Continuous Contracts

[naifwonder]

I am using eSignal as my data provider and I am trying to createa chart for the E-mini S&P 500 as a continous symbol. I am not sure if this is me just being stupid but I have gone through what tutorials there are and am still pretty much at a loss. Any help would be appreciated. Thank you.

PS - I just got the NinjaTrader software. Very nice stuff

[NinjaTrader_Ray]

imported post

Thanks for checking the HelpGuide first, most users don't chart continuous since these contracts are virtual and can't be traded at the broker. They have to use a specific month contract. We do have Tools > Historical Data > Merge so that they can merge historical data from the prior contract into the front month.

That being said, here is howyou get a continuous contract into NinjaTrader from eSignal.

Tools > Instrument Manager
HighlightES from the main list in the middle of the screen
At the bottom of the Instrument Manager "Expiry" drop down list, select "##-##"
Press the "<" arrow button to add "ES ##-##" to the list.
Connect to eSignal
File > New > Chart
Select "ES ##-##" andyou should be good.

Ray

[Big D]

imported post

Question #1)

I'm trying to create a continuous contract using a broker datafeed...zen-fire in this case. I'll use theES as an example.

The March 07 contract runs from Dec 8th 2006 to Mar 8th 2007. The Jun 07 contract runs from Mar 9th 2006 to today.

I download tick data for the Mar and the Jun 07 contracts. I then use the Merge utility and merge the Mar 07 data into the Jun 07 data.

I open up a chart for ES 06-07 (ie Jun), right click -> Format Data Series and change the start date to Dec 8th 2006. If I don't change the start parameters, I only see the default of 5 days of data.

My question is thatI only see Jun 07 data, not the merged Mar 07 data. There should be a gap in the prices, due to the rollover, fromMar 8th to the 9th.

How am I able to see Mar and Jun data, continuous style,on 1 chart at the same time?

Question #2)

If I download data from a broker and eSignal are they stored separately in the database, even though they have the same symbol? Will ES tick data from broker be intermingled with ES tick data from eSignal?

BigD

[NinjaTrader_Ray]

imported post

1) There will be no gap since the March contract is back adjusted against the June contract, which makes it "continuous"

2) The data will be replaced, if you have 5 days historical data from broker and you request 4 days from eSignal, only the current day historical data will be replaced by the eSignal data. If you request 6 days, NinjaTrader reloads the entire 6 day period from eSignal and overwrites what you have from your broker.

[Big D]

imported post

1) From a technicalindicator perspecitveit is nice to not have gaps. However, from a discretionary trading perspective, back adjusting is wrong. Say there is resistance at 1400 on the March ES contract, that 1400 level still means something in the June contract, even if the premium between the 2 contracts is 5 points. Numbers stick in people's minds and support/resistance levels stay the same.

It would be nice to have the option of back-adjusting or not back-adjusting data during a merge. Also, update your help file to indicate that back-adjusting is taking place during a merge, as amerge doesn't really imply the changing of prices, just the combining of 2 data sets.

2) I'm still not clear what happens if I requestdata for the June contract that goes back prior to the end of the March contract - assuming of course the June contract has merged March data.

For example, today is March 14th, I request 10 days of data for June. This 10 days back is prior to March 8th.

A) Will NT realize that March 8th has merged data and not request data from the datafeed prior to March 9th?

B) Will NT just overwrite the merged March data? If so, will it reback-adjust the March data as the difference might be different between March 8th and March 9th and March 3rd and March 4th?

3) It would be nice if we could control how much data is visible on a chart vs. how much data we want to download every time we open the chart. This is especially relevant with a merge/continuous situation. For example, I've merged March into June. I open the chart for June. I change the start date to Dec. 8th. I assume NT starts downloading June data.

How am I able to view both March and June data without having NT download June contract data all the way back to Dec. 8th? This is especially a problem with foreign contracts as the non-front month practically has no trading and any technical indicators would be worthless.

BigD

[NinjaTrader_Ray]

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1) From an indicator perspective you don't want the gaps. A continuous contract is a spliced together contracts. At rollover time, the front month has a larger premium over cash than the expiring month and therefore, you have to back adjust the expiring contract to take into consideration this difference in premium.

2a) If you merged the contracts, the June contract will have the merged data in it so when you request 10 days, you will get 10 days which includes the merges data which now is part of June. It does not go request data from the March contract.

2b) See 2a

3) Not sure I follow, if you want to separate charts one with June the other with March, you would open two charts, select each instrument, set days back.

Ray

[Big D]

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1) You should allow the user to decide how continuous contracts are defined. There are times to use back-adjusted data and times to use non-adjusted data. eSignal and their "#F" contract does not back-adjust data.

2) There is a bug in the chart when viewing merged data and the Format Data Series -> Days Back parameter is set to 60 days or greater. This bug is what caused me to earlier think that merged contracts weren't working properly.

I merged ER2 03-07 Dec 8th 2006 to Mar 8th 2007 data into ER2 06-07 Mar 9th to today data. I open up a chart and confirmed that the 8th has 03-07 data and is back-adjusted. The 9th has 06-07 data. I change the Days Back parameter to 60 from the default of 15. I go to the period covering the night of the8th and 9th and see the bug. The 7th is June data with a gap (to the left of the first vertical bar). The 8th is June data from 10pm to midnight (between the 2 vertical bars). The 9th is June data. (to the right of the last vertical bar). Changing the Days Back parameter back to 15 does not solve the problem.

See attached screen shots.

I am using version 6.0.0.8 beta.

BigD

[NinjaTrader_Ray]

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Thanks, unfortunately I can not reproduce, it works as expected here when changing the days back with the merged contract. I will try a few more things and if I can reproduce I will let you know.

[Big D]

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I started with a brand new installation of NT 6.0.0.8. Then used the Historical Data -> Reload feature to load the March and June data...using for March 12/08/06 to 3/08/07 and for June 03/09/07 to today. Then went straight to the merge utility, then went to the charts, all in that order. The bug is completely reproducable on many different instruments. You've seen the screen images, so the bug is real.

[justme]

Can someone that uses esignal's continuous contract ##-##, tell me if they are back adjusted or not? also, does it take forever to load going way back? Is it good for assessing long term trendlines/support/resistance? thanks

Thanks for checking the HelpGuide first, most users don't chart continuous since these contracts are virtual and can't be traded at the broker. They have to use a specific month contract. We do have Tools > Historical Data > Merge so that they can merge historical data from the prior contract into the front month.

That being said, here is howyou get a continuous contract into NinjaTrader from eSignal.

Tools > Instrument Manager
HighlightES from the main list in the middle of the screen
At the bottom of the Instrument Manager "Expiry" drop down list, select "##-##"
Press the "<" arrow button to add "ES ##-##" to the list.
Connect to eSignal
File > New > Chart
Select "ES ##-##" andyou should be good.

Ray

[NinjaTrader_Bertrand]

I would suggest you contact eSignal directly on their data specifications - the loading time can be long depending on how much back data you request, especially if using tick based charts.

[justme]

I would suggest you contact eSignal directly on their data specifications - the loading time can be long depending on how much back data you request, especially if using tick based charts.

will nt7 be faster loading charts?
also, if i draw tl's on the ##-## chart, then switch to the current contract chart , will all tl's still be there? even if the current chart isn't as many days back?

[NinjaTrader_Bertrand]

justme, NinjaTrader 7 is expected to increase overall performance - though loading long tick histories will still take longer than the minute ones as more data needs to be transferred / stored. The trendlines from the continuous contracts will most likely not match due to backadjustment of the data, for this many people prefer using the cash index data to draw the longer term ones.

[Style]

justme, NinjaTrader 7 is expected to increase overall performance - though loading long tick histories will still take longer than the minute ones as more data needs to be transferred / stored. The trendlines from the continuous contracts will most likely not match due to backadjustment of the data, for this many people prefer using the cash index data to draw the longer term ones.

IB is my data provider. How can I chart the cash index in NT? Thanks!

[NinjaTrader_Bertrand]

You could for example work with our presetup SP500 index symbol.