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 trading and for daily or weekly chart analysis — there's no need to touch it.

How to compare the old contract against the new one

To see specifically which contract is carrying more volume during the rollover, you need a different chart setup:

  1. Create a chart with two data series: the current contract (for example, September) and the next one (December).
  2. Apply the saved template for this analysis, "TIS Rollover" (Templates > Manage).
  3. Turn off automatic adjustment in Tools > Options > Market Data, selecting "Do not merge" and "Do not adjust."
  4. Right-click the chart > Reload All Historical Data.

This shows each contract's real, unadjusted volume, making it clear which contract is picking up liquidity in real time.

Understanding the price adjustment in a rollover

When NinjaTrader merges contracts, it shifts the historical prices of the previous contract to match the new contract's close at the rollover point (for example, a 282-point upward adjustment in the June rollover). That date and adjustment can be checked contract by contract in Tools > Instruments > [instrument] > Edit, which keeps a full rollover history. The rollover date can be changed manually, but we don't recommend it — the pivots would stop lining up with what the rest of the market sees.

What to do while volume is mixed: manual support and resistance

With automated systems paused, this is the time to map the zones where price is most likely to react:

Visible pivots. Mark the highs and lows any trader can identify at a glance, paying particular attention to zones where several nearby pivots stack up — those zones matter more than a single isolated line.

Fibonacci extensions. The 1:1 and 1.38 (138%) extensions are the ones we rely on most, rather than adding too many levels that end up cluttering the read.

Fibonacci retracements. The reference levels are 50%, 61.8%, and 78.6%, along with double bottoms that line up with those levels.

Confluence. A zone becomes relevant when several of these tools — a pivot, an extension, a retracement — fall in the same price range. Those are the zones we later use to filter signals from automated systems: a buy signal sitting right on resistance gets discarded or deprioritized, while a signal in the direction of the zone, with enough room to the next target, gets prioritized.

What's next

We'll keep running these weekly live sessions, and in upcoming editions we'll also cover the signals our automated systems generate as volume settles into the December contract.

The "TIS Rollover" template is available to download in the video https://drive.google.com/uc?export=download&id=1rZi31bV7Q1ugNeokTFQ1jxABwYlTPAf_




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