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Adding past contracts to instruments lists

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    Adding past contracts to instruments lists

    I am trying to download market replay data for the MES. When I go to "Get Market Replay data", all I can see is the forward contract, MES 09-20. The last replay data I have for the MES is the MES 12-19. I would like to add all data for MES between MES 12-19 and the current forward contract roll-over date. My instrument list shows MES 09-20, but no prior contracts. If I click add, then MES, I get an error message that "Instrument(s) already exists in the instrument list".

    How can I add prior contracts of MES to the instrument list, and is it even necessary? I have my Global merge policy set to "Merge back adjusted". I currently have replay data for MES back to 11//29/19. Can I simply get market replay data for MES 09-20, go back and start downloading Market Replay data at 12/02/19, and go from there, or do I need to actually get replay data for the 03-20 and the 06-20 contracts in order for the replay to work properly?

    Thanks for your help.
    Rick

    #2
    Hello Rick,

    If your merge policy is already set to "Merge back adjusted" you do not have to select any older instruments to download replay data.

    As long as replay data is available, it will be available for the current contract and any contracts prior. That means, even if you would download replay data for the MES 09-20 contract that's from a month before the contract went active, you would still receive data. The platform would then simply request the MES 06-20 data and back-merge.

    The only limit you have with Market Replay data is how far it will go back. Depending on the instrument this is usually around 3 months or more.

    For the MES it seems the current cutoff date is 04/03/2020. Any data prior to this date would no longer be available on our market replay server.

    If you require data prior to this date, using historical data would be the solution.

    While this data is not as granular as the Market Replay data and is limited to the resolution supplied by your data provider or brokerage, it usually goes back much further than market replay data and can reach 20+ years with some providers.

    Please let me know, should you have any questions in this regard!
    Manfred F.NinjaTrader Customer Service

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      #3
      Thanks, Manfred. For futures data I use NinjaTrader brokerage. Does it supply minuted and/or tick data? I also use IB,, but I know they don't. Thanksl

      Comment


        #4
        Hello Rick,

        Thank you very much for your reply.

        The NinjaTrader Continuum connection does indeed supply tick- and minute-based data.

        If you do not need market replay data, downloading the historical data through the NinjaTrader Continuum connection would definitely be an alternative.

        A full list of which data is provided by each provider and/or brokerage can also be found at the address below:

        https://ninjatrader.com/support/help...y_provider.htm

        Please don't hesitate to let me know, should you have any further questions!
        Manfred F.NinjaTrader Customer Service

        Comment


          #5
          Thanks.

          When connecting through the Playback connection, it is possible to select historical data. I have never understood the difference. Can I do Playbacks using historical data rather than Market Replay data?

          EDIT 7/5: PLEASE DISREGARD THE BELOW QUESTION. THE ISSUE WAS RESOLVED BY TECH SUPPORT.

          I also just sent an email to tech support within NT. I am currently getting 3 error messages:
          1. Error on requesting bars series: 'Unknown instrument 'SLV". I don't have SLV anywhere on my workspace, and I tried to remove the symbol vial Tools > Instruments. I rebooted and the error still appears on replay attempts.
          2. Error requesting bar series: 'Response status code does not indicate success: 400().'
          3. Unhandled exception: Exception has been thrown by the target of an invocation.

          In that email I attached my chart template and all data files. Do you have any idea what's going on?

          Thanks again.
          Last edited by Bionian; 07-05-2020, 02:12 PM.

          Comment


            #6
            To update my previous question, If I am interested in seeing how a trade would execute "on price change" rather than "on bar close" for 5-minute MES charts, can that be accomplished using the Replay using Historical Data from the NinjaTrader Continuum, or does it require a Market Replay?

            Comment


              #7
              Hello Bionian,

              The "on price change" selection would not affect the actual order execution. This would only affect when a specific indicator will recalculate its values.

              E.g. - if the SMA indicator is set to "on bar close" on a 5-minute chart, it would only update once every 5 minutes and would not draw on the current bar until this bar has closed.

              If it is set to "on price change" instead it would update and re-calculate the SMA on the current bar each time the price changes.

              When played back, however, the order execution would be based on the chart's granularity.

              That means if you playback historical data with a 1-minute granularity, this would be the smallest granularity the system can work with, whereas the Market Replay data will be a recording of the market's activity during that time, resulting in it being significantly more accurate.

              Please let me know, should you have any further questions in this regard!
              Manfred F.NinjaTrader Customer Service

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