CL (oil) futures, importing data, and Dukascopy

[Locke]

Hey guys.

I have mostly used NT for FX and this is my first time trying to do anything with futures.
CL is an oil future traded on the NYMEX. I found out how to pull them up in NT (CL 04-16) is the april expiry contract.

I need to back test tick data. This has a few problems - one is to get the data and two is how to deal with rolling contracts. Does NT have a "Generic 1st future" (like Bloomberg does) or something similar that rolls the data so everything is under one ticker? If not, how would you guys handle this, backtest on each future individually? That will get sloppy fast.

Also, I am trying to use Dukascopy data set for this - there is tick data for oil under LIGHTCMDUSD. If it's not the same as CL it will at least be a good proxy for backtesting - it's a singular series so that's why I ask the above.

Any advice would be helpful, thanks guys.

[NinjaTrader_ChristopherD]

Hello Locke,

Thank you for your post.

Getting historical data for CL

If you are looking for historical tick data to use for backtesting, I would suggest subscribing to Kinetick. Here is an overview of a Kinetick subscription to provide historical tick data for CL:

• Kinetick Basic Service - $55
• NYMEX Delayed - $1

You may subscribe to Kinetick at the link below:

• https://kinetick.com/Subscribe

Dealing with contract rollover
Kinetick can provide historical data as a continuous contract with back-adjusted data. The continuous contract will link together previous contract expirations and then adjust the data to even out price gaps at the rollover dates. This should give you the most accurate backtest results if you are testing across multiple contract periods.

Trading commodity CFDs with NinjaTrader
NinjaTrader offers an introducing broker relationship with FXCM. If you are located outside of the US, you will be able to use a NinjaTrader FXCM account to trade currency pairs and commodity CFDs, such as crude oil. This would allow you to place trades on crude oil CFDs directly from the NinjaTrader platform.

Let me know if I may be of further assistance.

[Locke]

Dealing with contract rollover
Kinetick can provide historical data as a continuous contract with back-adjusted data. The continuous contract will link together previous contract expirations and then adjust the data to even out price gaps at the rollover dates. This should give you the most accurate backtest results if you are testing across multiple contract periods.

This bit here. What symbol would you have to use in NT for this? Or would we create something new just as a placeholder for backtesting?

[NinjaTrader_Brandon]

Hello Locke,
Thanks for your post.
You would use ##-## for the expiry
Example: CL ##-##

[Locke]

Does that mean if I'm going to import into something like that, I'd create a txt file with the name:"CL ##-##.Last" ? with the space inbetween CL and ##?

I have imported creating files of $EURUSD.Last in the past, no problem.

[NinjaTrader_Brandon]

Hello Locke,
Thanks for your reply.
Yes, it would be CL ##-##.Last.txt

[Locke]

Well I tried this and failed.

Text file is like this:

20160104 010001;38.195;9.7999996796716E-05
20160104 010001;37.72;4.8999998398358E-05
20160104 010001;38.075;9.7999996796716E-05
20160104 010002;37.65;4.8999998398358E-05
etc...

File is named:"CL ##-##.Last.txt"

On import, it errors out. The log says "Input string not in a correct format"
Ok what did I miss? is it the volume figures?

EDIT YES IT WAS, NEVERMIND, THANKS.