NinjaTrader charts and IQFeeds @ES#C contract symbol

[laurus12]

Hello!

I am wondering if someone could please tell me how I could set up my charts with the IQFeed @ES#C contract symbol.

Until now I have used for example 06-11 and ##-##, which works automatically with the @ES in Instrument Manager, but what should I do to get the @ES#C?

Thanks,
Laurus

[NinjaTrader_Jason]

Hello Laurus,

Unfortunately, I am not sure what contract symbol '@ES#C' refers to. I checked the DTN IQFeed symbol look-up, but it did not produce any results when searching '@ES#C'. I tried 'Symbol,'SIC code' and 'NAICS code' when searching.

Do you load the desired data if you set 'Expiry' to ##-## and enter a symbol map of @ES#C next to IQFeed in the Misc-tab of the Instrument Editor window? You can enter the symbol map as follows. Go to Control Center-->Tools-->Instrument Manager, highlight the ES and click Edit to open the Instrument Editor window.

I searched some more using the DTN IQFeed symbol look-up and I did find @ESC#. If the symbol map from above does not work, please try @ESC# as symbol map in NinjaTrader for the ES instrument.

[laurus12]

...Do you load the desired data if you set 'Expiry' to ##-## and enter a symbol map of @ES#C next to IQFeed in the Misc-tab of the Instrument Editor window? You can enter the symbol map as follows. Go to Control Center-->Tools-->Instrument Manager, highlight the ES and click Edit to open the Instrument Editor window.

I searched some more using the DTN IQFeed symbol look-up and I did find @ESC#. If the symbol map from above does not work, please try @ESC# as symbol map in NinjaTrader for the ES instrument...

Hello Jason.

Thank you very much for your follow up. I have tried to enter @ES#C in the Misc-tab (instead of the default @ES entered) and then use ##-## as "Expiry", but I get the "E, Invalid Symbol" message when charts starts to load.

Regarding your second paragraph and @ESC#; If you mean just changing places with the "#" and "C" in the Misc-tab I have done this also, but get the same "E, Invalid Symbol" message.

Regarding the @ES#C contract you can find it here to the right of "NEW!" just above the records.

Just for curiosity, did you mean the DTN IQFeed symbol look-up at the iqfeed.net website?

Laurus

[NinjaTrader_Jason]

Hello Laurus,

Yes, I used the 'Symbol Look-Up' function on the iqfeed.net website.

Can you please use the default symbol map of @ES and use the ##-## expiry. Subsequently, create a new chart for the ES ##-## and check if it loads continuous back adjusted data in the chart.

[laurus12]

Hello Jason,

Thank you for your follow up. I have used the ##-## expiry with success. But the reason for the new IQFeed @ES#C is that it have rollover gaps corrected.

A quote from IQFeed support: "The Continuous Back-adjusted #C future is similar to the normal Continuous # contract with the exception that the data is back-adjusted to streamline the gaps that are created when the contract rolls to the next front contract of the future. The data is adjusted by the difference between the closes of the day before the rollover day."

It would have been nice if NinjaTrader could understand and use the #C. Though not optimal, at least if entered in instrument settings - misc tab.

Thanks,
Laurus

Hello Laurus,

Yes, I used the 'Symbol Look-Up' function on the iqfeed.net website.

Can you please use the default symbol map of @ES and use the ##-## expiry. Subsequently, create a new chart for the ES ##-## and check if it loads continuous back adjusted data in the chart.

[NinjaTrader_Jason]

Hello Laurus,

Please note that NinjaTrader can backadjust historical data of previous expiries when you use the front mont contract - ES 09-11.

When you request historical data that spans expiries, it can automatically merge the historical data backadjusted in the chart.

Can you please go to Control Center-->Tools-->Instrument Manager, highlight the ES and click Edit. Make sure 'Merge policy' is set to MergeBackAdjusted.

Subsequently, create an ES 09-11 chart that requests historical data before the rollover date of 6/9/2011 and it will backadjust historical data.

[NinjaTrader_Jason]

Hello Laurus,

You can load continuous back adjusted data using the ##-## expiry as follows. Please go to Control Center-->Tools-->Account Connections, highlight your IQFeed connection and click Change. Click Next twice and enable 'Use backadjusted data'. Finish the connection.

Subsequently, connect to IQFeed, create a new ES ##-## chart and check if it loads backadjusted data.

[laurus12]

Hello Laurus,

You can load continuous back adjusted data using the ##-## expiry as follows. Please go to Control Center-->Tools-->Account Connections, highlight your IQFeed connection and click Change. Click Next twice and enable 'Use backadjusted data'. Finish the connection.

Subsequently, connect to IQFeed, create a new ES ##-## chart and check if it loads backadjusted data.

Thank you very much for all your follow ups Jason, and sorry for my late reply.

I have tried all the things you have told me, but actually I get the best result by just using the ordinary or global settings with the 09-11 contract. I do not know why, but it gives me the best continuous data on the charts.

Thanks,
Laurus

[snooop]

So the answer is it's not possible to use @ES#C in ninjatrader?

I would prefer to use the iqfeed adjusted symbol, as other charting apps do. It keeps everyone discussing the same prices, and relieves me from having to determine whether NT has calculated the offset correctly (9 times out of 10, it's wrong). Also, at unexplained times, NT will overwrite the offsets that I have input. It's very frustrating to deal with and I know many users who are experiencing this.

I'd rather use @ES#C and have one less thing to worry about.

Hello Laurus,

Please note that NinjaTrader can backadjust historical data of previous expiries when you use the front mont contract - ES 09-11.

When you request historical data that spans expiries, it can automatically merge the historical data backadjusted in the chart.

Can you please go to Control Center-->Tools-->Instrument Manager, highlight the ES and click Edit. Make sure 'Merge policy' is set to MergeBackAdjusted.

Subsequently, create an ES 09-11 chart that requests historical data before the rollover date of 6/9/2011 and it will backadjust historical data.

[NinjaTrader_Jason]

Hello snooop,

You can load data for this instrument by using the ES ##-## in NinjaTrader. Make sure you have 'Use backadjusted data' enabled in your IQFeed connection. Please go to Control Center-->Tools-->Account Connections, highlight your connection and click Change. lick Next to check if this option is enabled. If not, please do so and finish the connection.

Connect to IQFeed and create a chart for the ES ##-##. Check if data is loaded as expected.