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but these are the problems I encountered when building the ES continuous backadjusted contract:
(1) exchange symbol had to be changed from CME to Globex
(2) the #days prior to expiry had to be reduced by one
(3) I am getting error messages, see sceeenshot below. For a 300 day lookback period (-> chart going back to November 2009) Multicharts needs ES contracts for 2007 and 2008.
This is a genuine NinjaTrader feeling, LOL. Basically it works, but with my first backdjusted contract there are 2 bugs and 1 problem related to default settings(not a bug).
I will be contacting support now and see how they respond.
There is a sentence which is attributed to Lenin: Доверяй, но проверяй – Dowerjai, no prowerjai. In German it is a well known proverbe: "Vertrauen ist gut, Kontrolle ist besser." If I translate this into English, it becomes something like: "Trust is good, control is better."
Trust in God, but never trust in any piece of software.
The feature I have tested, is a new feature of MC 6.0 and the bugs are really minor.
In the USA this is called Trust, but Verify. Won the guy 2 presidential elections.
@Fat Tails, if you like what you have tested, post it and let us know. I suggest making a video. I can put it up for you if you wish. Always interested in what Else is out there.
R.I.P. Andy Zektzer (ZTR), 1960-2010.
Please visit this thread for more information.
What rollover condition are you using for CL?
Based on volume, my custom CL using either iqfeed or IB data produces a different result than the canned iqfeed cont contract QCL#C.
Not speaking for Fat Tails... but, the QL#C feed is rolled on expiration making it worthless. Better to roll yourself, I typically do it around the third friday of every month, as either that day, the day before, or the day after, the volume of the front month takes over the current month.
Absolutely agree with Mike, rolling at expiry is nonsense for two reasons: First you do not want to trade the front month until expiry, second the offset during the last days is heavily influenced by delivery constraints, which menas that it is unstable.
If you use a custom rollover contract, for NinjaTrader you will get a different result with DTN/IQFeed compared to IB, because NinjaTrader rolls on daily data and the datafeeds use a different close. DTN/IQFeed uses the settlement at 2:30 PM EST, whereas IB uses the close at 5:15 PM EST. The difference will not be large, if you roll early. For MultiCharts I am not sure, whether daily or intraday data is used to calculate the offset, but I think it might be intraday data.
With NinjaTrader I roll at the end of the session prior to volume crossover. This can only be done with hindsight. I change my settings after the new contract has attracted more volume.
With MultiCharts I just use volume crossover, and it should automatically roll at the session end of volume crossover day. So for convenience I roll one day later than with NT7. Rolling is not a science, but something that needs to be done.
Generally you want to roll early to avoid the potentially high volatility of the old contract prior to expiry. So you can also use an approach based on the calendar day of the month. If you use the 15th of the month to roll you are on the safe side. Pinnacle Data, a vendor of data for continuous futures contracts uses the 11th of the month.
Thx Mike. Confirms what I thought but it's a bit strange that ES#C seems to display rolled data correctly. Good to see the MC rollover function handles it correctly.
Trading wise, I do rollover manually but I run into charting issues around rollover so I've been experimenting with continuous contracts. For example, I may have a line plotted where price has reacted at, to the tick and has led to successful trading for me. So I like move the party into the next month Whether to use continuous, front or even the recently expired is another case of art not science.
Inspired by this thread and the BM community I signed up for a Multicharts trail a few weeks ago.
Long story short, the trail ended last friday and yesterday I bought a lifetime license.
Used the Ninjatrader for a few years and was satisfied with the overall performance (yep, had a few software crashed here and there or some problems with multiple workspaces running at the same time), but I managed to work with it.
Now iam with Multicharts and couldn't be happier. The way I can organise and set-up my workspace with MC is awesome. Its runs fast and stable, even on older office hardware, and no software/freeze in the last weeks. What iam missing is a "chart trader" and DOM-Trader feature and keyboard short-cuts but MC support said they are working on it.