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Can continuous contract data (ES) be downloaded?

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    Can continuous contract data (ES) be downloaded?

    NT - 7.0.1000.10 Data Provider - IB

    Hi,
    I am doing some backtesting with ES using 9 months of daily data. After I downloaded the data for ES 03-13 to ES 06-12, I noticed that the data for expired contracts is a little different from the one I see in the NT chart as a continuous contract. After doing some reading on the forum I understand that the difference comes from the merging of contracts.

    I have 2 questions -

    a. Is there some way of downloading the data for the continuous contract (as is seen in the chart)?

    b. Can MergePolicy and/or offset be used to get the downloaded data to be closer to the continuous contract data?

    thanks

    #2
    Hello vishalct,
    To connect NinjaTrader with Interactive Broker please do make sure:


    Unfortunately IB does not supports continuous contacts (##-##, eg ES ##-##)

    Yes, you can use the merge policy to simulate the continuous contract. Please refer to the section "Understanding merge policies" from our help guide to know more about it
    http://www.ninjatrader.com/support/h...rical_data.htm
    JoydeepNinjaTrader Customer Service

    Comment


      #3
      Thanks for the quick reply. But that did not answer my question. Let me clarify.

      I understand that IB does not support continuous contract. When I pull up a chart of ES 03-13 in NT; NT does some data adjustment and shows the chart as if it was a continuous contract. But if I Export the historical data for ES 03-13 & ES 12-12 via Historical Data Manager, I get just the raw data and not the adjusted data. The downloaded data for ES 12-12 looks different from the data that shows up on the chart for ES 03-13.

      Is there a way to download the adjusted data (as it shows up on NT chart)?

      Comment


        #4
        Hello vishalct,
        Thanks for the clarification.

        Unfortunately it is expected using the Export feature in the Historical Data Manager.

        As an alternative you can use this member submitted indicator to export the data as displayed on the chart.
        http://ninjatrader.com/support/forum...7&postcount=21
        JoydeepNinjaTrader Customer Service

        Comment

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