Backtesting continuous YM contract

[monpere]

Is it possible to get historical data for the YM or oher futures contracts, using some sort of continuous contract specification, in order to get data older than the current contract's 3 month expiration period?

[NinjaTrader_Ray]

Yes it is if you have a provider that supports continuous contracts. Who is your data provider?

The NT symbol is ES ##-##. You will see the ##-## option in the list of expiration dates when adding an instrument to a list in the instrument manager.

[monpere]

I am with IB, they do not have a continuous contract. Is there any way to get more than 3 months worth of data so I can backtest on the YM?

Yes it is if you have a provider that supports continuous contracts. Who is your data provider?

The NT symbol is ES ##-##. You will see the ##-## option in the list of expiration dates when adding an instrument to a list in the instrument manager.

[NinjaTrader_JoshP]

You can try merging data into the ##-## contract to get a more complete set. http://www.ninjatrader-support.com/H...eV6/Merge.html

[NinjaTrader_Ray]

You could get data from 03-8 and 12-07 contracts then use Tools > Historical Data > Merge which will back adjust the 12-07 data with 03-08.

[ooppie]

My data provider is Zen Fire. Does it support continuous contract in YM?

If it doesn't, who does?

Could I use "merge" to get a continuous contract for at least the last few contract periods regardless who my data provider is?

Thanks!

[NinjaTrader_Ray]

Zen does not support continuous. Merge will work with any provider. eSignal and IQFeed support continuous contracts.

[monpere]

Ooppie,

In my experience, you will pull your hair out, and kick the dog several times out of frustration trying to use 'Merge'. All you will have to show for it is a bald spot and a dog with a limp. Merge is very unintuitive, and not user friendly.

I suggest using 'export/import' to get continuous data, it is much more straight forward. This is how I do it: Create a 5000 Tick chart of ER2 03-08 with 150 days of history, export ER2 03-08 to file, rename the file 'ER2 ##-##.txt' , then import the file back into NT. The data will be added into the 'ER2 ##-##' contract. Repeat for other contract periods.

My data provider is Zen Fire. Does it support continuous contract in YM?

If it doesn't, who does?

Could I use "merge" to get a continuous contract for at least the last few contract periods regardless who my data provider is?

Thanks!

[ooppie]

Thanks very much for the tip, Monpere!

However, when I am exporting the tick data, very often only part of a three month contract period is exported even though my chart covers the whole period. It is very frustrating. NT should do a better job than this!

[NinjaTrader_JoshP]

Maybe if you outline the full procedure you are doing we can try and see what is going on. Thanks.

[ooppie]

1. Open a new 2500 tick chart for YM 09/07 from 06/15/07 to 09/13/07.
2. Select Historical Data >> Export to open the dialog box;
3. Specify the contract, the from date, the to date, and the "tick" option before clicking the OK button.
4. Specify the export file location when prompted.
5. Once the export is done, open the data file in Notepad and find the data ends a couple of weeks earlier than 09/13/07.

Repeat the same procedure in a row will give the same number of records. Howver, if some other activities occur in between, the number of records exported COULD be different.

The incident is not limited to the contract cited.

[NinjaTrader_JoshP]

The first thing to check would be do you actually have tick data up to 9/13. Just because you load a chart requesting those dates doesn't necessarily mean you fully received all the tick data up to then. Please confirm that you indeed do actually have tick bars timestamped as 9/13.

I presume you are using the same from-to date for export as you are for opening a chart. Please try a date set that is more extensive then the range of the chart you opened. Purpose of this is to see if you can offset your "missing" couple weeks by adding more weeks onto the export end date.

[ooppie]

I figured out what the issues were.

First, my data provider, Zen Fire, cuts off YM data older than 1 year or sor. So data for YM 06-07 starts on 07/01/07, instead of 06/14/07 as desired.

Second, when NT exports data, the text file is created with partial data first. It continues to write to the file until completion. Since this is a relatively long process, without much visual cue, I thought the export was complete when I saw the file was created. In fact, I need wait for the complete message from NT.

Finally, I need select YM ##-## in the Instrument Manager to make the imported data available for charting and so on.

Once these issues were resolved, everything went smoothly. Thanks again for everyone who has helped me along the way!

[billitin]

I'm with IB and I can't merge historical data into a ##-## contract from earlier than Mar08... Now, monpere earlier wrote:

I suggest using 'export/import' to get continuous data, it is much more straight forward. This is how I do it: Create a 5000 Tick chart of ER2 03-08 with 150 days of history, export ER2 03-08 to file, rename the file 'ER2 ##-##.txt' , then import the file back into NT. The data will be added into the 'ER2 ##-##' contract. Repeat for other contract periods.

This sounds like a nifty trick, I just cant' figure out how I move from plotting ER2H8 on a price chart to exporting the data. (Although I see the chart, when I try to export data for ER2 exp. Mar08 from Tools>Historical Data>Export..., NT argues 'there no historical data for selected contract'). What's the way to go?

Thanks!

[NinjaTrader_JoshP]

Which instrument symbol are you currently trying to export from? Try calling up the ER2 06-08 or whichever one you want instead of going ER2H8.