What is "Continuous contracts" in NinjaTrader?

[fx.practic]

Hello.
I have several questions about Continuous contracts.
Please help me clarify.

1. What is the purpose of Continuous contracts? Are they just for charting and backtesting?
2. Continuous contract is an artificial data series, constructed by data provider (not by NT, not by a broker, not by stock exchange), right?
3. Not all data providers distributes Continuous contracts, right?
4. I found that Continuous contracts bars series are 100% identical to the same that NT constructed under "Merged, Non Back Adjusted" policy. Is there any practical difference in between?
5. I could place trade on Simulated Data Feed connection on the ES ##-##. Can I place a trade on ##-## instrument on real account? What would happen with position on Continuous contract on real account on expiration? Can a broker "auto-rollover" this position on expiration?
6. I can locate and edit Continuous contracts in Historical data manager. But I can not find Continuous contracts in export section. Why?

Thanks in advance.

[NinjaTrader_Marco]

Hello,

Thanks for your post.

Continuous contracts merge and adjust data with the past contract's historical data to provide one continuous chart going back as far as historical data is available. This same thing is also accomplished in the NinjaTrader platform with Merge Policy. When "Merge Back Adjusted" is selected as the Merge Policy in NinjaTrader, the past data for contracts is merged and adjusted with the current contract, just like a Continuous Contract.

Continuous contracts use the ##-## designation for their expiration date. You'll need to be connected to a data provider that supports continuous contracts, such as Kinetick or Esignal, to view continuous contracts. Otherwise, with NinjaTrader Continuum, which does not support continuous contracts, the Merge Policy is taken into consideration and the platform merges together past contracts to show the same information a continuous contract would.

You can make changes to Merge Policy in the platform under Tools -> Options -> Market data. More information at the below link:

http://ninjatrader.com/support/helpG...marketdata.htm

NinjaTrader stores historical 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

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

[fx.practic]

Hello, Marko!
Thank you for the prompt reply.

I read carefully your answer and still have a couple of minor questions.

1. On my system exactly "Merge Non Back Adjusted" policy provides prices identical to continuous contracts. I made two screenshots with both types of Merge Policy.
As for I understand, with "Merge Back Adjusted" all historical prices adjusts on each expiration date.
.

"Merge Non Back Adjusted"	"Merge Back Adjusted"

.
2. I still able to see and change ##-## contracts as a separate instruments in historical data editor (please look at screenshot). That's I am interesting why I can not export a separate instrument, from my historical database.




Thank you,
Andrii

[NinjaTrader_Marco]

Hello,

Thanks for your reply.

An explanation of how this is handled by each merge policy is found below:

https://ninjatrader.com/support/helpGuides/nt8/?merge_policy.htm

Any historical data held locally on your computer should be able to be exported, including continuous contract data if available. You'll need to get this data from a provider that supports continuous contracts, such as Kinetick.

Here's a quick video going over this concept:

https://www.screencast.com/t/Jo31NfLL2I2R

It's also important to note, if you leave the Historical Data window open, then download the data, it will not populate in that field until you close and open the Historical Data window again.

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

[fx.practic]

Thank you Marco.
Still have questions.


#1
I still not see ES ##-## among available for export instruments.
But I can export other continuous instruments like EMD ##-##.
Are there any reasons for this?

#2
Am I clearly understand that there no way to execute orders on continuous contracts on real accounts?

Andrii

[NinjaTrader_Emily]

Hello Andrii,


Thank you for your reply.


Please be sure that when you are downloading the historical data you put the instrument as "ES ##-##" rather than just "ES" which is a stock for Eversource Energy. I have included a video demonstration here where I downloaded data for ES ##-## and then it was an available option in the export list:

https://www.screencast.com/t/VbrhRwXw

In regard to your question about executing orders on a continuous contract, I would advise you to reach out directly to your broker for the live account to see if this is supported or not. For example, I know that the NinjaTrader Brokerage can not receive orders placed to continuous contracts. My understanding is that the option to graph a continuous contract is for market data purposes only so you may construct a historical data series for the instrument regardless of the contract expiration dates.


I hope this helps to address your concerns. If you have any additional questions, please feel free to post them here.

[fx.practic]

I have tried on two PCs with the same data connection.
On one I could export ##-## all contracts, on another not.

Thank you, Emily, for the helpful information.

[NinjaTrader_Emily]

Hello Andrii,


Thank you for the update.



Please send log and trace files from the PC where you were not able to export all contracts to the email address platformsupport[at]ninjatrader[dot]com so that we may look further into what occurred.

You can do this by going to the Control Center-> Help-> Email Support

Ensuring 'Log and Trace Files' is checked will include these files. This is checked by default.

Please reference the following ticket number in the body of the email: 2860164 ATTN: Emily



Thank you for your time and patience. I look forward to resolving this item with you.