Market Replay for ES not able to chart

[DudaoRJ]

I used the "Market Replay Downloader" software from marketreplaydata.com to download Forex and Futures past data since 2013. I can use the Forex data without any problems, however for futures that's not happening.

I can see at \Documents\NinjaTrader 7\db\data\ that for the "ES 09-14" I have data ranging from February 2014 up to September 2014. However, the historical data manager in NT shows data from July 21st to 25th only. How to fix this?

In addition to that, how to add new ES expiry dates ranging from early 2013, as NT only allows me to start at 09-14? I have data starting at 2013.

Is it possible to merge my historical data so I can use the expiry date ##-##? Any third party solution?

Thank you.

[sledge]

It sounds like you are mixing 2 different things. Market Replay data != Historical Data.

And to add previous contracts - just change your system clock back in time... add the contract(s), and then change your time back to normal.

[NinjaTrader_Kyle]

Hello DudaoRJ,

Thank you for your post.

Which contract is selected in the chart which you are using to play back the data which you downloaded? Unlike historical data, the contract where the data actually took place must be used when playing back data. For example, it would not be possible to play back data from Feburary 2014 using the 12-15 contract of ES. You would need to play data back using the 03-15 contract which was valid in Feburary of 2015.

Unless the data which you downloaded replay data for was for the continuous contract it would not be possible to play data back using the ##-## expiry code.

As Sledge indicated, to add older contracts you would need to shut NinjaTrader down then set the PC clock back to a date when the contract which you wish to add would have been valid. After making this change please restart NinjaTrader and add the contract to NinjaTrader's Default instrument list by following the steps shown here: https://ninjatrader.com/support/help...ment_lists.htm

Once the instrument has been added you can shut NinjaTrader down and reset the PC's date back to the current date.

[DudaoRJ]

Sledge / Kyle,

Thank you both for your replies. I was able to add the missing old ES instruments thanks to your instructions and now I have the market replay data playing accordingly.

One more question: in February 2013, for example, there are both the 03-13 as well as the 06-13 contracts being traded. However prices are not the same in both of them. I thought they should move in tandem to avoid arbitrage. There's a 6 point difference between them, how is that possible? If I were to use the ##-## which quote would it be? Which is the "correct" one?

Thank you.

Yours
Eduardo

[NinjaTrader_Kyle]

Hello,

I would recommend testing with the 03-13 any day prior to 3/7/2013 and the 06-13 contract on any day after 3/7/2013. Both contracts would have been trading between 3/4/2013 - 3/15/2013 which would explain the price differences which you are seeing between the two contracts.

I hope that this helps to clear things up however if other questions come up which I could assist with please let me know.

[DudaoRJ]

So the rule of thumb is to always use the oldest contract available? Thank you.

[NinjaTrader_Kyle]

Hello,

It is important to use the contract which was valid on the date which you are testing. If you are not sure which contract was valid at the time this is something which you can easily check within the Instrument Manager:
Open the Instrument Manager by selecting the Tools > Instrument Manager option in the Control Center.
Next, select the future which you are interested in from the list on the right and click Edit.
In the Instrument Editor, navigate to the Misc tab and scroll down to the bottom of the window.
Select Contract Months then click the '...' button which appears.
In the Contract Months menu, select a contract from the list on the left and the roll over date will be displayed on the right side of the window.