I thought that I understood "Merge Back Adjusted" but the data doesn't work like I'd expect and I didn't realize it or it isn't now.
#1. I have the Global Merge Policy set to Merge Back Adjusted as per https://ninjatrader.com/support/help...marketdata.htm
#2. All instruments in question are set to "Use Global Settings" in the Merge Policy.
#3. I'm back-testing or optimizing a strategy where the instrument, CL (future), spans 2 expirations.
#4. I can look at create 2 charts to view CL 08-21 and CL 09-21;
NOTE: CL 08-21 ends on 07/20/2021, both for minute and tick data.
NOTE: CL 09-21 has a price jump on 07/19/2021 at the end of the day
#5. I can view the historical data and it is the same as the chart, both for minute and tick data.
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Question #1. Which instrument should I test my strategy with, CL 08-21 or CL 09-21 when I'm trying to check the range between 07/14/2021 and 08/04/2021?
NOTE: the expiration of CL 08-21 is at EOD on 7/19.
Question #2. I'm seeing different results for the same period with different instruments.
- No trades for CL 08-21 from 7/20 on.
- Different trades from 7/14 to 7/20 using CL 09-21. [Different trades in the overlapping period.]
Isn't "Merge Back Adjusted" supposed to fix this?
Question #3. Could I have screwed up my data?
I have gone to the file system and manually removed these 2 data sets then manually reloaded them (and verified with chart + historical data) but the results still appear.
NOTE: nothing to merge in Tools / Database Management.
If I did screw it up? How to fix other than what I did?
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