Merging BBO Tick Data Between 6E Contracts

[TheTradingMantis]

I wanted to verify that NT8 merges and back adjusts Best Bid and Offer Tick data (Last) between futures contracts. I have a couple of indicators that use BBO Tick data (one I wrote and the other I purchased from OFA) and this data appears to be missing prior to the contract rollover date.

Please note I am NOT referring to the Bid and Ask tick data. BBO tick data can only be seen when exporting historical Last data. It is the two additional price columns in the exported data file. BBO tick data is not visible in the Historical Data Manager.

[NinjaTrader_PatrickH]

Hello gregschr,

Thank you for your post.

The data should be merged between the two contracts at rollover without leaving out any additional data. Can you provide a specific example? What Expiry on the 6E are you seeing this occur? What dates are missing from the prior or current Expiry?

I look forward to your response.

[TheTradingMantis]

I am using the 6E 6-17 contract. Prior to the rollover last Thursday, the BBO tick data is invalid. All Bid ticks are using the Last value, instead of the BBO stored with the 6E 3-17 Last data. The 6-17 Last Tick, Minute and Day merged data are fine.

[NinjaTrader_PatrickH]

Hello gregschr,

Thank you for your response.

In my testing I do not see what you are detailing. Can you provide an example of this in your exported data?

I look forward to your response.

[TheTradingMantis]

I think I found what was causing the problem. I noticed in the historical data there was an extra contract month, 4-17, which is not a valid month for the 6E. When I looked at the instrument contract months for the 6E, I also saw the 4-17 contract.

I deleted the 4-17 contract in the both the instrument and the historical data and the tick data now shows correctly after reloading the historical data on the chart.

Not sure where the 4-17 contract came from. I did not create it. Very strange...

[NinjaTrader_PatrickH]

Hello gregschr,

Thank you for your update on this matter.