How to do a continuous market replay on a contract on months it rollovers

[nikolaalx]

Hi,
I have gathered approximately 5-6 months of backtestdata and am trying to run market replay for the whole period.

Problem I face is when I select the last contract (e.g ES 6-15) and try to run the replay from 1st Nov 2014, there is no data for the contract.

When I change to ES 12-14 It starts to run properly but freezes at the moment of rollover and I have to stop the strategy, change the instrument, load the day from the rollover period and continue onwards. The biggest problem is that I lose the data from the previous period and I need to write it down and to combine it manually in excel which takes a lot of time.

This is a lot of hassle ...especially when I want to do 100-200 replays for that 6 month period.

Any advise would be greatly appreciated.

[sledge]

As long as you don't need to worry about overlapping a contract (day trade),just run each contract.

[nikolaalx]

I need to run 6 months in one whole.

As explained, changing contracts is not an option for me.

As long as you don't need to worry about overlapping a contract (day trade),just run each contract.

[NinjaTrader_Kyle]

Hello,

Thank you for your post.

One work-around which you might consider here is to rename your market replay data files so that the continuous contract could be used for playback. For example, if I wanted to modify an ES 06-15 replay file which held data from 4/7/2015 I would:

• Shut down NinjaTrader.
• Open the Documents > NinjaTrader 7 > DB > Data > 20150407 folder.
• Next, I would rename the 'ES 06-15.ntm' and 'ES 06-15.ntm2' files to 'ES ##-##.ntm' and 'ES ##-##.ntm2'.
• After making this change I could restart NinjaTrader and play back data through the continuous symbol, ES ##-##.

I would recommend trying this work-around with the most recent roll over to confirm that it works as you would expect.

[sledge]

I need to run 6 months in one whole.

As explained, changing contracts is not an option for me.

I don't change contracts.

A strategy is added for each contract. If you need charts you'll have multiple charts for each contract.

Hopefully you don't have overlapping contract data. You'll have to subtract out the doubling for those days.

NT kyle method is interesting.