Importing Continuous Contract Files

[pmcgoohan]

Hello,

I am importing CQG tick data in individual files, in the format required for NinjaTrader import (ie: ES ##-##.Last).

I deleted all previous data one contract at a time in the Historical Data Manager so that I could start from a fresh database.

The data imports ok, and I can see it listed with the ES ##-## label in the Edit tab of Historical Data Manager.

I can also add the contracts using Instrument Manager, by searching for ES, selecting the Exchange/Expiry from the drop down lists, and adding them to the instrument lists.

But when I then attempt to open a chart or run a backtest against the data, none is available.

Is this the correct process for importing continuous contracts? If not, what am I doing wrong?

Thanks

[NinjaTrader_Matthew]

What is the actual instrument you are selecting from the chart or strategy analyzer? Are you using the actual front month (ES 12-12) or the continuous symbol (ES ##-##)?

If you're using ES ##-## from the chart, are there any errors listed on the log tab of the Control Center?

[pmcgoohan]

Thanks for the (as ever) very quick response.

I have now tried it with the front month (ES 12-12) and the continuous contract (ES ##-##) in a chart but neither work.

There are no errors in the log after an attempt to open the chart.

I have included a screendump of the Historical Data Manager, Instrument Manager, and Log Tab in case you can see anything wrong.

Any ideas?

[NinjaTrader_Matthew]

To clarify, the ES ##.##.Last.txt file you imported does not import into the individual front months. You cannot combine the ES 12-12 and ES ##-## as these will be different symbols

What was the date range for data you imported from this file?

Do you see data for the ES ##-## in the historical data manager? If so, what dates are available? Do you have the most current data or was it old contract data? If you open a chart using the ES ##-## and set the end date to a date within the data you have in the historical data manager, can you load a chart for that period?

[pmcgoohan]

I didn't import ES ##.##.Last.txt, just individual front date files. I just tried adding ES ##.## using instrument manager to see if it helped.

The date range depends on the individual contract imported, and covers a wide range for each contract with quite a bit of crossover.

For example:
ES 06-12 contains tick data from April 2011 to June 2012
ES 03-12 contains tick data from March 2011 to March 2012
ES 12-11 contains tick data from October 2010 to December 2011

I do not see data for the ES ##-## in the historical data manager because I have imported individual contract files.

The data is up to June 2012 (from 2007)

I tried opening a chart for ES ##-## with the end date set well within the data but it didn't work.

[NinjaTrader_Matthew]

If you did not import an ES ##-## file, then the ES ##-## symbol will not load.

If these are individual months, you will need to work within the individual months on your chart or strateyg analyzer.

NinjaTrader will build a continuous contract between each month depending on your merge policy under Tools--> Options--> Data tab

[pmcgoohan]

Ok- but I can't even see the data for individual contracts at the moment!

for eg:
I can see tick data for ES 06-12 in Historical Data Manager -> Edit
I have ES 06-12 added in Instrument Manager
I open a 1 minute bar chart for ES 06-12 for 60 days with an End date of 31-May-2012
The chart is blank
Is there any chance of a remote support session to see what I mean?

[NinjaTrader_Matthew]

From your description, it does not sound like you imported minute data. Can you please instead load a tick chart for that contract and time period and see if you can load a chart.

If this does not work, please email us at support[at]ninjatrader[dot]com

[pmcgoohan]

Ah! That seems to be it. I thought NT calculated minute data on the fly if it needed to from tick data.

I'll retry the import with the minute and day options selected and see how I get on.

Thanks.