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Another Merge Data Question

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    Another Merge Data Question

    This coming expiration (ES & NQ) will be the first Futures data merge I will be performing.
    Will future data merges I perform have to include previous contracts in order to get a years worth of intra-day data?
    e.g. (ES)
    I am merging 06-10 with 09-10 to give me data from March to today. When I get to merging 09-10 with 12-10, do I have to merge 06-10 and 09-10 to 12-10? Or can I merge 09-10 with a date of 03/20/10 (06-10 contract) to 12-10 since I've already merged 09-10 with 06-10 data?
    Using NT 6.5.

    #2
    Hi Showa50,

    Thank you for your post.

    You will have to merge the specific front months in the following month so the process will be merging the 12-09 to 3-10 and then merge 3-10 into 06-10, but you will include the dates for the 12-09 contract since your 3-10 contract now includes the 12-09 data.

    If you do it this way you should get a large amount of historical data within the current front month.
    Ryan O.NinjaTrader Customer Service

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