Wrong rollover date 6E 12-12 ?

[misova]

I found the rollover date for 6E 12-12 wrong.
(and that results in wrong rollover offset price)

I think it should be set to 14.september 2012
(that is Friday = last trading day before weekend and following expiry)

It is is set to wrong 10.september 2012
(this is Monday, what is out of sync with many previous rollover dates and date, which NinjaTrader uses in other contracts)


Have a look at other similar september contract months to see the inconsistency:

• 12.9.2014 - also Friday
• 13.9.2013 - also Friday
• -----> here is the bad Monday (10.9.2014), that should be 14.9.2014 Friday
• 16.9.2011 - also Friday
• 10.9.2010 - also Friday

Please fix ASAP - it causes whole series of derived bugs like:
Wrong rollover data -> causes wrong merged data -> causes wrong rollover price offset -> causes wrong executions & wrong values of short-term indicators...

This affects also other major currencies like 6J ...

Best regards
Misova

[NinjaTrader_Kyle]

Hello,

Thank you for your post.

I will forward your suggestion that this date be changed to my superiors for further consideration. In the meantime, this is something which you can change within the Instrument Editor if you wish:

• First, open the Instrument Manager using the Tools > Instrument Manager option within the Control Center.
• In the Manager, select the instrument you wish to edit from the list on the right then click Edit to open the Instrument Editor.
• In the Editor, navigate to the Misc tab and scroll down to the Contract Months section - select that property then click the '...' button which appears.
• In the Contract Months menu, select 12-12 and change the rollover date to 9/14/2012.
• Click OK to exit the Contract Months menu.
• Click OK to exit the Instrument Editor.
• Click OK to exit the Instrument Manager.

[misova]

Just wanted to mention and extend info,
that in 2 cases it is not possible to override the rollover-offset price.

The 2 cases are:

• Ninjatrader has fixed offset for the rollover date in its own database (and it always overrides user-defined values)
• Datafeed provides this information (Kinetick and IQ feed) (this also overrides user-defined values)

More info in this thread:

http://www.ninjatrader.com/support/forum/showthread.php?p=385824#post385824

[misova]

Could you please report a bug to the development team?
with note, that all FX majors are affected and also other dates are wrong?

The list of other strange rollover dates for 6E is here:

http://www.ninjatrader.com/support/forum/showthread.php?p=385824#post385824

I double checked, and it is really invalid date and should be fixed.

Reasoning:
Traded volume on contract 6E 09-12 (10.9.2013) is much (5-10x) higher. It is clearly still the most traded contract on that date.

The forthcoming contract (6E 12-12) is not liquid, so it has no ratio to rollover to this contract 4 days sooner. There are extremely low volumes, when comparing the previous contract

[NinjaTrader_Kyle]

Hello,

Yes, your suggestion that these dates be changed will be provided to our development staff for further consideration.