how to do a continuous contract (based on liquidity) ?

[mazac]

Hi,

I've got several questions:

1/
is there any way to merge data of the different contract months based on their liquidity in NT (not on date like the ninja merge function provides) ?

I've got anfutures tick data for ER2 ('03-'08) converted to ninja format and I'd like to
have one continuous contract for backtesting.

2/
If Ninja can't do it, can you suggest something else ?

3/
By November 1st, 2007 there are no volume record in my tick data (it's cause of some changes in CME and so .. )
What way do you suggest for merging tickdata contracts without the volume information ?


Thanks in advance

[NinjaTrader_Ben]

Hello,


1- The only options you have are the standard merge:

http://www.ninjatrader-support.com/HelpGuideV6/Merge.html

...and mapping the continuous contract that your data feed provides, in which case you can use the ##-## expire date. Your data feed must support this instrument though.
Note: I do not know what you mean by liquidity in your question.

2- See above.

3- Are you not able to import the data as is?:

http://www.ninjatrader-support.com/HelpGuideV6/Import.html

...if not, then you will need to edit the data so that it meets the format requirements in the link above.

[mazac]

Hi, thanks for your answer.
:

I can't download continuous (##-##) contract from my data feed, as I'm using ZenFire and they don't support it. Anyway, even if they do - I want a serveral years tick history so .. this is not the way (downloading)

I can import all of my files (historical tick data from anfutures converted to .txt ninja format) individually, or merge by date , but what i want to do is:

merge them not by date, but I'd like the most traded (the highest volume) part of each contract month to be included in continuous contract .. that's what I mean by most liquid.
Basically, I want to join most active part of each contract month for the last 5 years into one continuous contract.

example of what i mean in Genesis Trade Navigator:

http://www.financnik.cz/images/cont2-corn.gif

is it possible ? do you know any other tool which can do that ?
If ninja doesn't support this, are you planning to include this feature ?

[NinjaTrader_Jason]

Unfortunately, this is not supported. The only workaround I see would be to manually modify your data files, so it will only reflect the highest volume part of each contract month. Then, import these data files into NinjaTrader and merge them into a continuous contract.

I will forward your suggestion to our development team and ask them if they can add this to the list of future considerations for the software.

[mazac]

thank you, it would be nice to have this feature.