Continuous Contract Feature Request

[KBJ]

Re Rolling . I think NT would do it the same way manual merge does ... collect a little data to see where the old/new closes are, compare and merge

I see problems with this since, when switching from one contract to the next one, there's always some overlap.

What technique is used to merge the prices & volumes of this overlap?

Any way you go it's going to have inaccuracies.

If you're trying to use the merged data to backtest a strategy, you're going to have a day there where you have a spurious big winner/loser (depending on long or short) when the price jumps as we switch from one contract to another.

A few solutions that occur to me are:

1) Append the data from the new contract to the end of old contract data ignoring any overlapping sales and not repeating any times' bars. (Problem: loses some volume.)

2) Just use the prices from whichever day has the highest volume and switch from old to new contract when the new contract's volume exceeds the old contract's volume. (Problem: loses some volume.)

3) Add the volumes together for the overlapped period and switch to new price at end of old contract.

4) Add the volumes together for the overlapped period and switch to new price when new contract volume exceeds old contract volume.

5) Add the volumes together for the overlapped period & do a weighted average on the prices. (Problem: Has more than one day of inaccurate prices.)

Certainly an interesting problem. Does anyone know what algorithm TS, etc. use for this?

[NinjaTrader_Dierk]

>> Any way you go it's going to have inaccuracies.
Correct. That's why we left it up to now.

[zoltran]

Yup... There is no clean way to do this. Well known problem that's been arround since there were futures contracts.

Even the manual merge we have to do now has most of KBJ's issues.

The point is .. It would be great if NT did the auto-roll-over/cont contract function. If someone didn't like the way it does the roll over .. then don't use it.

Pretty sure most standard programs just brute force it on roll over day. That seems to be the way Omnitrader does it.

Short term .. even my #2 suggestion would be welcome ... ..The ability to trade the current front month when using a Continuous contract from the quote provider.

[RK_trader]

Continous Contract Feature request for ploting 3 to 5 year daily charts

Hi Dierk,

The continuous contract feature,. is becoming more important now with the bear markets all over. And to get support levels, one has to look for like atleast a 2 year daily chart. It is tough to look at like a 3 year daily chart, which are not adjusted for rollover.

I know one can plot in TS, like a 5 year continuous daily chart to get various support levels, which is really helpful. Not sure how TS does the continuous 5 year daily charts, but they appear to be very reliable. I am like dependent on fellow TS traders, for getting these 3 year continuous contract charts. I hope Ninja can introduce something similar,.. for like atleast plotting continuous contracts ( if not trading them)

I would appreciate if you can introduce this continuous contract feature in next beta release, so that users can plot like 3 to 5 years of daily charts. I tried to get some support levels using opentick 2 year daily charts,but the non-adjustments are making it really bad to find proper support levels.


Thanks
RK

[NinjaTrader_Dierk]

Thanks for your suggestion. We'll add it to the list for future considerations.

Curious: why do you feel the manual merge options which you already leaves you with "unadjusted data".
>> It is tough to look at like a 3 year daily chart, which are not adjusted for rollover.

[RK_trader]

Thanks Dierk for adding the feature to your the future considerations.

Didn't understand your question on the merge. Can you please clarify.

Thanks
RK

[NinjaTrader_Dierk]

You said:
>> It is tough to look at like a 3 year daily chart, which are not adjusted for rollover.

Why would the manually merged data not be "adjusted for rollover".

[RK_trader]

Hi Dierk,

Thanks for clarifying the question. Manually merging data is tough. I posted a question many months ago, and was told by support that merges are not good for more than 2 or 3 merges and merges have limitations on performance.

So, for like a 5 year continuous ES daily chart, one has to do like 20 merges with exact dates. It would be nice if Ninja has an automated feature for doing the merges automatically and displaying the continuous contract data (instead of giving room for error for the user). I am not sure how TS does it for displaying like a continuous 5 year ES futures daily/weekly contract (adjusted for rollover).

Thanks
RK

[NinjaTrader_Dierk]

Thanks for clarification. To make sure we are on the same page: manual merges will *not* leave you with gaps in prices.

[RK_trader]

Hi Dierk

Yes, Dierk I am aware of that, manual merges will not leave gaps in data.

Any probable timeline as to when the continuous contract feature might be available? I request if feasible to release it in one of the upcoming 6.5 Beta releases.

Thanks
RK

[NinjaTrader_Dierk]

Unfortunately there is no ETA yet.

[richa61416]

Manual merging is a pain, I use to do it for backtesting, but it gave me some wrong joins, and I had to be look at calendars for the roll over dates etc. I found out that IQfeed had continous contracts YM##, ES##, NQ##, ER2##.

I cannot trade off of them however. Would be great also Tradestation stopped us from using ER2.D for automation. Hope they don't stop the continuous contract trading as well.

[RK_trader]

Thanks Richa for the IQfeed continous contract information.

Thanks
RK

[RK_trader]

Hi Support,

Do you know when this back adjusted continuous contract feature will be released in Ninja? If possible I request to release in the next Beta release, some way to plot "back adjusted continuous data" for last 3 to 5 years for futures daily/weekly data.

Richa or anyone know how good is IQfeed with respect to getting daily "back adjusted continous contract data" for last 3 to 5 years. I got to know IQfeed offers "continous contract data" for like atleast 2 years. But I do not know if it is "back adjusted" so that there are no gaps of data during rollover periods. Is it simple to this in Ninja?


Thanks
RK

[NinjaTrader_Ray]

Apart from the ##-## continuous contracts that we support or the merging capabilities which do back adjust, there is not ETA on any additional functionality in this area.