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Merging TF & ER2 Futures data?

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    Merging TF & ER2 Futures data?

    Hi

    Is it possible to create one continuous futures contract by merging two other continuous contracts?

    I would like to back test a strategy on the e-Mini Russell 2000 futures contract, but it's provider and name changed in 2008. Prior to the change it was ER2 provided by CME, then it changed to TF provided by ICE. Can I merge these into one continous contract? If so, how?

    Regards
    Tony

    #2
    Hello,

    Thank you for your post.

    If you have access to this data within NinjaTrader you may export the data then rename the file for the TF contract as outlined at the link below and Import the data back into the NinjaTrader.

    I have provided a link below to our Help Guide that goes over Exporting and Importing data.

    http://www.ninjatrader.com/support/h...ta_manager.htm

    Please let me know if I may be of further assistance.
    Christopher J.NinjaTrader Customer Service

    Comment


      #3
      Thanks, Christopher

      Just for complete clarity, if I don't have the ER2 historical data within NinjaTrader, but I purchase it, I presume I can just re-name the ER2 data file and import it as TF data. Right?

      Regards
      Tony

      Comment


        #4
        Hello Tony,

        Correct, you will need to rename the file name to TF ##-##. Make sure you have the TF ##-## added in an instrument list in the Instrument Manager before you import the data. Highlight the TF instrument in the Instrument Manager, set 'Expiry' to ##-## and click the arrow pointing the left.

        The data needs to be in a certain format as well. Please see the link below under 'Understanding import file and data formats' for more information.
        http://www.ninjatrader.com/support/h.../importing.htm

        If the data uses a different format, unfortunately it cannot be imported.
        JasonNinjaTrader Customer Service

        Comment


          #5
          Thanks you, Christopher.
          That's all clear.
          Regards
          Tony

          Comment

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