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Date Range for Downloading Replay Data

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    Date Range for Downloading Replay Data

    My goal is to download replay data to develop a trading strategy and to practice trading my strategy.

    If I have a target expiry then the date range would be from the previous expiry date to the day before the target expiry date. For example:

    target expiry = ES 09-16; Expiry date = 09/16/16
    previous expiry = ES 06-16; Expiry date = 06/17/16

    therefore the date range is from 06/17/16 to 09/15/16.

    Is my logic correct on calculating the replay date range?
    And did I calculate the date range correctly in the example?

    Thanks for all for any help,

    rcheezem

    #2
    Hello rcheezem,

    Thank you for your post.

    Likely the availability for the contract extends both before and after the end of the last expiry and the end of the current. You can check what the first and last days of trading for a futures instrument was on most of the exchanges websites. CME Group has a lot of great information on their instruments. For example on the ES trading dates: http://www.cmegroup.com/trading/equi...r_futures.html
    Patrick H.NinjaTrader Customer Service

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