Rollover dates and offsets

[emuns]

Hello,

CME is my authority on this matter. CME states on its website that the following time period is decisive:

"If the lead month contract trades on Globex between 14:59:30 and 15:00:00 Central Time (CT), the settlement period, then the lead month settles to the volume-weighted average price (VWAP) of the trade(s) during this period."

The NT seems to be based on a different concept. Can you please tell me who is the authority on which the NT relies in defending your position?

Thank you
emuns

[NinjaTrader_RyanS]

Hello,

NinjaTrader uses the rollover date within the platform to determine which contract data is used.

To adjust the rollover date (ES used as example):

• Control Center > Tools > Instruments
• Locate and select 'ES' > Edit
• Scroll down and select 'Edit rollovers'
• Select the'09-21' contract from the 'configured' list
• Edit the 'rollover date' to any date you wish to set as the roll date for this contract.
• Right-click on your chart and select 'reload all historical data'

Please let us know if we may assist further.

[emuns]

Hello Ryan,

thank you for your answer, but unfortunately you didn´t answer my question. The question was: Who is the authority for the NT to calculate the offset that the NT uses in version 8?

Thank you
emuns

[NinjaTrader_RyanS]

Hello,

The offset is calculated from the close value of an intraday chart for each contract at the end of the ETH session.

Again using ES as an example, this means the offset would be calculated from the close value of the last 1 minute bar of each contract for session occurring prior to the rollover date.

Please let us know if you have any other questions.

[emuns]

Hello Ryan,

thank you for explaining how NT8 gets the result. Now, back to my original question. Why NT representatives think this is the right way to calculate the offset? In my first post, I quoted from the CME website, where is stated, how the CME gets the offset. If NT8 uses a different method, then I wonder how or where NT representatives found the procedure they use to be correct?

Thank you,
emuns

[NinjaTrader_RyanS]

Hello,

NinjaTrader is unable to pull these values from the CME directly, so the offset value has to be calculated from data incoming from our historical server. This means it's a closed system, so all calculations are done from the chart data being loaded from our data provider.

You can also edit the rollover offset value in the same manner/window as the date can be adjusted should you prefer a different value, but note you will need to change the rollover date as well to prevent the platform overwriting this new value when requesting data from the server on restart.

[emuns]

Hello,

NinjaTrader is unable to pull these values from the CME directly, so the offset value has to be calculated from data incoming from our historical server. This means it's a closed system, so all calculations are done from the chart data being loaded from our data provider.

That would still be understandable. The question is, why does the NT8 do it so clumsily? In other words, why for NT7 the offset may be based on the closing price of RTH session, while for NT8 it is based on the closing price of ETH session. The closing price of the RTH session is, by definition, much closer to the official settlement price quoted by the CME. So why doesn't the NT8 do the same? The only reason I can think of is the difference in the way the daily charts are presented. If I'm not mistaken, the daily charts of NT7 are based on RTH session, while NT8 is based on ETH session. Is this the reason for the aforementioned difference? If so, then perhaps there is minimal hope of changing this? If not, then what is causing the difference?

I know about the customization option.

Thank you very much.
emuns

[NinjaTrader_RyanS]

Hello,

The change from NT7 was made from user feedback when designing the new version. While we try to set features to fall in line with the most accurate method as well as the method preferred by clients, we realize this may not be ideal for some user's preference.

[Stardriver]

Five years later, the issue is still relevant.

Please add my vote for :

1) Providing the option to load rollover dates based on volumes.

2) Having offsets based on settlement levels (ideal case) OR having correct offsets OR being able to modify the offset without changing the rollover date.

For now, I believe I will decide to use the 'merge non-adjusted' policy (I will lose some opportunities but how much I don't know) and then manually adjust the incorrect rollover dates, as I cannot select 'merge adjusted' because sometimes the rollover date is correct but the offset is incorrect.

[NinjaTrader_Spencer]

Hello Stardriver,

Thank you for your post.

I have submitted these as feature requests. I will follow up once I have tracking numbers.

For number 2 you are able to adjust the offset without changing the rollover date from with the Contract Month settings.

You may find more information in the link here.

[brucerobinson]

“The change from NT7 was made from user feedback when designing the new version”
#NinjaGarbage
What Ninjatrader should (have) developed/offered in designing the new version, is the ability to use either RTH or ETH at the click of a button (not convoluted impractical change of Trading Hours templates), and authoritative CME Settlement Close.

There’s no argument about it, defending the indefensible ‘we did it in response to User feedback’ nonsense, deflection and obfuscation away from the real issue which is that the ‘solution’ provided is both flawed and sub par.
It’s just irritating to see the same old same old trotted out time and again, and, as #enums experiences, like pulling hens’ teeth to illicit a straight answer to the question posed.
Kind regards,