Continuation Chart - Futures

[Michael Larsen]

Hi,

Any one know how I make continuation charts for futuers.

Say I want to have ES 12-09 together with ES 03-10 one one chart.
Thanks in afvance

Best regards

Michael

[NinjaTrader_Tim]

Hi Michael,

Thank you for your post.

You can merge a previous contract and current front month contract using the "Merge" feature in NinjaTrader.

You can find this by clicking "Tools: Historical Data: Merge", and you will be taken to a window to merge two contracts in to one.

You can find detailed instructions on how to do this at the following link.

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

Please be sure your datafeed provider has historical data available, you check at the following link.

http://www.ninjatrader-support.com/HelpGuideV6/helpguide.html?HistoricalData

[Michael Larsen]

Hi

Thanks for your reply.

I can merge succusfully, but the chart does however look the same i.e. only front month data.

I can set any date I want for the old, e.g. from 10.sep. 2009 to 8. Dec. 2009 to be merge into the 03-10 contract of e.g. 6A- future ?

But I only get fron month. - How to load the chart after the merge?

Michael

[NinjaTrader_Tim]

Hi Michael,

To set up a 6A merge, please fill the merge window with the following values.

Type: Future
Name: 6A 12-09

From: 9/10/09
To: 12/10/09

Type: Future
Name: 6A 03-10

Reselect the instrument in the chart, right click and select "Reload Historical data"

Please let me know if that does not get the result you are looking for.

[Michael Larsen]

Hi Tim,

Thanks for your reply.

I select :
-Tools
- Historic Data
- Merge.


6A
12-09

From 10.09.2009
to 09.12.2009

Into

6A
03-10

Press Ok

Get information :

Day not merged

Minut mereged

Tick Merged

Press Close

Reselect 6A 03-10 on the existing 6A chart and press Reload Historic data.

Still only show front end contract (03-10) back to 31.08.2009.

I use data from IQ Feed, should this make a difference?

Best regards

Michael

[NinjaTrader_Tim]

Hi Michael,

This is expected as you have only merged data from that far back.

To get data even further back, you can repeat the process with earlier contracts, merging them in to the current 03-10 contract.

1. Merge 03-09 into 03-10, from 1-10-09 to 3-10-09
2. Merge 06-09 into 03-10, from 3-10-09 to 6-10-09
3. Merge 09-09 into 03-10, from 6-10-09 to 9-10-09
4. Merge 12-09 into 03-10, from 9-10-09 to 12-10-09

Start with an earlier contract if you want data previous to that.

[Michael Larsen]

Dear Tim,

Thank for your reply. But I am afraid that we are not talking the same thing.

The first problem in our communication is the way we write a date it seems that you are using US standard and I am using European. so to avoid this I suggest we write like today: 07. Jan 2010. By doing this there should not be any misunderstanding in this regards.

(In the merge function in NT one can choose the date from a calander so this should not course any problen in this respect either)

Now for 6A ,and other curriency future contracts, the 12-09 contract starts to be the most traded as of 10. Sep. 2009 and the 03-10 contract the most traded as of 10. Dec. 2009.

So all I want to do is to merge 6A 12-09 from 10. Sep 2009 to 9. Dec. 2009 into 6A 03-2010.

Right now this will give me approx. 4 month of cont. data which is all right for the time.

I have tryied to do this by the following procedure:

I select :
- Control Center,
-Tools,
- Historic Data,
- Merge.

In Merge Dialog Box:

6A
12-09

From 10. Sep. 2009
to 09. Dec. 2009

Into

6A
03-10

Press Ok

Get information :

Day not merged

Minut mereged

Tick Merged

Press Close

Re-select 6A 03-10 on the existing 6A chart and press Reload Historic data.

Still only show front end contract (03-10) data back to 31.08.2009. Which means volume is very low and price bars very inconsistance, so no data from 6A 12-09 has been merged.

I use data from IQ Feed, should this make a difference?


Best regards

Michael

[Michael Larsen]

Dear Tim

I got it working now, but you need to add some more information to your instruction.

Close the chart you want to merge.

Remove it from the custom made instrument list in the instrument manager.

Merge as per your instruction.

Re- select the contract in the instrument manger.

open a new chart with the instrument in question.

Best regards

Michael

[Michael Larsen]

Dear Tim,

I wrote to you I got it working.

but than I changed time frame from 60 min. to 120 min. and the problem was the same, only data from front month (03-10) was showed.

changing back to 60 min. still only front month showed.

What is the problem here?`

Berst regards

Michael

[NinjaTrader_Tim]

Hi Michael,

Can you please confirm the following...

1. That you have, in the Format Data Series, atleast 100 days back, or a Start Date that goes back to Sept. 10th?

2. What version of NinjaTrader are you running, our current version is 6.5.1000.14 and can be found by clicking "Help: About" in the Control Center.

[Michael Larsen]

Dear Tim

Thanks for your reply.

Yes I can confirm both. I just tried again going 300 days back.

The oldest data I get (1 tick ) is on 31. Aug. 2009 and this is clearly from 6A 03-10 contract not from 6A 12-09.


As mentioned I got it to work once by first deleting from Instrument manager, but as soon as I changed the time frame it only consideret front month.

Best regards

Michael

[NinjaTrader_Tim]

Hi Michael,

Actually, any day before December 10th, 2009 is from the old 6A 12-09 contract, as the new 6A 03-10 did not start until after that date.

If you want data from before then, you merge the 6A 09-09 in to the new 6A 03-10, just make sure to set the From date to June 10th, 2009.

Just in case, here is the link on Merging data...
You can find detailed instructions on how to do this at the following link.

http://www.ninjatrader-support.com/H...ide.html?Merge

[Michael Larsen]

Dear Tim

You information about when the currency contract starts is not correct.

Please consult one of you colluges on this.

6A 03-10 did not start trade on one day before 10. Dec. 2009. This date is where the volume changes from 12-09 to 03-10. And this Is way I want to use 12-09 from approx. 9. Sep. 2009 up to 9. or 10. Dec. 2009 and from that day on the 03-10 contract.

Before 9. Sep. 2009 the 6A 09-09 would have had the high volume.

So right now 03-10 offers roughly 1 month of correct high volume data and 12-09 offers 3 month, hence I want to merge there to and this is not working.

Please try your self to open a non merged currency chart of say 1 or 2 hour time frame with volume-indicator of respective for both the mementioned contracts or any currency contract and you will the that the volume increases on approx. 8-10 th. of the previus experation month (3 month earler) and decreases on the 8-10 th of the experation month.

Best regards

Michael

[NinjaTrader_Tim]

Hi Michael,

Please write an email to [email protected] with ATTN: Tim in the subject line so that we can continue our conversation, and we can schedule a call for more clarification if need be.

Thanks!