Wrong Rollover Dates

[klaus w]

Hi,
I did discover that there are some Rollover Dates which do not make sense. Could you please check that? I know that I can adjust them myself, but they will all be reset if I need to reset the instruments.
By the way: Is there a way NOT to get any updates on Rollover Dates and new Future contracts?

There were a couple of Rollover Dates wrong the last weeks which were corrected by NT (HE, LE, PL, GC, SI, etc...)

The ones which are still not ok are:

XT Future: Rollover Dates are wrong. Volume does not support your Rollover Dates
YT Future: Rollover Dates are wrong. Volume does not support your Rollover Dates
IR Future: Rollover Dates are wrong. Volume does not support your Rollover Dates
TN Future: Rollover Dates are wrong. Volume does not support your Rollover Dates
CN Future: Some Rollover Dates are wrong. E.g. 06-14, 03-14, etc.

Thanks,
Klaus

[NinjaTrader_ShawnB]

Hello klaus,

Thank you for your post.

You can make adjustments to your rollover dates and keep them if you ever need to reset the instruments by ensuring the Future expiries option is unchecked before clicking the Update button.

There isn't a way to disable the rollover update window permanently, however, you can stop the window from showing until the next major rollover date by unchecking the instruments listed, and then click Done.

Please do not hesitate to contact us for any other NinjaTrader inquiries you may have.

[klaus w]

Hi Shawn,
thanks for your answer. Are you going to adapt the wrong expirations?
Thanks,
Klaus

[Lancer]

Klaus, for any instrument, the date when volume rolls forward may or may not be on the calendar roll date, and the calendar roll date vs. actual volume roll date may vary from roll to roll. It is not precise, or reliably regular, and will never match dates every time, so don't bother changing NT settings because it is a moving target. Depending on the instrument, volume may roll from 2 days before to 2 days after the calendar roll date, typical. The best approach is to start monitoring volume on both the front month and the forward month two days prior to the calendar roll date, then roll when volume moves forward, whenever that happens.

[klaus w]

Lancer, I am well aware of the logic behind the rollover dates. But if you look at the rollover dates which I mentioned, you will see that they are completely off any logic.
There were the same issues with other instruments and NT did correct that.

https://ninjatrader.com/support/forum/forum/ninjatrader-8/platform-technical-support-aa/1139187-spi-rollover-dates

I think that makes completely sense to correct them as they will always be wrong if users reset their DB

@NT: Could you please have a look at the Rollover Dates which I mentioned in my first post?

Thanks

[NinjaTrader_Heath]

Hello klaus,

Thank you for your post.

You mention several rollover Contracts in your original post, but don't provide the specific rollover dates you're referring to with those. Please provide additional direction regarding the specific rollover dates you're referring to in that list so we can be sure we're looking at the correct dates.

Again keep in mind that Lancer's information regarding dates is correct it won't always match volume and it loaded as an educated guess as to when the volume will begin shifting.

If you'd like to view a previous contract after a NinjaTrader specified rollover date you can always type it into the instrument filed manually.

Thank you we'll await your reply.

[klaus w]

Hi,

I am happy to point you in the right direction to correct the rollover dates. Please find my list below.

The XT-Contract is correct now. Thanks for correcting!

The following contracts still have issues:

YT-CONTRACT:

YT 12-20 (is 28.8, should be 14.9)
YT 09-20 (is 28.5, should be 12.6)
YT 06-20 (is 27.02, should be 12.3)
YT 03-20 (is 28.11, should be 12.12)
....
YT 03-05 (is 30.11, should be 14.12)

With YT- contracts I would see the Rollover Date at the day before expiration. You did that with the contracts from 2021 on and the XT-contracts but not with the YT 12-20 contract and earlier.


IR-CONTRACT:
The same rollover logic (as for YT and XT) should apply for the IR contract. The Rollover you are having is the month before. There is no volume at all in those contracts. I see the rollover on the day before expiration (which is usually the day before the 15th)

TN-CONTRACT:
The rollover dates are correct until the TN 03-21. You used the second last business day of the preceding expiration month.
From the TN 12-20 contract and earlier you use a different logic which I do not understand and it is also not supported by the historic data. I would suggest to use the logic of the rollover dates from the contracts TN 03-21 and on...

CN-CONTRACT:

CN 12-15 (is 10.09.15 but the CN is rolling monthly. The rollover should be end of November 2015)
CN 09-15 (is 11.06.15 but the CN is rolling monthly. The rollover should be end of August 2015)
CN 06-15 (is 12.03.15 but the CN is rolling monthly. The rollover should be end of May 2015)
CN 03-15 (is 11.12.14 but the CN is rolling monthly. The rollover should be end of February 2015)
CN 12-14 (is September but the CN is rolling monthly. Should be November)
CN 09-14 (is June but the CN is rolling monthly. Should be August)
CN 06-14 (is March but the CN is rolling monthly. Should be May)
CN 03-14 (is December but the CN is rolling monthly. Should be February)
CN 12-13 (is September but the CN is rolling monthly. Should be November)
CN 09-13 (is June but the CN is rolling monthly. Should be August)
CN 06-13 (is March but the CN is rolling monthly. Should be May)
CN 03-13 (is December but the CN is rolling monthly. Should be February)
CN 12-12 (is September but the CN is rolling monthly. Should be November)
CN 09-12 (is June but the CN is rolling monthly. Should be August)
CN 06-12 (is March but the CN is rolling monthly. Should be May)
CN 03-12 (is December but the CN is rolling monthly. Should be February)
CN 12-11 (is September but the CN is rolling monthly. Should be November)
CN 09-11 (is June but the CN is rolling monthly. Should be August)
CN 06-11 (is March but the CN is rolling monthly. Should be May)
CN 03-11 (is December but the CN is rolling monthly. Should be February)
CN 12-10 (is September but the CN is rolling monthly. Should be November)
CN 09-10 (is June but the CN is rolling monthly. Should be August)
CN 06-10 (is March but the CN is rolling monthly. Should be May)
CN 03-10 (is December but the CN is rolling monthly. Should be February)
CN 12-09 (is September but the CN is rolling monthly. Should be November)
CN 09-09 (is June but the CN is rolling monthly. Should be August)
CN 06-09 (is March but the CN is rolling monthly. Should be May)
CN 03-09 (is December but the CN is rolling monthly. Should be February)
CN 12-09 (is September but the CN is rolling monthly. Should be November)
CN 09-08 (is June but the CN is rolling monthly. Should be August)
CN 06-08 (is March but the CN is rolling monthly. Should be May)
CN 03-08 (is December but the CN is rolling monthly. Should be February)
CN 12-08 (is September but the CN is rolling monthly. Should be November)
CN 09-07 (is June but the CN is rolling monthly. Should be August)
CN 06-07 (is March but the CN is rolling monthly. Should be May)
CN 03-07 (is December but the CN is rolling monthly. Should be February)
CN 12-06 (is September but the CN is rolling monthly. Should be November)
CN 09-06 (is June but the CN is rolling monthly. Should be August)
CN 06-06 (is March but the CN is rolling monthly. Should be May)
CN 03-06 (is December but the CN is rolling monthly. Should be February)


Please do not hesitate to contact me if there is clarification needed. I am happy to help.
Klaus

[NinjaTrader_Heath]

Hello klaus,

Thank you for your patience.

Our data team has updated the YT and CN changes in production to reflect the correct dates, you can restart your platform to see those new changes.

Regarding the IR instrument can you go into further detail about how you conclude that it is the same at the YT? We're showing settlement to be the second Friday of the contract month.

Thank you I'll await your reply.

[klaus w]

Hi Heath,
thanks for your reply. Here is what I found out:

YT-CONTRACT:
YT is ok now.

IR-CONTRACT:
Quote from the ASX-Contract-Specifications:

Last Trading Day:
12.00 noon on the business day immediately prior to settlement day.2 The Expiry Settlement Price is determined at 10:00am on the final trading day.
Settlement Day:
The second Friday of the delivery month.

You are right, IR is not the same as YT or XT. I see that you made some changes but your new Rollover Date is now after the expiry. I would suggest 2 Business Days before expiry.

TN-CONTRACT:
TN is ok now.

CN-CONTRACT:
CN 06-11 is still wrong

Thanks for your changes! I really appreciate it!
Klaus

[NinjaTrader_Heath]

Hello klaus,

Thank you for your reply.

Our team is investigating the CN contract specified and I will update you when I have more information from them.

Thank you for your patience in the interim.

[klaus w]

Hi,
the CN-Contract is ok now.

Please do not forget to adapt the IR contract. You roll them now after expiration as I mentioned before. I would see the rollover 2 business days before the second Friday of the delivery month.

Can you implement in the options menu of NT something like. "automatic receive new Futures (Y/N)" or something like this? It would be really helpful to make sure the rollover dates stay the same.

Thanks,
Klaus

[NinjaTrader_Heath]

Hello klaus,

Thank you for your reply.

Thank you for the confirmation on the CN contract.

Regarding your specific rollover request, we're looking into this with the data team.

If you're looking for an automatic rollover option in the platform there is already a notification of new rollovers in the latest versions of NinjaTrader 8. You can read about it under the "Auto Rollover Notification" heading in the link below:

• https://ninjatrader.com/support/help...8/8_0_23_2.htm

Regarding retroactively changing rollover dates in the database through the platform, there is not a way for this to be initiated and sent back to our servers, this data is maintained on our end. You would need to manually edit the rollovers in your database using the instructions provided in our initial reply to this thread.

I'll provide further updates once our team has finished investigating the IR contract.

Thank you for your patience.

[NinjaTrader_Heath]

Hello klaus,

Thank you for your patience.

The data team has followed up with me and let me know these changes have been completed.

Thank you for your feedback!

[klaus w]

Hi Heath,
thanks for your efforts! What about the suggestion to have a function to suppress the modification of historic Rollover dates?

I have one more modification request. The TN contract is set to the exchange "GLOBEX" but actually it is traded on the "ECBOT". Maybe you can also change that.

Thanks,
Klaus

[NinjaTrader_Melissa]

Hello klaus,

Thanks for the reply.

This is Melissa, responding on behalf of Heath who is out of the office.

Regarding retroactively changing rollover dates in the database through the platform, there is not a way for this to be initiated and sent back to our servers, this data is maintained on our end. You would need to manually edit the rollovers in your database using the instructions provided in our initial reply to this thread.

As for the TN contract, I can confirm that the exchange is correct. While it is a CBOT instrument, it does also trade on GLOBEX, which you can see in the contract specs linked at the following publicly available CME resource below:

• https://www.cmegroup.com/markets/int...nProductId=317

Within the symbol mapping we account for any discrepancies based on data provider, as correct mapping may vary depending on provider. For example, the Rithmic mapping updates this symbol to use CBOT with the piping system, since that connection requires it, while others just retain the 'TN' symbol mapping as that is how those providers request the appropriate data.

Please let us know if you have any further questions.