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Handling contract rollovers - to make continous charts

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    Handling contract rollovers - to make continous charts

    Hi Support,

    I am using Ninja with IB datafeed. Can you please tell me how I can have a continous chart of say a contract like ES after rollover tomorrow. I know I can open a separate chart Dec ES chart , but how can I combine Sept ES chart with Dec ES chart? So that till end of today in the continous chart I see Sept data and from tomorrow onwards I see Dec data.

    Is there anyway to copy Sept ES data file and rename it as Dec ES datafile and start using it. How can I do that, where are the data files stored.

    Thanks
    RK

    #2
    Charting

    Hello,

    You can merge data between individual futures contracts. NinjaTrader will automatically price *adjust historical data to provide one continuous contract.

    Additional information on how to accomplish this can be found in the link below.
    http://www.ninjatrader-support.com/H...eV6/Merge.html

    Comment


      #3
      Thanks Chris for the quick reply.

      I went through the url you pointed me to. Can you please clarify what you mean by "adjust". Suppose, I merge the Sept ES (9/8/07-9/6/07) with Dec ES data, will it just overwrite the Dec data until today midnight? There will be gaps in ES price right, after this merge. Just want to confirm that there will be a gap in ES price after the merge.

      Also is it possible to make a backup of Sept ES data, just in case I need to have that. In which directory is that file located?

      Thanks
      RK

      Comment


        #4
        Adjust means that the prior contract will be price adjusted to merge into the December contract. There is always a difference (premium) between the two contracts and you must adjust or else you will have a gap at contract boundaries.

        Data will be overwritten in the front month by the prior contract up to the date you merge. Your example is correct.

        The September data will be maintained in your database even after merging.
        RayNinjaTrader Customer Service

        Comment


          #5
          Hi Support,

          I tried this merge for ES and it is giving an error "NinjaTrader has reached an IB limitaion for historical data requests. IB may reject all historical data requests for next 5 minutes. Pacing violation"

          I tried again after few hours and it was giving same error. And it gave an additional info message

          " No "day" data available for "To" instrument. Historical data is required for the target instrument in order to properly calculate the adjustment factor.
          - Minute data successfully merged.
          - Tick data successfully merged. "

          So, do you think I can use DEc ES intraday charts reliably. I only use intraday charts.SO, has merge completed for intraday charts ?

          How about if I need to use "Day" charts for Dec ES. Is there any way to do merge for "only day" charts, so that I do not receive another "pacing error".

          I appreciate your quick reply.

          Thanks
          RK

          Comment


            #6
            Intraday did merge. Day data did not, the reason is that you did not have any daily data in the December contract which is required to calculate the adjustment factor. No way to get around the pacing error, that is an IB limitation.
            RayNinjaTrader Customer Service

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