Data Importing Issue

[dannyh]

Hi there, when importing historical ES tick-by-tick data into NT, data from 4pm-4:15pm (EST) on the expiration date is always missing. For example, ES 03-05, data from 4-4:15pm on 3/9/2005 is missing. Similar situation happened on 6/8/2005, 9/7/2005, 12/7/2005, etc. Any idea?

[NinjaTrader_Lance]

Hello,

Can you clarify, are you importing data from a file or downloading it from a data provider? If it's from a data provider, which one?

I look forward to assisting you further.

[dannyh]

From a file

[NinjaTrader_Lance]

Hello,

Unfortunately you will need to contact the person you obtained the file from for further information on this as I have no way to verify whether or not the file you were provided is accurate or if there was trading at these times.

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

[dannyh]

The .txt file has those data (4-4:15p). But after importing, they are gone. .

[NinjaTrader_Lance]

Hello,

Could you please attach an example text file that does not load properly so that I may test on my end.

I look forward to assisting you further.

[dannyh]

The data file for each contract is too big to upload. Here are 2 pictures: 1) only 03-03 data and 2) both 03-03 and 06-03. You can see there were 2,387 items from 4-4:15 in pic 1. But after importing 06-03 in pic 2, only 13 items from 4:45-5, missing data from 4-4:15. I can email you the data file for you to try, just give me an email address. Thanks.

[dannyh]

The end of ES 03-03 (CST):

20030312 151459;00805.50;2
20030312 151459;00805.75;30
20030312 151459;00805.50;20
20030312 151459;00805.50;20
20030312 151459;00805.50;1
20030312 151459;00805.75;104
20030312 151500;00806.00;12
20030312 151500;00805.75;5


The start of ES 06-03 (CST):

20030312 154500;00804.50;1
20030312 154525;00804.50;1
20030312 154557;00804.75;1
20030312 154637;00804.50;20
20030312 154719;00804.75;4
20030312 154742;00804.50;2
20030312 154747;00804.25;1
20030312 154818;00804.50;1
20030312 154838;00804.50;2
20030312 154904;00804.00;2
20030312 155224;00804.50;1
20030312 155233;00804.50;1
20030312 155734;00804.50;2
20030312 160001;00804.25;1

[NinjaTrader_Lance]

Hello,

Thank you for this information.

One thing to note, is that we do not have roll-over dates defined for data this far back in time.

You will need to manually define these in the Contract Months.

Do do this go to Tools -> Instrument manager -> Search for ES -> left click it -> Click Edit - Click the Misc tab -> Scroll to the bottom -> select contract months -> click the "..." -> the contract months window will open. Here you will need to add new months and assign them the correct dates to match your data such that it does not get over-ridden when you import new text files.

http://www.ninjatrader.com/support/helpGuides/nt7/index.html?editing_instruments.htm

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

[dannyh]

Thanks. Do you know how to get offset data?

[NinjaTrader_Lance]

Hello,

This value will be determined by whoever you obtained the text files from and is only used if you have MergeBackAdjusted data turned on. With MergeNonBackAdjusted it will use a value of 0.

http://www.ninjatrader.com/support/helpGuides/nt7/index.html?data_tab.htm

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

[dannyh]

I plan to join all the contract files together and import them. The file size gets pretty big. Does NT have a size limit on importing text file?

[NinjaTrader_Lance]

Hello,

While there is technically a limit, it is very high and is unlikely to cause any issues.

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

[dannyh]

Importing a 9GB file and after a day and half processing, got a memory error message.

[dannyh]

Hi, I followed your instruction to add the contract months and rollover dates for 2003 contracts. I also tried to import 2005 and 2006 contracts which you have those rollover dates built-in. Same issue though. After importing the next contract, the 4-4:15pm data in the previous contract got wiped out. Thanks.