Historical data for second bars and merging them with a continuous contract mrkt rply

[nikolaalx]

Hello,
I am building a long set of data for market replay for ES ##-## continuous contracts which I created by renaming the various rollover contracts (e.g. ES 03-15, ES 06-15).

I saved the market replay in this way, and the replay works fine.

I however am having problems with the historical data for that continuous contract.

I generated a chart with 1 second bars for the most recent futures contract (ES 06-15) and I tried to find the historical data files in order for me to rename them to ES ##-##, so historical data to be fetched by the same continuous contract when I am working with the replay data, however I couldnt find the second bars.

I noticed there is a folder for Minute, Day and Tick...but not for second.

Please advise on how I can achieve this.

Thanks.

[NinjaTrader_Jason]

Hello nikolaalx,

Seconds data is build from historical tick data.

Please note that the 'Days to load' setting will not load Market Replay data, but static historical data you normally load from your broker/data feed.

If you are missing historical data, please connect to your broker/data feed and load the missing data at Control Center-->Tools-->Historical Data Manager-->Download-tab.

If your data feed provider/broker connection does not support historical tick data for continuous contracts, I suggest to load historical tick data for the individual contract months. Subsequently export the historical data and import it for the ES ##-##. Instructions can be found below.

Export

http://www.ninjatrader.com/support/helpGuides/nt7/exporting.htm

Import

http://www.ninjatrader.com/support/helpGuides/nt7/importing.htm