Are You, Uh, Back-Adjusted?

Hola, amigos. Getting over my jet lag here…. slowly.

Hope this week is going well for you. The broader markets had a wee character change over the last few sessions, so stay nimble. Though today looks like a plodding inside day. But earnings season is here, earthquakes are quaking and rockets are launchingUse stops! OK, done with the public service announcements for today. ;-}

One of our members thought it might be a good idea to post something in the Rancho FAQs about not forgetting to check the box to use back-adjusted data if you use a continuous contract symbol to drive your charts. If you’re using a symbol that has ##-## in it instead of a date, this is you.

Why use the continuous contract? Mostly it is for convenience. When you use the continuous contract, you don’t have to keep switching out the contract symbols on every rollover. This happens quarterly for the index futures, but monthly for most other futures. The continuous contract symbol always pulls the current (a.k.a. front month) contract prices, and it does so automatically. After the session close on the rollover date, the new contract prices are fed to you automatically, and historical prices are gap-adjusted from that point on. No muss. No fuss. No messy applicator brush.

There are really 3 things to keep in mind about continuous contracts vs. the dated contracts. You’ll need to do a little investigation with your data provider if you’re not sure about any of these three points:

  1. Make sure your provider supports a continuous contract for your instrument, and make sure it’s also back-adjusted. Continuous contracts are a feature of some data feeds, but not all. Also, make sure your provider back-adjusts the prices. We’ve had reports that at least one very popular provider – CGQ – does not back-adjust their continuous contract symbols. Don’t guess about this… just ask your provider if you’re not sure. If you use the dated contract, and you have your merge policy set right (leave the default values), Ninja can merge the various dated contracts into a contiguous series of bars.
  2. Make sure you’ve told your connection in Ninja to pull back-adjusted prices from the data feed.You can do this by making sure the option is checked in your Ninja account connection properties. Here are a couple examples from IQFeed and Kinetick, respectively:[one_half first]
    IQFeed Back Adjusted
    [/one_half]
    [one_half]
    Kinetick Back Adjusted
    [/one_half]If your connection does not have this option, the most likely reason is that your provider does not have a continuous contract, does not back adjust it, or both.
  3. Add the ##-## symbol to your instrument list, then use it in place of the dated contract on your charts.You can add the continuous contract to the default instrument list like so:Continuous Contract - Instrument Manager

That’s pretty much it. Want more info? For more bedtime reading on handling rollovers in NinjaTrader, have a look here. And for specifics on setting up individual data feed connections, you might find the NinjaTrader Connection Guides helpful, and then be sure to check out the other posts in this category too.

Trade ’em well…

 

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