Creating a historic continuous contract?

[Jellybean]

Hi

I have historical data for ER2 (e-Mini Russel 2000) futures contracts in the form of individual front months up to ER2 03-08 and now I would like to merge them to create a continuous contract up to the last individual contract. I think NT should merge the data if I load ER2 ##-## to a chart or back test. Right? This does not work for me.

In all of the following, I have the chart end time set to be earlier than the contract end.
If I am connected to Kinetick and load ER2 ##-##, I get the error "Unable to load historical data: unknown instrument".
If I am not connected and load ER2 ##-##, I get no error, but just see blank charts.
If I load an individual contract, e.g. ER2 03-08, I get no error and I can see the chart data, whether I am connected or not.

Is it possible to create a historical continuous contract like this? If so, what am I doing wrong?

Regards
Tony

[NinjaTrader_ChristopherJ]

Hello,

Thank you for your post.

Since the ER2 03-08 and ER2 ##-## are different instruments data will not be merged automatically.

I will need to verify with Kinetick if data for ER2 is available. I will reply as soon as I gather additional information.

Thank you for your patience.

[NinjaTrader_RyanO]

Hi Tony,

The ER2 contract is the same as the TF contract, but the ER2 was the symbol used prior to the conversion of the contract to the ICE Futures exchange where the contract currently trades using the TF symbol.

For the ER2 data you are able to receive you can export that from NinjaTrader and then rename the file and re-import t as part of the TF contract for the available historical data in a continuous contract up to the present.

Due to changes at the ICE Exchange, Kinetick is not able to offer real-time or delayed quote services for ICE products such as the Mini Russell 2000 at this time.


Though we are not able to offer real-time or delayed data for the Mini Russell 2000, we are able to offer historical data as part of our Basic Service package. You will be able to use this historical data to supplement the historical data from your real-time data provider.

[Jellybean]

Thank you, Ryan.

I understand about the Russell 2000 changing from ER2 (CME) to TF (ICE). Here is more detail about what I would like to do.

I have a strategy that back tests well on the TF historical but that only goes back to the exchange changeover. My aim is to use the ER2 contract for backtesting on Russell 2000 data from an earlier period.

I have historical data for all of the ER2 front months from ER2 03-06 through ER2 03-08. I would like to create a continuous contract ER2 ##-## to allow back testing this historical data in one run.

The only data connection I have at the moment is the Kinetick basic package, because I do not yet have a live brokerage account.

Is it possible to get NinjaTrader to create this continuous contract from the historical data I already have?

Cheers
Tony

[NinjaTrader_ChristopherJ]

In order to create a continuous contract since these are two seperate instruments you would be required to export ER2 data then name the data file TF with the correct format as mentioned at the link below then import this data.

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

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

[Jellybean]

Thank you for this advice.

I have tried it, but I received an error asking me to check the log. The log states:
"'C:\Users\Tony\Documents\NinjaTrader Data ImpExp\TF 03-08.Last.txt'. Instrument is not supported by repository."
Is it possible that it does not like that the contract pre-dates the TF instrument?

Perhaps there is another solution. All I want to do is back test a strategy on the ER2 instrument over the dates Jan 2006 thru Mar 2008. The data I have is the individual contracts: ER2 03-06 thru ER2 03-08. Is this possible?

Regards
Tony

[NinjaTrader_Jason]

Hello Tony,

You will need to add the TF 03-08 to an instrument list in the Instrument manager to solve the error. This expiry is not available anymore in the Instrument Manager, however you can use the following workaround. Shut down NinjaTrader and change your PC clock to a date in March 2008. Start NinjaTrader and you will be able to add the TF 03-08. Do it for all other expiries that import data as well. Once finished, please shut down NinjaTrader and set your PC clock to the correct date again. Perform the data import once more.

You could also import the data as ER2, but you will need to have the instruments and expiries added in the Instrument Manager as well before importing the data.