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Automatic roll to next contract month in market replay
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Automatic roll to next contract month in market replay
If there is no way to do this, can we please make this a feature request? If one has data for say the entire 2018 and want to let the strategy run through market replay in its entirety, it's cumbersome to switch over the contracts between rolls. Not to mention it is also easier to see strategy reports. Is there anyway to do this currently without having to restart market replay 4x (for a quarterly expiration futures contract)Tags: None
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Originally posted by Boonfly8 View PostIf there is no way to do this, can we please make this a feature request? If one has data for say the entire 2018 and want to let the strategy run through market replay in its entirety, it's cumbersome to switch over the contracts between rolls. Not to mention it is also easier to see strategy reports. Is there anyway to do this currently without having to restart market replay 4x (for a quarterly expiration futures contract)
You don't have to wait for a fix, IF YOU HAVE YOUR OWN DOWNLOADED REPLAY DATA. You can fix it yourself now, like I have. Battle tested end users have experience in this stuff. I replay 4 years of recorded ES data. Yes over 16 separate contracts. Takes 13 hours or so depending on # of trades, but works way faster than NT7 which would take days and stall out after 1 year and take days.
Build your own ES folder of data and name it ES ##-##, and replay that.
It's as simple as that. Oh yeah, don't double up on days. Only 1 day from each contract(control your own roll over day).
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Originally posted by sledge View Post
You could set up each tab to have each contract, this worked until NT8 B6?, when some other fixes to the logic slowed this method down.
You don't have to wait for a fix, IF YOU HAVE YOUR OWN DOWNLOADED REPLAY DATA. You can fix it yourself now, like I have. Battle tested end users have experience in this stuff. I replay 4 years of recorded ES data. Yes over 16 separate contracts. Takes 13 hours or so depending on # of trades, but works way faster than NT7 which would take days and stall out after 1 year and take days.
Build your own ES folder of data and name it ES ##-##, and replay that.
It's as simple as that. Oh yeah, don't double up on days. Only 1 day from each contract(control your own roll over day).
Thank you for your note. I do use Market Replay Downloader to mass download quotes. I do see the structure of the files in the folders as for example ES 03-18 and 20180101.nrd files, with each file pertaining to the days that are included in the futures contract. If I am understanding you correctly, you essentially suggest to dump a years worth of data into a single folder. I have two questions for you:
1. how do you direct NT market replay to use that particular folder
2. how do you automatically make the switch? On say 3-15-2018 when the rollover date happens.
Thanks in advance for your ideas!
And yes, I want to test the strategy using market replay only and just let it run years worth of data and walk away and do something else. Strategy analyzer is useless for real testing.Last edited by Boonfly8; 04-01-2019, 02:06 PM.
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Originally posted by Boonfly8 View Post
Hey Sledge,
Thank you for your note. I do use Market Replay Downloader to mass download quotes. I do see the structure of the files in the folders as for example ES 03-18 and 20180101.nrd files, with each file pertaining to the days that are included in the futures contract. If I am understanding you correctly, you essentially suggest to dump a years worth of data into a single folder. I have two questions for you:
1. how do you direct NT market replay to use that particular folder
2. how do you automatically make the switch? On say 3-15-2018 when the rollover date happens.
Thanks in advance for your ideas!
And yes, I want to test the strategy using market replay only and just let it run years worth of data and walk away and do something else. Strategy analyzer is useless for real testing.
Replay ES ##-## instead of each individual contract.
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Originally posted by sledge View Post
The file folder is called ES ##-## in Windows. Put all those daily files there.
Replay ES ##-## instead of each individual contract.
I want to make sure I'm with you 100% on this. The path of my NT folder is as follows: Documents\NinjaTrader 8\db\replay
and in the replay folder, my files (downloaded from Market Replay Downloader) are as shown where each contract period has its own folder. Looking at ES, we have:
ES 03-18
ES 06-18
ES 09-18
ES 12-18
Are you saying to just dump all the files from 06-18, 09-18, and 12-18 to ES 03-18? And have no other folders for ES? Will NT market replay automatically recognize the only folder then just play all the data in it? Which ES contract do you specify to open up a chart to follow along?
Thank you very much in advance for all the help, this will help tremendously for contracts that expire monthly! Hopefully NT has a more elegant solution for this soon.
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Originally posted by sledge View PostI haven't tried ES 03-18 with all the days in it. It might work.
as I've said 3 times or so, make a ES ##-## folder and play that back. Put that in the chart.
Thx for the tip Sledge!
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