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Shanghai Futures Exchange Future Contracts Data Download from eSignal

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    Shanghai Futures Exchange Future Contracts Data Download from eSignal

    1. Is the Shanghai Futures Exchange available in NT8 exchange list referring to the one in the ULR below?
    www.shfe.com.cn

    2. If yes, there are
    issues for download of future contracts data listed on Shanghai Futures Exchange from eSignal.

    Download of data via custom futures instruments do not work (Attempt A) and test via means described in (Attempt B) works.
    But Attempt B is not a desirable method as STOCKS instrument type was used.

    3. Please advice if I have missed out anything and how to setup to download using future instruments, thank you.

    (Using NT8.0.15.1 64 bit and eSignal 12 64 bit, Windows 10 Pro 64 bits)

    Attempt A
    1. Created custom FUTURES instruments with symbols AU(gold) and RU(rubber) with exchange as SHFE (refer to screen shot)
    2. Define contract month for 10-18, 11-18, 12-18, 01-19
    3. Set Market data policy to "Do not merge"
    4. Connect to eSignal and download minute and daily trades data for 10-18,11-18,12-18,01-19 one contract at a time from 3 Sep 2018 to 08 Oct 2018
    5. No historical data is downloaded for all AU contracts
    6. Historical minute data for all RU contracts shows OHLC of "zeros" and volume of "one"
    7. Historical daily data for RU 11-18, RU 01-19 shows OHLC and volume of "zeros"
    8. Historical daily data for RU 10-18 shows OHLC of "zeros" and volume of "two"
    9. Historical daily data for RU 12-18 shows OHLC of "zeros" and volume of thousands (but the contract is not listed on the exchange and a invalid symbol in eSignal platform)

    Attempt B
    1. Created custom STOCKS instruments with symbols AU V18-SHF, AU X18-SHF,AU Z18-SHF, RU V18-SHF, RU X18-SHF,RU Z18-SHF,RU F19-SHF, with exchange as Default
    2. Set Market data policy to "Do not merge"
    3. Connect to eSignal and download minute and daily trades data for custom stock instruments from 3 Sep 2018 to 08 Oct 2018
    4. No historical data is downloaded for all RU Z18-SHF contract, as it is not a valid symbol
    5. Historical minute and daily data for the rest of contracts download successfully
    Attached Files

    #2
    While it is typically possible to successfully map custom instruments, sometimes it is not possible. However, we'll do our best to find the solution for the instruments you're looking for.

    Please clarify - in 'Attempt B', the futures data you're looking for is downloaded successfully? Could you provide screenshots of that Attempt so I may see the mapping and historical data information?
    Patrick G.NinjaTrader Customer Service

    Comment


      #3
      Patrick

      Thank you for reply.

      Attempt B are successfully for both AR (gold) and RU (rubber) for many contract month. With "Default" exchange selected in STOCK instruments definition.
      Mapping used are
      AU V18-SHF, AU X18-SHF,AU Z18-SHF, RU V18-SHF, RU X18-SHF,RU Z18-SHF,RU F19-SHF
      Please refer to screen shots and advice for solution for mapping to future instruments, thank you.


      Comment


        #4
        I notice that in your 'Attempt A' screenshots, the tick size is '5'. In your 'Attempt B' screenshots, your tick size is '0.0001'. Can you show me where you're finding the information that confirms the tick size for the instrument? I found the exchange's website to be difficult to find any literal contract information. If you change the tick size of your 'Attempt A' instrument(s) does this change the incorrect data that was downloaded previously?
        Patrick G.NinjaTrader Customer Service

        Comment


          #5
          Tested with different tick size for both attempts, same result are obtained

          Have been using Attempt B method for a long time on many instruments which have issues with NT7 & NT8; tick size, exchanges, currencies do not matter as long as eSignal symbols are entered in full.

          Listed below are contracts specs from the exchange
          http://www.shfe.com.cn/en/products/G...t/8073281.html
          http://www.shfe.com.cn/en/products/N...211235554.html

          Exchange webpage with delay quotes
          http://www.shfe.com.cn/en/products/NaturalRubber/
          http://www.shfe.com.cn/en/products/Gold/

          Comment


            #6
            Please try the following mapping for the AU futures instrument: "AU|SHF" (without the quotations). If that is not functional, try "AU-SHF" (without the quotations).

            Please let me know the results.
            Patrick G.NinjaTrader Customer Service

            Comment


              #7
              Thank you. The "AU|SHF" works, while "AU-SHF" does not.

              Comment

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