any advantage in MergeBackAdjusted, quite the opposite: the price is distorted and does not correspond to an actual traded price on the exchange.

Hence the question, what is the point of MergeBackAdjusted in the first place. After all, one does not use something analog like a "MergeGapAdjusted" function to fill any gaps at the daily limits, e.g. on the EUREX market. In the gaps there was simply no traded price. If fictitious values are used, they remain fictitious and unrealistic, they distort the picture and do not reflect the market.

[NinjaTrader_Tyler]

There are multiple merge policies to choose from, as explained in the link I provided. Which merge policy you use is up to your personal preference.

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

[patricia70]

As I said in the first sentence of my initial post I understand what this function does and how it works. Without wanting to sound rude but could you please read my question again, you obviously did not understand it or I was clumsy in asking. Your answer unfortunately does not answer the real question about the sense and purpose.

[NinjaTrader_Tyler]

The purpose of MergeBackAdjusted is to prevent significant price gaps from appearing when one contract rolls over to another. If you prefer not to use this merge policy, you are free to change it under Tools > Options > Market data.

[patricia70]

With all due respect, this is what you said three times in a row. You didn't read the question, I give up. However thanks for your effort.

Is there anyone else who can give a helpful answer with example application purpose. When does the whole thing make sense, when not? There must be real purposes, otherwise this function would never have been created.

[NinjaTrader_Tyler]

It's down to personal preference- If you prefer to offset values in order for the chart to appear seamless, use MergeBackAdjusted. If you prefer to keep the values unaltered, use MergeNonBackAdjusted. If you prefer to not merge in data from prior contracts at all, use 'DoNotMerge'. Based on your initial post, it looks like you already know that you would prefer to use 'MergeNonBackAdjusted'.

[patricia70]

Once again, the same story. In the meantime, you could have read the question umpteen times and -at least try- to understand it. Anyway, please don't.

Would greatly appreciate more responses.

[mzabarain]

Hi Patricia and Tyler,
To make a long story short, "merge back adjusted" fits any kind of trend strategy, where indicators like Moving Averages are used. In this situation, using "merge non-back adjusted", may display huge gaps that affect the MA indicators and the strategy performance. In sum, continuous data with no GAPs give better entry signals in trending strategies.
If on the contrary, your trade strategy is based on pivot levels, then "merge non-back adjusted" should be your choice.

Cheers,
Miguel.

PD:
Hey Tyler,
I just wanted to note that looking at the documentation in Spanish about the merge policy used in NT8 for continuous contracts, I came across very awful work. Please let the people responsible at NinjaTrader for Spanish content, that I'd be delighted to talk about helping to produce professional translations to Spanish.

[brucerobinson]

#patricia70
I understand your frustration at the responses from Support.
If you would like more detail/further explanations of where, when, implications to the very succinct and helpful response from #mzabarain, I seem to remember a comprehensive answer by User ‘Harry’ aka ‘FatTails’. Harry is now Lizard Indicators and one of the most knowledgeable, generous and helpful people in the Ninja Ecosphere

I’m pretty sure threads on the subject would have been in the NT7 User Forum, so if your thirst isn’t fully quenched I’d take a wander over there.

Best,