How is the data for long running automated futures strategies typically handled? Is there a way for the strategy to auto-merge or auto-switch the symbol for the next contract so that the strategy automation sees one contious price series over a long period (ie, 1 year +). I'd like to find a way to avoid stopping the strategy at the end of contract expiry, only to replace the symbol with the next contract and then re-starting the strategy.
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Handling contract market data and long running futures strategy
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Handling contract market data and long running futures strategy
I'm a NinjaTrader broker customer. Using NinjaTrader broker data, I understand that if I show a front month futures contract on a chart, and expand the date range to cover dates before that contract, the Chart will merge and show contracts in a continous series. This works very nicely.
How is the data for long running automated futures strategies typically handled? Is there a way for the strategy to auto-merge or auto-switch the symbol for the next contract so that the strategy automation sees one contious price series over a long period (ie, 1 year +). I'd like to find a way to avoid stopping the strategy at the end of contract expiry, only to replace the symbol with the next contract and then re-starting the strategy.Tags: None
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Hello tactevo, thanks for your post.
The contract month for a futures instrument cannot be changed through NinjaScript, you would need to restart the strategy on the new contract month upon rollover. I will submit a feature request to add this ability, but currently, auto rollover is not possible.
Kind regards.Chris L.NinjaTrader Customer Service
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