Setting Older Expiries for Futures Contracts

[Vispilio]

Hi,

I see that the CL instrument expiry selection goes back only as far as 1 year back (currently 04-16 is the oldest month). If we want to load data for earlier expiries, which is necessary for merge back adjusted backtest, how can we add the older expiries for futures instruments (back to 2005 let's say) ?..


Best,
Vispilio

[NinjaTrader_AlanS]

Setting Older Expiries for Futures Contracts

Hello Vispilio,

Thanks for writing in to our Support team.

Where are you viewing the contract expiries? Are you viewing these in the expiry drop down menu in the Instrument Manager? You will only be able to select an expiry back until 2016, but this does not mean that you do not have access to data beyond this point.

You can view all rollover dates and expiries for a particular instrument by going to Tools --> Instrument Manager --> search for your instrument --> double click on that instrument --> click on the Misc tab --> scroll down to Contract months, click the x months defined field and then click the "..." button that appears. From the Contract Months window you can view rollover dates, and create/delete expiries.

NinjaTrader will automatically merge data as far back as it has expiries/historical data for from the server which you are requesting this data from with the MergeBackAdjusted setting. Fore example, you can select the current expiry and create a chart and with this setting it will pull all available historical data that you have for that instrument depending on how many Days to load you have defined for your chart.

Please let me know if I may be of any further assistance.

[Vispilio]

Hi Alan,

I see contracts defined as far as 2008 on the Contract Months section as you suggested; however when doing a backtest NT7 can't pull data older than 1 year from the IB server because older expiries are not added in the instrument manager...

How can I add expiries earlier than 04-16 to the Instrument Manager ? so that we are able to get this data for the backtest...


Best,
Vispilio

[NinjaTrader_AlanS]

Hello Vispilio,

Thanks for your reply.

These expiries do exist in the Instrument Manager, as you confirmed by accessing the Contract Months via the Instrument window, so you do not need to create them. NinjaTrader will automatically request all data that is available with the MergeBackAdjusted setting - this situation sounds like you may be running into issues with IB and how much historical data they have available on their servers for the CL. You can add or delete expiries from the Contract Months window by selecting New to create an expiry and Delete to delete one - but again you have already confirmed that these expiries do exist for this instrument in the Contract Months window. I would also recommend confirming with Interactive Brokers that they have historical available on their servers for the timeframes you are looking to backtest on.

Please let me know if I may be of any further assistance.