Strategy - Get futures current contract

[Shansen]

NT Team,

Picking up on an older thread NT8 Strategy - Get Futures current contract, for a given instrument (e.g. ES) is it possible to get the current futures contract?

For example, where the instrument is "ES", how could you get the current contract to add the series to a Strategy:

AddDataSeries("ES 03-17", ...)

Regards
Shannon

[NinjaTrader_ChelseaB]

Hello Shannon,

I do have a snippet of code I've used when building a rollover indicator that I have not been able to finish as of yet.

I'm happy to share the code that selects the next rollover with you.

int nextRollCount = -1;

for (int i = 0; i < Instrument.MasterInstrument.RolloverCollection.Count; i++)
	if (Instrument.Expiry == Instrument.MasterInstrument.RolloverCollection[i].ContractMonth && nextRollCount < 0)
		nextRollCount = i;

nextExpiryString = string.Format("CL {0}", Instrument.MasterInstrument.RolloverCollection[nextRollCount].ToString() );

Print(string.Format( "Next Rollover: {0} | {1}", Instrument.MasterInstrument.RolloverCollection[nextRollCount].ToString(), Instrument.MasterInstrument.RolloverCollection[nextRollCount].Date.ToString("MM/dd/yyyy") ));

[Shansen]

Chelsea,

Thanks for your reply. It would appear my approach is inadvisable.

As stated on NT8 - AddDataSeries:
- This method should ONLY be called from the OnStateChange() method during State.Configure
- Arguments supplied to AddDataSeries() should be HARDCODED and NOT dependent on run-time variables which cannot be reliably obtained during State.Configure (e.g. Instrument or Bars)

Instrument and BarsPeriod should NOT be accessed within the OnStateChange() method before the State has reached State.DataLoaded.

Any ideas on how to get this information for implementation in State.Configure (i.e. AddDataSeries) when is should not be accessed until State.DataLoade would be appreciated.

Thanks again
Shannon

[NinjaTrader_ChelseaB]

Hello Shannon,

You are correct, it is not supported to dynamically add instruments. However, if you have chosen to do this anyway, it should work unless you are attempting to optimize.

The Instrument object will not always be ready by State.Configure. Regardless, even if it was, it is still not supported to dynamically add instruments in this manner.

But if you choose to do this anyway, the code I have suggested should work.

[fx.practic]

Instrument and Instruments objects are accessible only for instruments, previously added in script with AddDataSeries().

For example, there is the task: always add only actual ES contract.
Can I instantiate Instrument type object for ES and run great code snippet from the post #2?

[NinjaTrader_Jim]

Hello fx.practic,

You could instantiate an Instrument with Instrument.GetInstrument() to get a known contract month and then to look for the next contract rollover date following an approach similar to what NinjaTrader_Chelsea has provided. You could then check if that contract period has another rollover date in relation to the current time so you can add a more recent expiry. Using NinjaTrader.Core.Globals.Now can get the current time in association to the Time Zone configured in the platform.

Instrument.GetInstrument() - https://ninjatrader.com/support/help...instrument.htm

If you are adding an additional data series that uses the same instrument as the primary, I may suggest to pass null as the Instrument Name for AddDataSeries() instead of attempting to find the most recent contract month by this approach.

Please let us know if we can be of further assistance.

[fx.practic]

Instrument.GetInstrument ("CL") 

returns "Colgate-Palmolive" equity.
How to force it to return exactly Crude Oil futures?

[NinjaTrader_Emily]

Hello fx.practic,

Thank you for your note.

The instrumentName used for GetInstrument() should be the instrument's full name, including the expiration date for futures. For example, if you were using the 02-23 expiry you would use Instrument.GetInstrument("CL 02-23")

For more information:

https://ninjatrader.com/support/helpGuides/nt8/instrument_fullname.htm

Please let us know if we may be of further assistance.

[fx.practic]

Clear. Thank you, Emily.

May I create a feature request: the method that returns the actual futures contract instrument by master instrument name:
Instrument CL_Instruement = Instrument.GetActualFuturesContract ("CL");
?

[NinjaTrader_Emily]

Hello fx.practic,

Thank you for the suggestion.

Some users have used Instrument.GetInstrumentFuzzy() to get the current expiry of an instrument so that the contract can be pulled and added for the full name of the instrument. It is important to note that this is not supported nor documented, so you should use it at your own risk and results may vary. This is also mentioned in the following post:

https://ninjatrader.com/support/forum/forum/ninjatrader-8/indicator-development/1089001-get-current-contract-name?p=1089019#post1089019

That being said, I would be glad to submit a feature request to the development team on your behalf requesting the creation or documentation of a method that will get the futures contract expiry for an instrument. I will follow up with an internal tracking number for your reference as soon as it is created.

Thank you in advance for your patience.

[fx.practic]

Thanks, Emily.

I've tested Instrument.GetInstrumentFuzzy().
It works funny, but it works very well.
I would like to ask for the same officially supported, documented method that will be available in all further NT versions.

[NinjaTrader_Emily]

Hello fx.practic,

Thanks for your patience.

The internal tracking number for your feature request to officially document a method that gets the contract expiry for a futures instrument is SFT-5719. Please reference this internal tracking number when contacting Platform Support if you ever have questions regarding this feature request.

When a feature request is implemented, you'll find a description of the new feature in the release notes:

• https://ninjatrader.com/support/help...ease_notes.htm

Thank you for using NinjaTrader.

[fx.practic]

Thank you, Emily.