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Download Continuous Contract E-mini S&P

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    Download Continuous Contract E-mini S&P

    I have IQFeed.

    I would like to export 1-minute data back a few years. How would I do this without selecting a specific contract?

    #2
    Hello Lumbeezl,

    NinjaTrader stores data for different expiries on the same instrument as if they were different instruments.

    This allows the merge policy to be changeable.

    This also means that when exporting you will need to export each expiry separately.

    Below is a public link to the help guide on exporting historical data.
    https://ninjatrader.com/support/help.../exporting.htm

    It would be possible to create a custom coded script like an indicator that does this for you automatically based on the rollover dates.

    If you have interest in creating a script that does this it would basically be a combination of the writing to file with StreamWriter and the RolloverIndications indicator (which loops through rollover dates).

    Below are public links to the scripts you could use as an example.
    https://ninjatrader.com/support/foru...ead.php?t=3475
    https://ninjatrader.com/support/foru...php?linkid=905
    Chelsea B.NinjaTrader Customer Service

    Comment


      #3
      Hi

      i've downloaded a Strategy that exports the data in order to obtain a continuous price for the ES mini (see attachments)
      https://futures.io/ninjatrader/16893...-rollover.html

      However I don't get data before 2017 using the type "ticks" for the data series.

      What might be wrong?


      Attached Files

      Comment


        #4
        Hello Capablanca,

        Are you showing this data is available in the Tools > Historical Data window?

        It might be that the data is not available from the historical data server you are connected to past this point.

        It might be that the rollover expiry dates need to be set up for the other contract months.
        Chelsea B.NinjaTrader Customer Service

        Comment


          #5
          The problem I found while using the Tools > Historical Data is that I cannot download continuous S&P mini because of the contract rollover.
          Eg. with the ES 06-09 I get data from 3/3/2019. And I want to have data before that. That's why I thought that using the Strategy Analyser is a reasonable work-around.

          Comment


            #6
            Hello Capablanca,

            The Historical data window will download data the same way a Chart or Strategy Analyzer window does and this is based on the merge policy and data available from the server.
            https://ninjatrader.com/support/foru...986#post782986

            Below is a link to a video that shows downloading all available tick data from a NinjaTrader Continuum connection with the merge policy set to MergeBackAdjusted.
            The video takes about 5 minutes to download the data. The data finishes downloading at 5:25 in the video if you want to skip past the 5 minutes of silence.
            https://drive.google.com/file/d/1xVY...w?usp=drivesdk
            Chelsea B.NinjaTrader Customer Service

            Comment


              #7
              Originally posted by Capablanca View Post
              Hi

              i've downloaded a Strategy that exports the data in order to obtain a continuous price for the ES mini (see attachments)
              https://futures.io/ninjatrader/16893...-rollover.html

              However I don't get data before 2017 using the type "ticks" for the data series.

              What might be wrong?

              Do we have a NT8 version for ExportData?
              Attached Files
              Last edited by kitwit; 06-15-2019, 02:51 PM.

              Comment


                #8
                Hello kitwit,

                I'm not aware of an existing version of this script for NinjaTrader 8.

                I recommend you contact the vendor or author you have obtained this from and inquire if there is a version for NinjaTrader 8.

                This thread will remain open for any community members that know of an NT8 version of this script or would like to assist in porting it.


                If you are interested in creating this yourself, below is a link to a reference sample on writing to a text file you may find helpful.
                https://ninjatrader.com/support/help...o_write_to.htm

                You can also contact a professional NinjaScript Consultant who would be eager to create or modify this script at your request or assist you with your script. The NinjaTrader Ecosystem has affiliate contacts who provide educational as well as consulting services. Please let me know if you would like our business development follow up with you with a list of affiliate consultants who would be happy to create this script or any others at your request.
                Chelsea B.NinjaTrader Customer Service

                Comment

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