Creating continuous contract data for ES ##-##

[pandyav]

I am trying to create a continuous contract with the instrument ES ##-## going back to at least 2010. I have the files that I downloaded from an online forum and they are individual contract files like ES 09-11, ES 12-11 and so on.

I am able to export all of the data under ES ##-## but when I plot the volume bar chart I see a gap in volume at the end of the day. Please see the attached picture. Is this normal? Am I doing something wrong by adding all the individual contract data to ES ##-##?

Any thoughts?
Very much appreciate any help in advance.

[NinjaTrader_Kyle]

Hello,

Thank you for your post.

Which Session Template is applied in this chart? To check please right click in the chart and select Data Series. Session Template will be shown to the right.

[pandyav]

It reads 'use instrument settings'

[pandyav]

Hello Kyle,
I am also wondering if I need to change anything in my data merge settings to create continuous contract out of of individual ones like ES 03-11, ES 06-11 and so on. Right now it is set to 'Merge BackAdjusted'

Very much appreciate your help.

[NinjaTrader_Kyle]

Hello,

Thank you for clarifying.

I suspect that this is the session break. If you change to the Default 24/7 template does this volume bar occur at the 12:00 AM EDT break?

[pandyav]

Kyle,
Thank you for your help.

1. Yes, this kind of break occurs at 22:59 every night. I am in central time so it will be 12AM EST. Is this normal?

2. Also, my other question is regarding continuous contract. I am adding all the individual contract data like ES 06-12, ES 09-12 to ES ##-##. Is this the right method to create a continuous contract?

3. My merge policy is 'Merge backadjusted'. Do I need to change regarding merge policy to create a continuous contract?

Again, thank you for continuous support.

[NinjaTrader_RyanL]

Hello pandyav,


Thank you for the follow up.


1.) Based on the Default 24/7 session template which starts at 12:00 AM Sunday and ends at 12:00 AM Sunday, this would be expected.



2.) I would like to test this data import on my end to so I can get a better idea of the process you are taking.

Please send a note to platformsupport [AT] ninjatrader [DOT] com with "ATTN: Ryan L." in the subject line.

In the message, please include the following:
1.) A link to this forum thread.
2.) A copy of the data file(s) you are importing or a sample of the data files you are importing.
3.) Your latest log and trace file:
You will find the log file in the Documents > NinjaTrader 7 > Log folder.

• The log file will be named "log.20140822.txt"

You will find the trace file in the Documents > NinjaTrader 7 > Trace folder.

• The trace file will be named "trace.20140822.txt"

3.) No you do not need to change your merge policy.

The idea of using merge back adjusted is that historical prices are adjusted via the offset, so continuity in the continuous contract price chart will be retained.