Which data feeds support continuous contract?

[zehua]

I just opened an account in AMP. I connected to their CQG feed, but doesn't seem to be able to get a continous contract there.
Does anyone know how to get one?
How about IB? Do they have that?

[NinjaTrader_ChristopherJ]

Hello,

Thank you for your post.

Currently Kinetick, eSignal, IQFeeed and Barchart will offer continuous contracts within NinjaTrader.

NinjaTrader will automatically merge data to build continuous data. For example if you open a 6E 06-12 chart with 60 days set to load NinjaTrader will merge data from 6E 03-12 into 6E 06-12 to backfill your chart.

Please let me know if I may be of further assistance.

[zehua]

Hello,

Thank you for your post.

Currently Kinetick, eSignal, IQFeeed and Barchart will offer continuous contracts within NinjaTrader.

NinjaTrader will automatically merge data to build continuous data. For example if you open a 6E 06-12 chart with 60 days set to load NinjaTrader will merge data from 6E 03-12 into 6E 06-12 to backfill your chart.

Please let me know if I may be of further assistance.

Thank you! That works!
I loaded up a ES 06-12 chart, and it goes back to 2009. I switched to monthly chart, but unfortunately it does not go back further. Do you know if it is possible to get back further on the monthly chart? It really does not make much sense to look at a monthly chart with only 3 years of data.

In addition, I am wondering why is the current bar always 0 volume until the bar is completed? It should be able to give me some volume because I want to take actions right before the bar's close.

[NinjaTrader_ChristopherJ]

To receive additional Daily data for Weekly bars please connect to the Kinetick End of Day (Free) connection first within NinjaTrader and CQG second.

To see Volume during the current bar please open your indicator window and set "Calculate on bar close" to False and click Ok.

[zehua]

To receive additional Daily data for Weekly bars please connect to the Kinetick End of Day (Free) connection first within NinjaTrader and CQG second.

To see Volume during the current bar please open your indicator window and set "Calculate on bar close" to False and click Ok.

Thank you. I want to create a connection that uses Kinetick first and CQG as backup. I don't know how to do that, because it doesn't allow me to change the Kinect (free end of day) settings.
I tried to create a new connection, and selected Kinetick, then it requires me to entire user and password.

How about connecting to CQG first and Kinetick as backup? Does that work?

I just tried that. I added Kinetick as my back up data provider, and it seems working fine. For ES, I can go all the way back to 05, though volume is only available for 06- present. But that should be good. I still hope I could get even more data, like 10 years data though.

[NinjaTrader_ChristopherJ]

What occurs when you go to Fie-->Connect and select "Kinetick End of Day (Free)"? If you can connect to this connection you will have access to 10 years worth of Daily data.

If you connect to the Kinetick End of Day (Free) connection first Daily data will be pulled from this connection then real time, Tick and Minute data will be pulled from CQG your second connection.

[zehua]

What occurs when you go to Fie-->Connect and select "Kinetick End of Day (Free)"? If you can connect to this connection you will have access to 10 years worth of Daily data.

If you connect to the Kinetick End of Day (Free) connection first Daily data will be pulled from this connection then real time, Tick and Minute data will be pulled from CQG your second connection.

I just tried that and it only goes back to 2005.
Can you have a quick try with ES 06-12 and see how far you get for Kinetick?

[NinjaTrader_Jason]

Hello zehua,

When I test it on my end, I load data up to 12/9/2004. Unfortunately there is no more historical daily data available as per the ES 06-12.

However I was able to load more data when using the ES ##-##. You can add the ES ##-## in the Instrument Manager. Set 'Expiry' to ##-## when adding the ES to your instrument list.

[zehua]

Hello zehua,

When I test it on my end, I load data up to 12/9/2004. Unfortunately there is no more historical daily data available as per the ES 06-12.

However I was able to load more data when using the ES ##-##. You can add the ES ##-## in the Instrument Manager. Set 'Expiry' to ##-## when adding the ES to your instrument list.

Thank you. I just tried ES ##-## and it goes back to 1998, which is cool.
However, I am curious why is the volume so low in 1998, and gradually increasing over the years? I doubt if futures trading was not popular at all in that time, though it could be.... The volume on the monthly chart was only like 1/100th of today's volume.

In addition to that, the most recent daily bars on ES ##-## looks different from ES 06-12.
I think Kinetick data feed might have problems? Can you look into that?

[NinjaTrader_AdamP]

zehua,

I am happy to assist you on behalf of Chris.

I would suggest contacting Kinetick for an explanation there, as they would be able to tell you if there is a difference in the data between continuous contracts. It may be that they are using a different front month for the continuous contract over 06-12 is my best guess currently. I do see minor differences on my side as well.

Kinetick support : https://www.kinetick.com/support

Please let me know if I may assist further.

[zehua]

zehua,

I am happy to assist you on behalf of Chris.

I would suggest contacting Kinetick for an explanation there, as they would be able to tell you if there is a difference in the data between continuous contracts. It may be that they are using a different front month for the continuous contract over 06-12 is my best guess currently. I do see minor differences on my side as well.

Kinetick support : https://www.kinetick.com/support

Please let me know if I may assist further.

Oh..... I thought Ninja and Kinetick are one company....
OK I will ask them

[markus1000]

i have several years of historical intraday data and im using the CQG demo. After the rollover i cannot chart the continuous contracts anymore. Shouldn't it be updated automatically, since i have data for the old and new contract?

When i try to backtest continuous contracts a lot of data seems to be messed up and my results greatly differ from pasts tests.

Merge policy is on default: MergeBackAdjusted

[NinjaTrader_AdamP]

markus,

Please send an email to support at ninjatrader dot com describing your issue, we'd be happy to help you there.

[crosscreek]

"NinjaTrader will automatically merge data to build continuous data. For example if you open a 6E 06-12 chart with 60 days set to load NinjaTrader will merge data from 6E 03-12 into 6E 06-12 to backfill your chart."

Does that include volume (from earlier contract, not just current) and even with IB?

[NinjaTrader_Kyle]

Hello,

Yes, this does include volume even in the case of IB - just be aware that IB does not provide historical volume bars.