Managing data for the E-mini S&P500

[pstrusi]

Hi Ninjas,

I need to build a reliable data for the the E-mini S&P500. Since my broker is IB, there's not historical data to download. I'm aware of Kinetick as an excellent provider of historical data, and since this info comes from its exchange, it should be the same regardless provider you're connecting to, so I should proceed with Kinetick. Now I have a couple of question to ask you for your experience:

1. Since the E-mini S&P500 is a future contract, with quarterly rollover : is the Kinetick's historical data correctly merged ?

2. Since Kinetick is unfiltered data, do this Kinetick's and IB's data, have the same behavior ?

3. After having the historical data built, which contract month future should you download in a time like this, when you have actively December13 and March14 ?

4. What is the Kinetick's merge policy for futures in a case like earlier commented ?

Thanks

[NinjaTrader_Brandon]

Hello pstrusi,

Thanks for your post.

1) When accessing the current front month the rollover date is set in NinjaTrader. Below I have provided a link of how to customize this in which you could also view when this is set.

http://www.youtube.com/watch?v=zzXBE2Jheog&feature=youtu.be

If you are accessing the continuous contract from Kinetick it will merge the data based on when volume changes.

2) This will depend on what you want to trade. You would be able to decide if you want to access the 12-13 or 03-14

3) See 1

[pstrusi]

Thanks for your response Brandon, but still having doubts on merge policy when you're NOT connecting to Kinetick's historical data:

How does NT manage futures's contract data in order to have a historical database correctly merged when there're rollovers?

I'm pretty sure that this is already built in NT but not sure how to active it

Thanks

[pstrusi]

Another detail:

Since IB's data is not a true tick data (IB do groups of ticks by miliseconds), it's different than Kinetick's. So if you needed the most likely database to IB's data behavior, which data provider could be useful besides Kinetick?

[NinjaTrader_Brandon]

Hello pstrusi,

Thanks for your reply.

You can set up what merge policy you want to use by going to Tools> Options> Data
Below I have provided a link to the Understanding merge policies section of our help guide.

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

When using the MergeBackAdjusted or MergeNonBackAdjusted the settings for these are all handled in the Instrument Manager under the Contract Months section which can be seen in the previous video.

Below I have provide a link to the Understanding the Misc tab (Contract Months/Offset Value) section of our help guide.

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

For additional data feeds both I know both Kinetick and IQFeed offer unfiltered tick data. You would need to check with additional providers for information on if their data is filtered or not.

Below I have provided a link to the Understanding the data provided by your connectivity provider section of our help guide.

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

[pstrusi]

Thanks for the response and links.

Since it's clear that NT manage the database according to your set on Merge policy, it seems that you could have contracts futures running together, and NT will take care to merge them whenever you request a chart; so:

1. When NT merges the data of contracts futures, it actually changes prices in the data base, or is it just a feature to show an unified data chart?

2. For a more reliable data, is not better just to stick to the front month contract till next rollover ? Maybe this is a false sensation, but I feel that having two simultaneous different months contracts could affect prices changes.

Thanks

[NinjaTrader_Brandon]

Hell opstrusi,

Thanks for your reply.

1) Just adjusts how it displays the data and the actual data is not changed.

2) This just comes to personal preference and how you want to see the data.