Merge Backadjusted - underlying contract identity?

[Aspirant]

Hi Guys,

How am I supposed to tell which contract is the current contract in a merged backadjusted contract (e.g. es ##-##) ?

Also, if I am running my system on a merged contract will NT send orders for the actual contract, or do I need to write a multi-data system to manage this situation? (i.e. indicator series on the backadjusted contract and orders on the current contract).

[NinjaTrader_AdamP]

Hi Guys,

How am I supposed to tell which contract is the current contract in a merged backadjusted contract (e.g. es ##-##) ?

Also, if I am running my system on a merged contract will NT send orders for the actual contract, or do I need to write a multi-data system to manage this situation? (i.e. indicator series on the backadjusted contract and orders on the current contract).

This is defined in Tools > Instrument Manager > Edit an instrument > Go to "Misc" tab > Check the "Contract months".

NT will send orders to the continuous contract in this case, or whatever is the chart contract expiry unless you use a multi-instrument strategy. In other words, if you are running a chart on ES 06-12 it will submit ES 06-12 orders, if you are running on ES ##-## it will submit ES ##-## orders. These may be rejected since not all providers support trading this contract.

Please let me know if I may assist further.

[Aspirant]

Thanks for your reply.

However, what I need to know is how do I interrogate the underlying contract in a ##-## contract from script? Is there a command for this?

To take your ES example... Consider the problem where in I am running all my indicator series for determining entry and exit levels off theES ##-## time series and placing trade in ES 06-12... Then what if ES ##-## automatically rolls to ES 09-12?

I need to be able to determine from within the script from what contract ES ##-## is running and output a break report if there is a disparity.

I'm not asking for code here, I just need to know how to determine this important point from script.


Also, if ES ##-## rolls automatically from ES 06-12 to ES 09-12 I may have open position still remaining in the ES 06-12 contract that I need to run stops in, while I want to place new orders in ES 09-12. See how this get's messy?

Any thoughts on solving these issues elegantly with NT gratefully appreciated.

[NinjaTrader_AdamP]

Aspirant,

Unfortunately you would need to track the roll-overs yourself. You could create something like a text file or CSV file the strategy reads to update itself on the rollover dates.

As far as linking the continuous contract into a strategy, the way to do so is to use multi-instrument strategies. An example comes with NinjaTrader in Tools > Edit NinjaScript > Strategy > SampleMultiInstrument.

Please let me know if I may assist further.

[Aspirant]

Hey Adam,
Joydeep pointed me to this to give me the rollover dates. That'll work - Cheers,
Instrument.MasterInstrument.RollOverCollection

[NinjaTrader_Brett]

That is unsupported but can do the trick.

-Brett