Rollover is Coming… Are You Ready?

 

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[iconbox title=”Updated: It’s all in the details” icon=”process-stop.png”]If you’re a continuous contract user, what needs to be done at rollover is a perennial source of confusion. So it’s critical to know which type of continuous contract you are using – provider adjusted or not provider adjusted.

It could be either depending on how you have your account connection set up. But you only need to take the steps below if you are using a continuous contract that is back-adjusted by your provider. If you’re using a dated contract or a non-adjusted continuous contract, there’s nothing to see here. Just go ahead and keep right on truckin’. ;-}

Want to know how to configure your connection for provider back-adjustment? Click the link in the first paragraph below.[/iconbox]

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If you trade futures you probably already know about contract rollovers. But if you use a back-adjusted continuous contract (it will end in ##-## instead of a date) did you know you need to take one extra step after the close on rollover day?

What is that extra step? You need to delete all your stored data and refresh it using Ninja’s Historical Data Manager. Why? Because the new adjusted price affects all previous prices for all previous contracts.

Sound scary? It’s really not.

Here’s how to do it:

  1. Disconnect from your data provider
  2. In the Ninja Control Center, click Tools > Historical Data Manager…
  3. Click the Edit tab
  4. Find your contract in the list, then right-click on the symbol
  5. Click Delete
  6. Reconnect to your data provider
Historical Data Manager - Continuous Contract Data Delete

Historical Data Manager

That’s it! You’re data is now fresh, clean, correctly adjusted and you can continue on your merry trading way.
2 replies
  1. pmat
    pmat says:

    Hi there,

    I believe DTN has a fixed retention period, so each time I delete the data for the rollover, I loose some historical data (but with a “wrong” (because non-adjusted) price ?)

    Right ?

    Is there a way to avoid this to build rock soling – long lasting historical data ???

    Many thanks in advance to you all @ El Rancho !

    Reply
    • El Duque
      El Duque says:

      You’d need to use dated contracts to not lose data and still have it be “correct.” Then you’d let Ninja back-adjust it for you. As a new contract is added to the historical data continuum, and old one is dropped from the other end. But even with dated contracts, your data provider will still drop one from the end as the new one is added. So you’ll need to maintain your own separate historical data store for a really long way-back machine.

      IMO, I am not sure there’s much point to doing that though. There’s not a futures contract on Earth that’s been rolled over from say 5 years ago. Check out what your broker charges to roll a contract. So honestly, what does it matter what price was doing 5, 7, 10 years ago, for example? There’s just no standing inventory from that long ago. Futures are term contracts by nature, not buy-and-hold instruments.

      Reply

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