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BarChartDotComVolumes

This indicator displays the contract with the highest EndOFDay or IntraDay volume for a list of unlimited number of instruments. The volume data is fetched form BarChart.com.

I use it to identify when to switch contracts around contract Rollover time since I want to trade the contract with the highest volume. The conventional way traders generally do this is to load the current and next futures contracts in NT Market Analyzer, and watch all the volume there. This forces you to update the contracts list every month, and also takes up NT resources to continually process volume data for multiple contracts.

This indicator uses no NT resources, and you never have to update any contract lists with future contracts. You get the volume information on demand, for an unlimited number of specified contracts.

- Use the 'Symbols' parameter to specify which contracts you want to see.
- Press the 'Vol+' chart button to toggle the display of the text On/Off on the chart

Note: The coding may need to change in the future if/when Barchart.com makes changes to the format of the associated web page the data is fetched from.

Category NinjaTrader 7 Indicators

Details: BarChartDotComVolumes
Category: NinjaTrader 7 Indicators

December 16th, 2012
Size: 3.79 KB
Downloaded: 549 times

Keywords: barchart barchart.com contract highest monpere rollover volume

RolloverVolume

RolloverVolume V2

I've updated this indicator to use a different approach. It now shows daily volume of various contracts months for an instrument. Highlights the contract with the highest volume, if another contract has higher volume then that on the chart. When this happens, then it's time to rollover.

- Make sure you choose an explicit session template for the chart. Do not choose <Use Instrument Settings>
- Make sure at least 3 valid future contract months are defined in your Instrument Manager default instrument list
- Add an optional comma separated list of future contracts for your instrument in 'Contracts List' parameter Ex: "CL 01-12, CL 02-12, CL 03-12". If blank, the next 3 future contracts will be used. These contracts must be defined in your default instruments list
- Add the current contract name to the parameter 'Current Contract'. If blank, the current chart contract will be used.

The indicator requires that your broker sends daily volume data as a separate message. I use it with Mirus and Interactive Brokers. I don't know if all brokers do this.

Warning:
This indicator uses un-supported code, namely using variables in the Add() method. This may have unpredictable results in NT behavior, like a frozen chart. I have put in code to try to prevent this, and tested successfully with various instruments. I can't guarantee this for every instrument and every configuration, so please test in your environment before using live.

Category NinjaTrader 7 Indicators

Details: RolloverVolume
Category: NinjaTrader 7 Indicators

March 3rd, 2011
Size: 3.87 KB
Downloaded: 841 times

Keywords: contract expiry monpere rollover rollovervolume volume

Backadjusting Futures

This is a document that explains how to backadjust futures contracts.

Category Educational

Details: Backadjusting Futures
Category: Educational

September 1st, 2010
Size: 38.12 KB
Downloaded: 727 times

Keywords: backadjust merge rollover continuous