In Interactive Brokers I can open really old contracts, I have opened ES 5-minute charts at least as far back as the june 08 expiry. So as you can understand, it would be great to have all these contracts merged into one for backtesting of strategies in NT. All help is appreciated!
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Also, I really want to know how to open expired contracts in NT? I have tried to open the ES 06-09 and 09-09 contracts but NT does not seem to recognize them, are expired contracts coded differently?
In Interactive Brokers I can open really old contracts, I have opened ES 5-minute charts at least as far back as the june 08 expiry. So as you can understand, it would be great to have all these contracts merged into one for backtesting of strategies in NT. All help is appreciated!
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Originally posted by NinjaTrader_Kyle View PostHi Fierze,
Thank you for your reply.
I am seeing the same on my end. You would need to contact Interactive Brokers to see if data this far back is offered to external platforms or if the data is only available in TWS.
Please look at this thread where the exact same thing is discussed:
At first it seems that expired contracts are NOT supported, but at the last posts of the thread, "Aussie2" seem to have had success loading expired contracts from IB to NT. I just tried his method to load the old expired ES 03-09 contract and it looks like it works.
What are your thoughts?Last edited by Fierze; 12-23-2009, 04:16 PM.
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Originally posted by NinjaTrader_Kyle View PostHi Fierze,
Thank you for your reply and the extra information.
I was not aware of this work-around. I have made a note of it in case I encounter similar cases in the future.
However, when I try to merge the ES 03-09 into the ES 03-10 an NT popup tells me that no "Day" or "minute" data is available for the "to"-instrument, and that this info is needed to calculate the adjustment factor. I am not sure what this means, the "to"-instrument should be the ES03-10 which definately has price data. As long as I can see the 03-09 chart in NT I should be able to merge it with another chart, right? If the data is there it has to be merge-able.
Could the problem be that there is an empty period in the chart between the 03-09 and 03-10 data? So I should merge the 09-09 and 06-09 first?Last edited by Fierze; 12-23-2009, 04:34 PM.
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Originally posted by NinjaTrader_Kyle View PostHI Fierze,
Thank you for your reply.
Correct, you should first merge the 03-09 data in to the 06-09, then merge 06-09 in to 09-09 and so on.
Thank you for your help. It works like a charm now, have merged all ES contracts from the end of 2008 together and will continue with other index- and commodity futures after christmas.
I have noticed that there is a limit to how old contracts you can open in NT, 10-08 seems to be the currently oldest expiry in the instrument drop-down list. Why are older contract than 10-08 not supported and is there any way to work around this if one wants to merge older contracts?
Merry christmas to all!
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Originally posted by NinjaTrader_Jason View PostHello Fierze,
You can workaround this as follows. Close NinjaTrader and set your PC clock temporarily to October 2008. Start NinjaTrader and you should be able to select older expiries.
Merry Christmas as well!
Thanks a lot, setting the computer clock back does the trick of making older expirys available for selection. Although changing the date causes my computer to lose connection/become unstable after a while, it seems that some parts of the system is dependent on correct time?
Another problem with setting the date back more than a year is that todays current contract 03-10 (which I merge into) becomes unavailable since it is "too" far into the future according to NT. Since you need to set both the old and the new contract in the "merge" dialog box both of these needs to be selectable.
Why can not the user just write the desired contract name (03-06 etc) instead of having a preselected drop-down list of contracts? This is no big deal since IB only has contract data from 03-08 available, but for future NT versions more flexibility would be nice for contract selection so workarounds involving the computer clock is not necessary.
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Hello Fierze,
Thank you for your reply.
1.) Correct, some connections do depend on the PC's clock being in sync.
2.) This limitation can be overcome by adding both instruments to your Default instrument list.
For more information about adding instruments to a list, please see the following link: http://www.ninjatrader-support.com/H...RemoveFromList
3.) I will forward your comments here on to my development team.KyleNinjaTrader Customer Service
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I am trying to merge 12-09 ES contract into 03-10 ES contract but the week prior to contract rollover (12-01 to 12-09) is using the 03-10 ES contract data even when I tell NT to merge/replace using data from the 12-09 ES contract over it.
IS there a solution to get that part of the 03-10 ES contract data replaced by the 12-09 ES data ?
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Not sure I fully follow - please ensure both charts are open and all needed data is being shown / downloaded from the server, then disconnect from any open connection and redo the merge process with your chosen date range.
Then recheck the charts if you see the correct data being merged into your Mar contract.
ThanksBertrandNinjaTrader Customer Service
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