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Download selected contract from the past

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    Download selected contract from the past

    Hello

    I would like to download the full futures contract of the past 10 years. If choose the most current contract, then it downloads all these contracts and creates them on the fly. The problem: NT does not download the full contract but only to the date where the new one starts, even when rollover is later.
    Example: ZC 12-11 is loaded until 30th of November instead until 14th of December
    Question 1: Is it not possible that NT downloads the full chain of contracts and for each contract all dates?

    Question 2: To get the full data I tried to download each contract alone. The problem: In the instrument manager only contracts of the last year are offered, it is impossible to download the data of a contract 3 years ago.

    Could you please help me with these 2 issues?

    thanks
    Andre

    #2
    Hello Andre,

    Thank you for your post.

    Both of these items are closely related actually.

    This behavior relates to the current Merge Policy. - all futures contracts have defined roll-over dates within the NinjaTrader instrument manager. When data is downloaded, this information is used to merge and back adjust data so as to create a continuous chart. These dates can be edited, but this would not meet your needs in downloading all available data.

    To download all available data, merge policy would need to be adjusted to the 'DoNotMerge' setting. After making that change, data for each individual expiry would need to be downloaded.

    As you mentioned, only the last year is available to load by default in the instrument manager. This is based on the PC's clock. If you were to shut NinjaTrader down and adjust the PC's clock to the prior year, you would then be able to access older contracts after restarting NinjaTrader - this should allow you to access the data which you need.

    To adjust merge policy:
    Open the Options menu by clicking Tools > Options.
    In that menu, navigate to the Data tab - you'll find Merge Policy therein.

    More information about the three merge settings can be found at the following link to our Help Guide within the 'Understanding Merge Policies' section: http://www.ninjatrader.com/support/h...rical_data.htm
    KyleNinjaTrader Customer Service

    Comment


      #3
      Hi Kyle

      Thanks for fast reply. I am aware of of the different merge settings. The approach with date setting would be very time consuming. Is there no other way, for example with NinjaScript programming to download full data of selected contracts?

      Relating accessing contracts from code, I have another question: Is it possible from code to identify start/end date of current contract and to identify what would be the next contract? I would like to implement a mechanism where I close the position in one contract and open a new position in the next contract.

      Comment


        #4
        Hello,

        Unfortunately there are no NinjaScript methods that work with either of the questions you had and would need to be done manually.

        I will let development know this is a requested feature.

        -Brett
        BrettNinjaTrader Product Management

        Comment


          #5
          yes, this would be valuable. The way it is now I must rely on contious futures constructed by data providers (something I will not do after I have done some data quality checks) or I must construct data outside NT and import. Also time consuming.

          Comment

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