Comparing Contract Volume and Building Support/Resistance Zones During Rollover
We're in the middle of the transition from the September contract to December, and this week we started a series of weekly technical analysis live sessions to walk through how we handle these rollover days step by step. Why rollover complicates automated trading During the transition between contracts, volume is split between the old contract and the new one. When that split is close to 50/50 — as it was this morning before the open — no automated system has a reliable read on real liquidity, so we prefer to turn off automated systems until volume clearly shifts toward one of the two contracts. NinjaTrader's default setting (for normal trading) By default, NinjaTrader has Merge Back Adjusted enabled (Tools > Options > Market Data). With this setting, the platform automatically merges successive contracts into a single continuous series, adjusting historical prices so there are no visible gaps between one contract and the next. This is the right setting for day-to-day t...