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Import format for Daily Futures

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    Import format for Daily Futures

    Hi,

    I have merged daily futures data in a single text file per instrument reaching back many years. I also have intraday + daily data but only for the last 20 month stored in ninja.

    Can you please tell me how I should import the daily data? I read in a post that CL ## ## would be the correct symbol, but doesn't this corrupt my 20 month data? Or is it better to create a separate symbol only used for the daily data?

    Then i would like to know how to handle Open Interest. According to the help guide the correct format for daily data is:

    yyyyMMdd;open price;high price;low price;close price;volume

    Sample data:
    20061023;1377.25;1377.25;1377.25;1377.25;86
    20061024;1377.25;1377.25;1377.25;1377.25;27
    20061025;1377.25;1377.25;1377.25;1377.25;24
    20061026;1377.50;1377.50;1377.25;1377.25;82

    Should i just add another colums for OI?

    Thanks,

    Marco

    #2
    Hello Marco, OI is unfortunately not supported within the platfrom, it's on our enhancement list for future consideration though.

    Daily data would be stored independent from the intaday and tick, so you should be fine with the ##-## expiry which would be the best one to use since you have merged data as source file and not individual contracts here.
    BertrandNinjaTrader Customer Service

    Comment


      #3
      As always, thanks for quick reply.

      Comment

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