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Partner 728x90
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NinjaTrader
Continuous Contract for Backtesting
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Hi,
You need to merge contracts! "Tools>Historical Data> Merge.
The merge steps here it goes:
1. Add contracts in "Tools>Instrument manager". Lets add for ES. So add ES 09-08, ES 12-08, ES 03-09, ES 06-09. (The 09-09 you have already)
2. Connect to Zen-Fire and add a minute chart for "ES 09-08". In "From date" put 06-12-08 (first date of that contract) and in "To date" put 09-12-08 (last date for that contract). After Zen-Fire populates the data do the same for other contracts.
12-08 -> 09-12-08 - 12-12-08
03-09-> 12-12-08 - 03-12-09
06-09 -> 03-12-09 - 06-12-09
3. Now DISCONNECT from Zen-Fire!!!
4. Go to merge screen and start merging in sequence:
a. Contract ES 09-08 from 06-12-08 to 09-12-08 into ES 12-08.
b. Contract ES 12-08 from 06-12-08 to 12-12-08 into ES 03-09.
c. Contract ES 03-09 from 06-12-08 to 03-12-09 into ES 06-09.
d. Contract ES 06-09 from 06-12-08 to 06-12-09 into ES 09-09.
5. Now you can remove previous contracts and current one will hold minute data from 06-12-08 up to date.
Baruch
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I have wanted to do the same, but it seems to not work using range data. Am I doing anything wrong, or is it not possible?
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No unfortunately not.
With NinjaTrader 7 we'll offer continuous contracts then - http://www.ninjatrader.com/webnew/NT7/NinjaTrader7.html
New Continuous/Merged Futures Contracts
The concept of continuous contracts are implemented in a manner that allows you to continue to work with the front month for trading (ES 09-09 is the current front month as of this writing) and define a rollover date, June 11, 2009 is the contract boundary between June and September contracts. Rollover dates for the most popular futures contracts will be managed by NinjaTrader server and automatically uploaded to you. You can of course overwrite this. You then set up a "Merge policy" globally which can be overridden at the instrument level. As you request a historical chart, if the days to load crossed over the rollover boundary, NinjaTrader will transparently request the prior month(s) historical data and merge it into one Data Series based on the selected merge policy. This entire process is of course transparent to the user and ensure that a complete chart is received and that you know which contract you are actually executing trades against.BertrandNinjaTrader Customer Service
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