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Continuum Historical Vix Futures Tick Data

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    Continuum Historical Vix Futures Tick Data

    Hi NT8,

    How far back does your Continuum historical tick data go for each individual VIX Futures contract?

    I ask because I tried to download as many years as possible for the symbol "VX 12-16" as (shown in attached 1.jpg) but the earliest data it downloaded for "VX 12-16" was from 11/10/2016 (as shown in 2.jpg).

    Thanks.
    Attached Files

    #2
    Tick data is stored for the most popular futures data for 1 year. I am able to request at least 1 year of VX tick data when I test on my end.

    The rollover date between VX 11-16 and VX 12-16 is the 14th. I suspect that if you expand the 11-16 section of your historical data you would see data up to at least the 13th for this contract.

    If you want to download one specific month you will need to change your merge policy.
    • Tools > Options > Market Data
    • Change the 'mergy policy' to 'Do not merge'


    However, there will most likely be little to no volume for the VX 12-16 in April, for example. The merge policy by default merges the current front months together to simulate a 'continuous' chart.
    Last edited by NinjaTrader_PatrickG; 01-04-2017, 08:53 AM.
    Patrick G.NinjaTrader Customer Service

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      #3
      Thanks Patrick. That worked great!

      Is it now still possible for me export the VX data to a CSV file as a continuous contract (without deleting from my historical database any of the additional data I downloaded for each specific VX expiration month)?

      If so:
      1. What exactly would I type into the area circled in red in attached A.jpg?
      2. Before I do the export would I need to change the "mercy policy" you mentioned back to its default setting?

      cheers
      Attached Files

      Comment


        #4
        Continuous contracts are not supported by NinjaTrader 8's historical data servers.

        You would need to export individual contract months and then merge them together manually to create a continuous contract, however, you can now re-create a 'continuous' contract simply by loading the front month with your merge policy set to 'merge back adjusted'. This automatically merges past contracts together according to their rollover date.
        Patrick G.NinjaTrader Customer Service

        Comment


          #5
          however, you can now re-create a 'continuous' contract simply by loading the front month with your merge policy set to 'merge back adjusted'. This automatically merges past contracts together according to their rollover date.
          I changed the setting to 'merge back adjusted', then selected VX 02-16 and exported a year of of it to CSV. However, the CSV was not a 'continuous' contract of VX (it only contained data for the VX contract that expired on 02-16 )

          Any idea what I did wrong?

          Comment


            #6
            Yes, that's expected. NinjaTrader does not export data in 'merge back adjusted' or 'continuous' format. You would need to manually merge together individual contract's data to create a continuous contract.

            I mention these merge settings because it is no longer necessary to use a 'continuous' contract as NinjaTrader creates this for you automatically by default on your charts using the built in rollover dates.
            Last edited by NinjaTrader_PatrickG; 01-05-2017, 03:33 PM.
            Patrick G.NinjaTrader Customer Service

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