Futures Instruments and AddDataSeries

[lismartin]

Hello Support Team,

I have developed a strategy that uses 2 Futures instruments, ES (primary data series) and VX (secondary). This means I'm using AddDataSeries() method.

According to documentation:

Arguments supplied to AddDataSeries() should be hardcoded and NOT dependent on run-time variables which cannot be reliably obtained during State.Configure (e.g., Instrument, Bars, or user input). Attempting to add a data series dynamically is NOT guaranteed and therefore should be avoided.

Knowing this I have set my secondary data series to VX ##-##, which it has worked in Backtesting phase because I have used Kinetick as data provider.
My broker is Interactive Brokers and I'm entering my Simulation phase, so when trying to enable the strategy it throws an error in the screenshot attached.

What's the best way to handle this?

[NinjaTrader_Jesse]

Hello lismartin,

Thank you for the post.

In this case the message is quite literal, it was not able to locate the instrument because that is not offered with IB.

Are you going to have the Kinetick connection also while using IB or will you only be using IB for data? If you are using both, you can try to set your preferred connection as Kinetick in the options menu. Thats the tools -> options -> market data -> preferred realtime/historical connections for futures instruments as Kinetick. This would still not allow trades to be placed to the ##-## but may work to load data. Otherwise the contract would be needed.

I will put in a vote for the feature request to allow dynamic series in NinjaScript as well.


I look forward to being of further assistance.

[7robert]

Hello Jesse, we want to use only interactive broker data to perform the simulation.

But if we manually place the current contract, should we update it every time it changes? That update shouldn't be automatic?

Thanks!

[NinjaTrader_Jesse]

Hello 7robert,

Correct, there is no means to make this change automatic so you would need to edit the script if you change the front month. This is a side effect of trading futures because it is not a single instrument and there is no means of adding data dynamically. Each contract is very similar to its own instrument in terms of how trading is handled, the master instrument contains the rollovers but you would specify the exact contract you wanted to trade with when actually using the instrument.

I look forward to being of further assistance.