Merging imported data into continuous contract

[farang]

Hello,

I have imported futures historical tick data, contract by contract, with the "merge back adjusted" setting.
When pulling up a chart, I can see that it displays the "merge back adjusted" data for my entire historical period, as intended.

However, looking at the historical data manager, I can also see that actual data remains on a contract by contract basis.
What I would like is to pool the "merge back adjusted" data into one single ##-## contract for that instrument. I cannot just import my data into it by renaming my source files, as the files will include data where contract was not expired, but not the most actively traded anymore/yet (so at the front and at the end), so I'm assuming I'd just get garbage in the ##-## contract?

How can I achieve this properly? - taking into account that my source files are very large, so the amount of data processing/filI can do ahead of importing is limited.

Many thanks in advance.

[NinjaTrader_Jason]

Hello farang,

You can load continuous data from your data feed connection if the data feed supports it. Please go to Control Center-->Tools-->Instrument Manager. Highlight the instrument you like in the 'Available master instruments' section. Set 'Expiry' to ##-## and click the arrow pointing to the left. Subsequently, create a new chart for the instrument to load continuous data.

If your data feed does not support such data, you can export data for the individual contracts and merge it in a text file manually. Please see the link below for instructions to export historical data.

http://www.ninjatrader.com/support/helpGuides/nt7/exporting.htm

Once you created the text file, please rename it *instrument name* ##-##.Last.txt and import it in NinjaTrader.

http://www.ninjatrader.com/support/helpGuides/nt7/importing.htm

However the data will not be backadjusted.

You can configure the days when data is merged. Please go to Control Center-->Tools-->Instrument Manager. Highlight an instrument and click Edit. Select the Misc-tab and scroll to the bottom. Select the 'Contract months' row and a '...' button appears. Please click this button and you will see expiry months.

They have a rollover date selected. This date determines when the chart will rollover. You can adjust this date to your liking so data will be merged at the dates you like.

[farang]

It seems I was unclear - I did not download this data, I imported it from .txt files.
So I have a text file for (taking the ES as example): 03-06,06-06, 09-06 etc. all the way to current date - 5 years of tick data.

If I understood what you wrote, it does not seem possible to have this data merged in a back adjusted way into a continuous contract then? As the best I could achieve would be to just export the files from NT at cut off dates, in a NON back adjusted way, combine them into one txt file (if it doesn't cash my text editor), and reimport into ##-## (with gaps at adjustement date), correct?

[NinjaTrader_Jason]

I see, thank you for clarifying.

Yes, you can merge it manually as you describe.

[farang]

It's a shame I wanted it to be adjusted the

Woudl be nice if NT allowed to create "hard data" continuous contracts that are back adjusted from mutliple contract data - eg not just show the merged data, but also enable to save it all into the ##-## contract

[NinjaTrader_Jason]

Please note that you can configure the rollover dates to your liking, so it will merge the data in charts backadjusted as per the dates you configure.

We support continuous data if your data feed provider supports continuous data as well.

You can export historical data from individual contracts and import it in the continuous contract.