Issue with Future Rollovers

[ChrisDalala]

Hi, trying to backtest ES over the past 2 years and when i put ES 12-21 for example and run it, i can see that it is trading only on the ES 12-21, while i want it to run all the previous contracts and the rollover should be happening automatically. I checked the data base tab in the tools but i cant see except the NQ for some reason. I have all the historical data for ES that i need but cant seem to be able to run the back test on all contracts of ES with the rollback automated. what do i need to do?

[NinjaTrader_ShawnB]

Hello ChrisDalala,

Thank you for your post.

This behavior is expected and is due to the default Merge Policy in NinjaTrader 8. The Merge Policy in NinjaTrader 8 will merge the historical data from previous front months into the current front month so it functions as de facto continuous contract with NinjaTrader Continuum data.

Below I have provided a link to the Understanding Merge Policies section of the help guide.

• https://ninjatrader.com/support/help...rge_policy.htm

Please do not hesitate to contact us for any other NinjaTrader inquiries you may have.

[ChrisDalala]

Thanks Shawn. so to select the right symbol to backtest on which includes all the previous contracts merged. i just need to use ES 12-21? or shall i use ES ##-## for example? Because when used ES 12-21 and i open the tab that had the trades in the strategy analyzer, on the left side where it says the instrument, the only instrument on all the trades is ES 12-21, while i was expecting to see some trades on the ES 9-21. 6-21. 3-21, etc...

[NinjaTrader_ChristopherJ]

Since data is merged automatically by default data from previous contracts will be merged in to the current expiry therefore correct you will only need to select ES 12-21 as opposed to backtesting each expiry individually. Also yes it is expected for all trades to be listed for 12-21 as opposed to being split into each expiry when reviewing results.

[P Marshall]

Since data is merged automatically by default data from previous contracts will be merged in to the current expiry therefore correct you will only need to select ES 12-21 as opposed to backtesting each expiry individually. Also yes it is expected for all trades to be listed for 12-21 as opposed to being split into each expiry when reviewing results.

Ah Chris. So backtesting, by using the current contract, 12-21, on the ES for 2 years will work?

[NinjaTrader_ChristopherJ]

Correct if you have access to two years of historical data you would only need to select ES 12-21 when running a backtest.

[P Marshall]

Thanks. I'm using IBKR, as my data source and broker, and I've checked your list of data providers. I notice that IBKR doesn't send Historical TICK data, only Minute data. As I am going to be backtesting with indicators that require tick data (Volume based: VWAP,etc.) How can I get around this problem for accuracy? Some of the other data providers don't offer the IBKR benefits. As I want realism in my trading I want to account for commisions and slippage in my calculations also? I have to add these. As I don't have a knowledge of programming language, I am considering trying Shark Indicators to test my ATM strategies eventually.

[NinjaTrader_Sev]

Hello P Marshall,

Thank you for the inquiry.

That is correct; Interactive Brokers provides historical minute and daily data but does not provide historical tick data that has been bid/ask stamped.

Many NinjaTrader platform users who trade with Interactive Brokers utilize Kinetick as an additional data provider. Kinetick will provide 180 days of unfiltered historical tick data, which you can use for charting and backtesting.

The Basic Service package will include historical tick data for most markets. The Basic Service package for $65/month is our base fee for receiving market data and real-time exchange fees can be added individually to suit your trading needs. You can view a list of supported exchanges and the corresponding exchange fees from the Kinetick subscription page:

• https://kinetick.com/Subscribe

Please do not hesitate to contact us for any other NinjaTrader inquiries you may have.