Error creating range chart across contract rollovers

[JoshDance]

As the first picture shows, the error is that the symbol is invalid. The dates on the chart I'm trying to create are from July to October 23, in 2007. Thus, using a merge policy, this incorporates the U and Z contracts. However, as the data manager shows, I do have tick data for this period. In this incomplete chart, the last date, as you can see, is September 10, which is the date of the rollover from U to Z.

The second chart shows the result when I create the chart from October 23 to sometime later in October. It works fine. Thus, the error seems to be in creating the range chart when a rollover is in the date range.

How do I fix this?

[NinjaTrader_Jason]

Hello JoshDance,

Can you please create the first chart once more while you are not connected to any data feed provider. Check if all tick data you have available in the Historical Data Manager will load in the chart.

To what connectivity provider do you connect in NinjaTrader?

[JoshDance]

Hello JoshDance,

Can you please create the first chart once more while you are not connected to any data feed provider. Check if all tick data you have available in the Historical Data Manager will load in the chart.

To what connectivity provider do you connect in NinjaTrader?

Jason, it works fine and as expected when not connected. I'm using IQFeed, connecting this first, then connecting my TT broker feed second.

I did this:
- Disconnected from all
- Reloaded the chart (say, 7/1/2008 to 10/30/2008), and it worked fine
- Reconnected to IQFeed and TT, still worked fine
- Changed dates within the same two contracts (say, 7/2/2008 to 10/29/2008) to ensure a reload--worked fine
- Changed the date range to another similar period the next year, 7/1/2009 to 10/30/2009, same error as previously.
- Disconnected, reload chart, works fine
- Reconnected, and this time I still get the error unlike before.

But it seems when not connected it works fine. So what's next?

[NinjaTrader_Jason]

Thank you for clarifying.

The error is reported on the forum thread below as well.

http://www.ninjatrader.com/support/forum/showthread.php?t=29326&highlight=E+Invalid+Symbol'

I suspect NinjaTrader does not need to load any historical data from IQFeed when the error does not occur - it loads the historical data you already have present. Please see the link below under 'When does NinjaTrader load historical data?' for information how NinjaTrader loads historical data.

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

I am not sure how much historical data is present, however it seems historical data from 4-5 years ago is not available. I suggest to contact IQFeed for clarification.

[JoshDance]

I suspect NinjaTrader does not need to load any historical data from IQFeed when the error does not occur - it loads the historical data you already have present. Please see the link below under 'When does NinjaTrader load historical data?' for information how NinjaTrader loads historical data.

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

I am not sure how much historical data is present, however it seems historical data from 4-5 years ago is not available. I suggest to contact IQFeed for clarification.

Since I have tick data in my database for the period of the chart, why does NT request data from IQFeed at all?

[NinjaTrader_Jason]

If the requested data is already present in the database, NinjaTrader will not request data from IQFeed. Are you sure all requested data is already present in NinjaTrader?

NinjaTrader will load data when:

1. The End date parameter of the Data Series window contains the current day
2. The End date parameter of the Data Series window contains the last day of data available in your data repository
3. The data repository contains no data within 3 days of the first day loaded in the chart

Examples of when NinjaTrader will fetch data if the data repository contains data from 1/3/08 to 1/6/08 and the current date is 1/7/08:

1. Chart of 1/3/08 to 1/7/08 -> load data request for 1/7/08, use data stored in data repository/cache for other dates
2. Chart of 1/3/08 to 1/6/08 -> load data request for 1/6/08, use data stored in data repository/cache for other dates
3. Chart of 1/3/08 to 1/5/08 -> use data stored in data repository/cache for all dates
4. Chart of 12/28/07 to 1/5/08 -> load data request for all dates

[JoshDance]

If the requested data is already present in the database, NinjaTrader will not request data from IQFeed. Are you sure all requested data is already present in NinjaTrader?

Well, I thought I did, but now I am not sure--is there a way to verify this? How does NT determine with tick data whether it needs to go to the server? In other words, what says to NT, "data is missing here"? Data can be verified to be present, but how do you determine that something that might not exist needs to be retrieved?

[JoshDance]

I have just found a very interesting problem Jason:

I tried several date ranges, and they all worked. Yet, I was using a 5 range chart. When I use the same date range, but use a 20 range chart, I get the data load error. This is curious... what do you think?

EDIT: I just tried several different range values. Anything less than or equal to 18 seems to work. 19 and larger fail.

[NinjaTrader_Jason]

You can view all historical data you have present in the Historical Data Manager-->Edit-tab.

Can you please shut down NinjaTrader and go to C:\-->Users-->*Windows user account*-->Documents-->NinjaTrader 7-->db. Cut and paste the following folders to your desktop: cache, minute, tick and day.

Start NinjaTrader and you do not have any historical data present anymore. Connect to IQFeed and check if you can such historical data.

[JoshDance]

You can view all historical data you have present in the Historical Data Manager-->Edit-tab.

Can you please shut down NinjaTrader and go to C:\-->Users-->*Windows user account*-->Documents-->NinjaTrader 7-->db. Cut and paste the following folders to your desktop: cache, minute, tick and day.

Start NinjaTrader and you do not have any historical data present anymore. Connect to IQFeed and check if you can such historical data.

See the last post Jason -- the issue is not regarding the presence of the data, but rather in the construction of the range chart. I know IQFeed has no tick data more than 90 to 120 days old, so I have local tick data from 2008 to present stored locally.

[NinjaTrader_Jason]

Could it be the larger range periods requests additional data compared to the lower range values, which subsequently triggers the error message?

[JoshDance]

Could it be the larger range periods requests additional data compared to the lower range values, which subsequently triggers the error message?

I request 8/1/10 to 10/30/10, about 90 calendar days, with a 20 range chart. This succeeds.

I request a 9/1/10 to 10/1/10, about 30 calendar days, with a 25 range chart. This fails.

So, even if the 25 range chart is requesting data from outside the range date, the successful construction of the 8/1 - 10/1 20 range chart makes it clear that the data is present. So, I would not think that the 25 range failure in this case is because data is not present around those dates, as it clearly is.

[NinjaTrader_Matthew]

Josh,

Thanks for this report - I'm going to need to wait until after 4:30PM eastern to test this as I do not currently have a very wide range of data from IQFeed at this time - I'll let you know what we uncover from your findings.

Thanks as always!

[JoshDance]

Thanks Matthew, I look forward to hearing your findings and getting this resolved.

[NinjaTrader_Matthew]

Josh,

I'm sorry but I can't reproduce with the limited amount of data we have access to, but I understand what you're saying and would like to look into this.

So I may look into this further, can you please go to Help--> Mail to support and check "Chart Data". This will take some time to complete.

Please include "Attn Matthew" and a reference to this thread.

Thanks - Have a great weekend!