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Historical Data for CME Futures Contracts

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    Historical Data for CME Futures Contracts

    Hi,

    I am trying to conduct a thorough backtest for a specific strategy on NQ futures, E Mini CME Nasdaq Futures..

    I am testing this strategy using tick charts, 250 ticks per frame. These are relatively short periods since the NQ is so volatile, so its a very short term strategy.

    For some reason, when I test this strategy using a particular futures contract, such as the current front month, NQ 12-18, it only goes back about 2 weeks. Granted, there are a lot of 250 tick bars in those 2 weeks, but shouldn't I be able to see all historical data?

    My connection is newly established with IQ Feed, where I pay $45 per month for CME Emini data along with $80 per month base package.

    I have made sure both my strategy and backtest settings are set to the same contract and 250 tick chart, I have also made sure the period matches the contract. For example, my range is set from 7/1/18 to 10/18/18 which is the current date.

    Can anyone help with this. Also, is there an NQ1 contract that cumulatively merges the contracts into 1 contract? If so that might solve my problem. However, it still wouldn't explain me being able to only see 3 weeks worth of data on these tick charts.

    Any feedback appreciated.
    Matt


    #2
    Additionally, even when I load a chart with these settings, it does not load the entire period for which I set my chart, but instead I am only able to see the past 3 weeks of data.

    Comment


      #3

      Hello murraym324,
      Thanks for your post and welcome to the NinjaTrader forum.

      So I can be of further assistance please answer the following questions.

      Do you see results when running the same test on the SampleMaCrossOver strategy in NinjaTrader with the same settings as your strategy?

      Are you connected to more than one data provider?

      Are you connected to IQFeed when running this test?

      Is your strategy a multi instrument or multi time frame strategy?

      What do you have set for your Merge Policy? This can be found from your Control Center>>Tools>>Options>>Data tab>>Merge Policy

      Do you receive an error on screen? Are there errors on the Log tab of the Control Center? If so, what do these errors report?

      Are you finding that if you download the historical data manually you can test this date range? You can download hisotrical data from your Control Center>>Tools>>Historical Data Manager>>Download tab
      https://ninjatrader.com/support/help.../?download.htm
      JoshNinjaTrader Customer Service

      Comment


        #4
        Thanks for the quick reply..

        I just tried the sampleMaCrossStrategy, and it still only goes back a few days..

        I checked my connections and removed any inactive ones from the list, so IQ Feed is my only connection right now. I am successfully connected and my charts are updating in real time.

        My strategy is not multi instrument or multi time frame.

        I just checked my merge policy, which is set to Merge Back Adjusted.

        I do not receive any errors, I am actually seeing the results I intended to see, just not enough historical data.

        I suppose I will try downloading the data manually..

        Just for insight, I am running ninja trader through parallels on a MacBook, and I just subscribed with IQ Feed 2 days ago.

        Not sure if either of those things can be a factor, but since I am receiving real time data I would assume its not an issue with IQ Feed.

        Comment


          #5
          I am having trouble downloading the historical data. When I click historical data, then instrument, and select NQ 12-18, it shows me the dates I have.

          I shared a screenshot of this.

          My charts only date back to 10-12-18, which is the furthest date back that is displayed here.

          So how do I expand this range, I also do not see a download button here.?
          Attached Files

          Comment


            #6
            I figured out how to successfully download the data for a specified range.

            However this has no impact on my charts... I am still only seeing data from 10-12-18.

            Separate question... Is there a merged contract for all previous NQ months? Other platforms normally name it NQ1, but I cannot find it here on NT.

            Comment


              #7
              Are you able to backtest on that date range now? If not, can you perhaps share any of your strategies logic on or off the forum?

              Can you take a screenshot of your charts data series settings?

              In regards to merged contracts, that would all be handled through the Merge Policy setting. Setting this to "Merge back adjusted" will create a synthetic continuous contract from the contract data.
              JoshNinjaTrader Customer Service

              Comment


                #8
                It doesn't really have anything to do with my strategy.

                If I simply want to load a chart of NQ futures 100 tick chart, I am only able to see from 10-12-18 till now.. I just read that IQ Feed only shows 8 days of historical tick data..

                So I established a Kinetick connection instead.. I am successfully connected to kinetick, but Im having the same problem. Now, its showing me tick charts from 10-9-18 till now. So the new connection gave me another 3 days.

                But this still doesn't seem right. Shouldn't I be able to go back 180 days of tick data with Kinetick?? I paid and selected my desired real time exchange. Im getting the data, just not enough..

                Comment


                  #9
                  In regards to Kinetick historical data, when requesting tick data between the hours of 9:30am ET to 4:30pm ET you will have access to 8 days of historical tick data. If you request the data outside those hours the full 180 days is available. After you request the data, it will be downloaded to your historical database and cache, and you will be able to access this data at any time
                  JoshNinjaTrader Customer Service

                  Comment

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