Continuous contract not showing live data?

[zusch]

I set up a continuous contract for ES, NQ, TF, YM, etc and I noticed I don't get live data while on the continuous contract but when I switch to the March '11 contract I do. Is this just a glitch or will I have to manually update my data through the historical data manager each time I want a days worth of data on my continuous contract charts?

[NinjaTrader_RyanO]

Hi zusch,

Thank you for your note and welcome to the Support Forum.

Can you please clarify how you set up the continuous contracts and which data provider you are presently using.

If you provider supports real-time continuous contract data then you can access that data within NinjaTrader using the base symbol settings by going to Tools-->Instrument Manager and then for the contracts you mentioned ES, NQ you can assign the front month symbol of ##-## to represent the continuous contract, thus if you added ES as a continuous contract to an instrument list it would display in NinjaTrader as ES ##-##.

[zusch]

I've got a demo account with Zen-Fire and yes I'm using the continuous contracts that read ES ##-##

[NinjaTrader_Jason]

Hello zusch,

Unfortunately Zen-Fire does not support continuous contracts. You will need to use individual expiry months.

However, please note that NinjaTrader can automatically merge data in a chart. Go to Control Center-->Tools-->Instrument Manager. Please highlight the ES in the Instrument Manager and click Edit. Check if 'Merge policy' is enabled.

If so and you request historical data that spans across multiple expiries, it will automatically merge the data from previous expiries.

[zusch]

Jason, I found this guide in another thread http://www.ninjatrader-support.com/H...ide.html?Merge but it is for NT 6 and from what I've figured out isn't in NT 7.

I checked out the NT 7 Help Guide and I think I went a step in the right direction by going to Tools-->Options-->Data and changing the Merge policy to MergeNonBackAdjusted. This has somewhat fixed things as ES low from 7/6/10 is now accurate when I am viewing the 03-11 contract. However as I'm sure your aware we are coming into levels that haven't been tested since the middle of '08. The data on my 03-11 chart seems to become spotty around December '09 and the data seems to cut off on April '09 completely.

Is there something I can do to solve this new problem besides switching between the continuous contract and the current contract whenever I want to view historic levels from a couple years back?

[NinjaTrader_RyanO]

Hi zusch,

Zen-Fire does not support real-time data for the continuous contracts. You can generate a continuous contract based on the historical data, but it would not populate in real-time like the current front month chart.

The Merge Policy in NinjaTrader 7 will merge the historical data from previous front months into the current front month so it functions as de facto continuous contract with Zen-Fire data.

The historical data available with Zen-Fire goes back to about April 2009, and beyond that is unavailable, but regarding your charts can you please clarify what interval you are charting in NinjaTrader, whether daily, minute or another bar type.

[zusch]

Thanks for your quick reply Ryan.

I use a few different time frames from which I draw levels on. I'm currently trying to get data from a few years back on my daily chart. However, I would also like to be able to go on a 15 minute chart and even a 5 minute chart and be able to scroll back to those levels from the middle of '08 and look at the price action of 5 min candles from those particular days. So this problem really applies to all time frames for my particular case.

From what I've seen the only solution is to have both the continuous contract and current contract open at the same time or draw my levels off the continuous contract and then switch back to the current contract as my lines will still be on the chart. I suppose its not a big deal but I find it a bit unusual and inconvenient as I am debating whether to switch from TradeStation which supports continuous contracts.

[NinjaTrader_RyanO]

Hi zusch,

Thank you for that clarification.

Since you are using NinjaTrader 7 you can use Kinetick End of Day (Free) data feed for historical daily data for continuous contracts, and that data would go back about 10 years versus the year with Zen-Fire. More information at:

http://www.kinetick.com/end-of-day

However, if you are going to seeking historical intra-day data back to 2008 you may want to supplement the data with Zen-Fire since historical intra-day data likely will not go that far back. You could supplement your current Zen-Fire data with Kinetick for historical intra-day data as well. More information at: http://www.kinetick.com/features

As for the charts presently another item that can affect the values of your merged historical data is the Session Template. Zen-Fire uses Regular Trading Hours data for daily data, and if you are viewing a chart with a Session Template besides Regular Trading Hours the OHLC information may be different than the RTH OHLC.

To resolve you can make sure that your charts have the same Session Template applied which for each instrument I would recommend that you right click on the chart and then select Data Series and in that window make sure that <Use Instrument Settings> is set. More information at: http://www.ninjatrader.com/support/h...on_manager.htm

[zusch]

Currently I have my session template set to CME US Index Futures ETH which seems to be working fine. If I use <Use Instrument Settings> I only get the day session data and not overnight data.

Quick update it seems that on my minute charts I am able to get historical data from years back while I am viewing the 03-11 contract which is a very nice surprise. However on my daily charts I am still having problems unless I use the continuous contract. I'm going to try making a chart with 1440 (60x24) minute bars for an entire day and use that as a daily chart.

I know this isn't perfect as the ES is closed for 15 minutes from 4:15 est to 4:30 est and also opens at 6 est Sunday night. If you can think of a better value to use (1425 maybe?). For other markets this may not work as well. ES charts are almost identical I suppose. I've attached both charts for comparison:

[NinjaTrader_RyanO]

Hi zusch,

With Zen-Fire the daily data available would be the Regular Trading Hours only and it is likely that distinction between the daily data and the intraday data. Since you are using the intraday data with the ETH template it would show daily values different than the RTH generated daily bars.

Using a 1440 minute chart with the ETH template should resolve the issue since you will be viewing daily data for 24 hours rather than the regular trading hours.

Using the 1440 minute bar is precisely what is recommended when creating daily data from minute data.