Welcome to NexusFi: the best trading community on the planet, with over 150,000 members Sign Up Now for Free
Genuine reviews from real traders, not fake reviews from stealth vendors
Quality education from leading professional traders
We are a friendly, helpful, and positive community
We do not tolerate rude behavior, trolling, or vendors advertising in posts
We are here to help, just let us know what you need
You'll need to register in order to view the content of the threads and start contributing to our community. It's free for basic access, or support us by becoming an Elite Member -- see if you qualify for a discount below.
-- Big Mike, Site Administrator
(If you already have an account, login at the top of the page)
"Successful trading is one long journey, not a destination" Peter Borish Former Head of Research for Paul Tudor Jones speaking on conversations with John F. Carter
Can you help answer these questions from other members on NexusFi?
However, i'd like to validate the correct Offset for the ES. The image posted in my previous comment was referring to the Offset of the ES and is equal to -5.5. When i checked on the CME web site for the day prior to the rollover, i.e., Wednesday, March 07 2012 i get a slightly bigger Offset equal to -5.75 (see attached picture). What is the correct value according to you and should i edit it or will it always be overwritten by Ninja?
Questions like this are not easy to answer. The offset depends on
-> the choice of the rollover date
-> the method used to calculate the offset
For example NinjaTrader 6.5 compared the close of the old contract on the day prior to rollover date to the open of the new contract on rollover day. This was obviously a nonsense method, as whatever you chose to do, you should compare transactions of old and new contracts with the same time stamp.
Starting from here, there are not so many ways for ES to calculate an offset. Everybody agrees on the rollover date, as the official rollover date is matched by volume crossover date. Then there are two ways of calculating the offset. Either you calculate the offset as the difference of the settlement prices, or you calculate it as the difference of the last traded price.
If I look at Wednesday's settlement prices, I get an offset of -5.75. The last price shwon on the CME website should not be used, as the last price for the June contract is a bid and not an actual transaction price. What could be used is the actual comparison of the last traded price (1353.00 for the March contract and 1347.50 for the June contract). This would lead to an offset of -5.50
For ES NinjaTrader has stored those values on their server, and they are downloaded directly from their servers, if you do not change the rollover date. They have somehow decided that the correct offset is - 5.50, you may ask them, why and how they found this values. If you do not like it, you can simply overwrite it with your own value. NinjaTrader will only write values to empty fields, so if the field is already filled, it is not touched.
How do you get the correct Last price for the day prior to the rollover if the chart uses the June contract. The close of this prior day will be affected by the offset. See my numbers. Can't be more confusing indeed - LOL
[EDIT] ok i went directly to the database using the Historical Data Manager and i have the same numbers as yours. So Ninja takes the closing or last price apparently.
OK guys, never expected it to be so complex a question.
I believe Fat Tails has the best answer. One thing I know for sure, DX rollover day was definitely not during this past week. One look at the charts can tell you that. The folks at Ninjatrader also told me it's during this coming week, most likely this Thursday from what I can gather. BTW, I don't trade the DX, I use it solely as an indicator. At least 95% of the time, it goes one way and the ES and TF go the other way.
Thanks to everyone for all your input!
I think a lot of places don't realize about holiday change
guess they will find out ....
"Successful trading is one long journey, not a destination" Peter Borish Former Head of Research for Paul Tudor Jones speaking on conversations with John F. Carter