Merge back-adjusted difference with Kinetick continuous contract data

[BearingHH]

Hello,

you see in the picture Kinetick's continuous YM contract data in terms of volume levels (pink). And in blue you see your back-adjusted contract data for the same time frame of volume levels. How come that there is such a gap between the two data "sources"? For practice in trading, Kinetick's levels (VPOCs) seem to be the ones, that also other traders are looking at.

Thanks ahead!

[NinjaTrader_Clayton]

Hello BearingHH,

Thank you for the message.

The thing to remember is that the Continuous Contract market data is being provided from Kinetick as a Continuous Contract with its values as is.

• Unfortunately, we do not have any further documentation on how Kinetick handles the merging of contracts to create the Continuous contract data that is provided.
• NinjaTrader simply displays the data as it is received. It doesn't do anything to affect how the chart is displayed other than a "Trading Hours Template" that could be used to limit the hours of data that are shown.
  • https://ninjatrader.com/support/help...urs_window.htm

The Merge Back Adjusted is going to result in a "Continuous" looking chart that has been created locally within the NinjaTrader platform by merging the Historical data together and offsetting it at the rollover date.

• Please see the following Forum post for more information on how the Rollover Offset is calculated as it is discussed in further depth here:
  • https://ninjatrader.com/support/foru...ntract-setting

So, since these charts are being created in such different ways, we would expect for there to be differences in the underlying information.

• Since the Volume Profiles are built using Tick Data, a single tick difference between the two data series can result in massively different charts after that point so it is expected for the Volume Profiles to not line up exactly since they are technically using different values within the historical data.

Please see the following help guide link for more information on the variables involved in building charts and why they could look different:

• https://ninjatrader.com/support/help...ldingChartBars

Please let us know if we may provide any further assistance.

[BearingHH]

Hello Clayton,

thank you very much for your information. The only data I found is from IQFeed which should be the same as Kinetick. But if they rollover 5 days before expiration (~09-11), there should be a much greater GAP between your rollover date at the 09-08. But as always, what matters most is where all the other traders looking at.

https://ws1.dtn.com/IQ/Guide/

https://ws1.dtn.com/IQ/Guide/futures_cbotmini.html

[NinjaTrader_Clayton]

Hello BearingHH,

Thank you for the note.

Different Brokers and Market Data Providers will most likely have different rollover dates set for each instrument as each uses its own method for choosing those dates.

• A "Rollover Date" is not a hard set date as a user can technically Rollover the contract and trade any of the active contracts any time they want.
• So, it is very possible for different brokers/market data providers to choose a different date in which it automatically rolls over to the next contract

In NinjaTrader, the rollover date is based on when the majority of volume of traders tend to go from one contract to the next.

Again, we would expect there to be differences between a Continuous Contract provided directly from the broker/provider and a chart created from merging the prior contracts information locally.

Please let us know if we may provide any further assistance.