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.

Crawl First, Walk, then Run

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Feeling a bit overwhelmed and like you don’t now where to get started with all this volume profiling stuff? Understand some of the basics but want to dig deeper on some of the core concepts?

Well, we’ve created a brand new section of the site dedicated to explaining some of the fundamentals of volume and TPO analysis. It starts a little something like this:

We’ve heard many times that all the acronyms and jargon used by volume profiliers is, to the uninitiated, like another language. We’d have to agree… intimidating it can be. Because there really is a lot of jargon, and some of it stands on some readily explained but not-so-obvious theory. Though once you begin to understand what all of it means, any feelings of confusion and intimidation evaporate.

Read on…

Trade ’em well this week, amigos…

Free Webinar – Advanced Trading Techniques and Market Analytics with NinjaTrader 7

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Thinking of giving NinjaTrader a try? Well here’s a great chance to get started as Rancho Dinero will be hosting a free live webinar presented by Raymond Stein of NinjaTrader.

You won’t want to miss this as NinjaTrader is offering a special discount and free trial to all those in attendance. More information about this exclusive discount will be shared during the event only. More details about these promotions will be shared by Ray during the event.

Here are the particulars:

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Presenter: Raymond Stein of NinjaTrader
When: Thursday, April 26th at 3:00 PM EDT
Topic: Advanced Trading Techniques and Market Analytics with NinjaTrader 7
Login link for attendees:  http://ninjatrader.omnovia.com/partners
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… and an overview of what will be covered, from Raymond himself:

As an active trader, the trading tools you select will have a dramatic impact on your success. Whether you trade futures, forex, or equities, you can significantly enhance your trading efficiency by utilizing proven techniques used by successful day traders.

  • Attend this event to learn how to incorporate these techniques for an immediate benefit to your trading!
  • Maximize profit potential by trading directly off your chart using automatic trailing stops and profit targets
  • Be ready on every FOMC day with a Breakout strategy to effectively trade news events
  • Learn how to go both long and short on the same instrument in the same account using NinjaTrader’s powerful Strategy Selection Mode
  • Explore NinjaTrader’s extensive list of free indicators including custom made indicators available on the NinjaTrader Support Forum
  • Learn to fine tune your trading strategies by recording the day’s action and replay at your convenience, 24 hours a day, 7 days a week!

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Note that this is a NinjaTrader-specific webinar and won’t necessarily cover any particular Acme topics.  However, we will be announcing the Spring 2012 Acme Market Analytics webinar series very soon.

So, as always, watch this space…

Are You, Uh, Back-Adjusted?

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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 launching. Use 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
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    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…

 

Yep, It’s Still All About the Data

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This horse just never seems to die, no matter how many times it gets kicked.

As many of you know, when it comes to evaluating buying and selling pressure (aka volume deltas), I am a die-hard up/downtick kind of guy. I really don’t use the bid and ask at all.

I’ve gone on ad nauseum on the rationale behind this, especially in the early posts of the price vs volume series. Well I was poking around the Ninja support forums a while ago looking for something completely unrelated when I ran across this quote from ZenFire, posted by Ray from NinjaTrader, which reiterates what I’ve been going on about for oh-so-long.

In my opinion, it’s a less than stellar idea for someone with a retail data feed to rely on the bid and ask for evaluating buy and sell pressure. Why? Because the bid, ask and last are actually separate, asynchronous feeds. Many traders assume these three (bid, ask & last) components are all synchronized and are therefore “reliable.”

They are reliable, but certainly not synchronized.

The bid and ask components of the stream can – depending on how your feed is connected near/at the exchange – lag in times of heavy trading in order to make room for the actual trades (or “last” as it’s called). Again, from ZenFire quoted by Ray:

There are different connect points that may throttle the update of the bid/ask in order to make room for all the trade updates. For colocated machines and in special cases we may give a trader direct connect points knowing they won’t buffer and get behind. Internet users can’t typically keep up and their last trade price becomes stale if they try to pull in the market depth updates. With little importance being placed on the market depth and focus on the last trade, more users can keep up with volatile conditions.

The actual thread is here if you want to read it.

By the way, this is not a ZenFire issue. No Internet-streamed retail data feed consumer is colocated (meaning your trading machine is physically at the exchange) and therefore might will at times suffer lag in market depth. This is just how the whole system is designed. When needed it tries to ensure timely reporting of the last component of the feed by throttling, buffering or filtering of the bid & ask components (market depth). If you understand this, it can be a strength and you can use it to your advantage. Or at least allow it disadvantage you as little as possible.

The fundamental issue is that you’ll never know for sure how much lag you’re experiencing (or not experiencing) without a deeply technical investigation. You simply won’t be able to tell just by watching. And it may be pretty darn hard to know for sure which “connect point” your particular feed has been given – or get a definitive answer from your data provider on this subject. Not trying to assassinate any data feed characters here. Just saying there are known unknowns and they should be respected.

Trade ’em accordingly (and well) this week, amigos…

It’s All About the Data

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One of the things I am asked most often is “which data feeds work with the Acme suite?” It’s both a tough and an easy one to answer. Really, any feed supported by Ninjatrader that has price and volume data will do. That’s the easy answer.

However, they are not all created equal. Without addressing detailed questions about reliability – I have only anecdotal experience with many of the feeds listed below – let me list the feeds I now know Rancho Dinero/Acme members to be using, in no particluar order:

  • IQFeed: Works well, extremely fast and accurate. Massive number of calculated market internals symbols. This is important if you’d like to use the Acme Market Internals pack. Months of historical tick data, years historical of minute data available.
  • Kinetick: Widely rumored to be IQFeed’s data only under the NinjaTrader brand. Essentially the same characteristics and features as IQFeed.
  • Zen-Fire/Rithmic: Very popular feed, only available (I think) with an associated brokerage account. Consistently fast and accurate, only they do not offer any market internals symbols and only the current day’s historical tick data. So you’d probably need an additional end-of-day service for historical data, such as DTNMA or Kinetick’s.
  • CQG: Also very popular, fast and accurate. I don’t believe they offer market internals in they base packages, but they are available. Many members have reported adding them on. Not sure about how much historical tick and minute data are available. Perhaps someone will chime in with this info in below.
  • Interactive Brokers: While the IB feed is super-fast, its volume data is sampled and compressed and thus not appropriate for volume analysis as it will produce inaccurate results. Even though the price is right… the data is, er, not. At least not for Acme’s purposes.

As time goes on I expect to add to this list. And if I missed one, or if I’ve missed some important aspect above, please let me know. And certainly, if you have personal experience with any of these feeds and have something to say, especially regarding quality and reliability, feel free to leave a comment.