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Minimum tick movement vs 1 contract value


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Minimum tick movement vs 1 contract value

  #21 (permalink)
 
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 Fat Tails 
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In NinjaTrader 7.0.1000.4, my FGBM is by default set to 0.01. I don't recall how long ago this was changed but you could try Tools > Options > Data > Reset Instruments to set it factory default.

That is one of the biggest problems. NinjaTrader has very strange default settings for rollover dates. So I have entered the correct dates (more or less based on volume rollover).

If I do an instrument reset, it deletes all rollover dates. Then it will take me approximately 2- 3 hours to reenter the rollover dates from my Excel tables and check the resulting offsets. This explains that I never ever make instrument resets.

If I look at other software, it typically allows for rolling via volume or open interest crossover, so I can let the software do it. With NinjaTrader this is still not possible.

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Fat Tails View Post
That is one of the biggest problems. NinjaTrader has very strange default settings for rollover dates. So I have entered the correct dates (more or less based on volume rollover).

If I do an instrument reset, it deletes all rollover dates. Then it will take me approximately 2- 3 hours to reenter the rollover dates from my Excel tables and check the resulting offsets. This explains that I never ever make instrument resets.

If I look at other software, it typically allows for rolling via volume or open interest crossover, so I can let the software do it. With NinjaTrader this is still not possible.

If my memory serves me correctly and without a long explanation of the internal workings of our product, we needed to predict future rollover dates and determin past, and store these on our servers. Many markets this was easy however, others this was not and we consulted with several of our market data partners for guidance and no one gave us clear answers. In any case, I understand what you are saying and we will be looking for ways to provide more accurate and flexible approaches for rollover dates. Our next release does already have some changes to ensure that user defined rollover date offsets are NOT overwritten on Instrument Reset however, user defined rollover dates (as you pointed out) would still be overwritten.

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Last Updated on April 5, 2011


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