No market data permission for Nymex Fut

[jakjak74]

Hi
I am trying to extract crude oil historical data from IB. I have connected my NT8 to TWS and can see the data CL April 17 and May 17 in TWS.
I have asked the CL 04-17 data in NT8 . However both for daily and intraday data I receive this error message

Error on requesting bars series:"Historical Market Data Service error message: No Market data permission for NYMEX FUT".

Could you please let me know why I do see this error message whereas IB seems to provide me the data in TWS?

Thanks for your help

[NinjaTrader_AlanP]

Hello jakjak74,

Thank you for writing in.

What version of TWS are you using? For example TWS version 697.

Are you enabled for real time data for the CL in IB or delayed?

Are you able to pull data for any other instrument in NT using the IB connection?

I look forward to your reply.

[jakjak74]

Hi Alan
I am using one of the latest versions: 962.3
Also I have been using the TWS paper trading account and passed orders to it successfully when using Forex (meaning I can get FX data from it in NT)
I have access to real time CL data in TWS.
Thanks

[jakjak74]

Hi Alan, I had finally to pay IB. It wasn't real data I was having before.
Now I can get real time market data, however I can't get historical data.
For example for CL 04-1, I only get the data since the moment I open the chart but not before. How can I obtain historical data as well for doing backtests?
Is the historical data only available for the "continuous contract"?
Thanks

[NinjaTrader_AlanP]

Hello Jakjak74,

You should uninstall version 962.3 and TWS 960.2 which can be downloaded here.

http://ninjatrader.com/ConnectionGuides/Interactive-Brokers-Connection-Guide

Regarding historical data, if you go to Control Center>Tools>Options, under Categories>Market Data, is Get Data from Server Checked?

Continuous charts are built using the individual contract data, which NinjaTrader would pull from IB, so it should be no issue displaying this type of chart in NT.

I look forward to your reply.

[jakjak74]

Hi Alan thanks
is Get Data from Server is Checked. I can't retrieve data before the time I launched the graphic.
I have also tried to take the continuous contract CL ##-##, but here I have absolutely no data coming in.
What else could stop the historical data to be loaded?
And is CL ##-## correct ?

[NinjaTrader_AlanP]

Hello jakjak74,

Continuous contracts are not supported with IB, I apologize for not mentioning this in my previous post.

You can use the default merge policy of MergeBackAdjsuted and open the current front month to have past contracts merge to the current and adjust for gaps at rollover similar to a continuous contract. This setting is under Tools> Options> Market Data

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

http://ninjatrader.com/support/helpGuides/nt8/en-us/?options_marketdata.htm

Please let us know if you need further assistance.

[Vispilio]

Hello jakjak74,

Continuous contracts are not supported with IB, I apologize for not mentioning this in my previous post.

You can use the default merge policy of MergeBackAdjsuted and open the current front month to have past contracts merge to the current and adjust for gaps at rollover similar to a continuous contract. This setting is under Tools> Options> Market Data

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

http://ninjatrader.com/support/helpGuides/nt8/en-us/?options_marketdata.htm

Please let us know if you need further assistance.

Hi Alan,

in the newer versions of IB including TWS 960.2g, continuous futures contracts are supported. For example right now for Silver Futures SI ∞ Mar'29'17 is the continuous future contract, and the chart on IB displays everything merged.

However when we try to extract the historical data of this into Ninja Trader, instead of collecting all historical data under 1 symbol, NT7 distributes all downloaded historical data into individual past expiries of Silver (like SI Dec'16, Jul'16, May'16 and so on all the way back)..

Is there a way to download this continuous future contract's data under 1 consolidated symbol on NT7, that would be so much simpler for backtesting purposes ?..


Best,
Vispilio

[NinjaTrader_AlanP]

Hello Vispilio,

If you go to Control Center>Tools>Options and click the Market Data tab, and uncheck “Get data from server”, then type SI ##-##, are you able to view a continuous contract?

I look forward to your reply.

[Vispilio]

Hello Vispilio,

If you go to Control Center>Tools>Options and click the Market Data tab, and uncheck “Get data from server”, then type SI ##-##, are you able to view a continuous contract?

I look forward to your reply.

Hi Alan, when I try to load the SI ## ## chart, it gives an error message that requested name doesn't exist in IB database, so basically NT7 is not reading these infinity denoted continuous futures products of IB, is there a way to access the consolidated data of these continuous instruments that IB introduced with the recent updates ?

Note that with the current IB codes, whatever expiry we load it ends up loading data of individual Future expiries at IB, instead of the consolidated continuous contract...

Best,
Vispilio

[NinjaTrader_AlanP]

Hello Vispilio,

May I confirm you made the change to not get historical data from server?

I look forward to your reply.

[Vispilio]

Hello Vispilio,

May I confirm you made the change to not get historical data from server?

I look forward to your reply.

Hi Alan, I did not make that change because I'm live trading at the moment, I can only follow your suggestion on Friday after close of trading...

Does the chart SI ##-## only populate offline ?, as an aggregate of existing data on all individual Silver expiries then ?

The most straightforward way would be to get the continuous future data from the continuous contracts of IB denoted with ∞, let me know if we can extract the historical data of this product directly into NT7 database...

[NinjaTrader_AlanP]

Hello Vispilio,

Because IB does not support continuous data, I would not expect SI ##-## to work while connected to IB. If you’d like to see a continuous contract, I would suggest charting the front month and setting your merge polices to MergeBackAdjusted or MergeNonBackAdjusted. This should draw a continuous contract.

See the Understanding the Contract Months section of our helpguide:

https://ninjatrader.com/support/helpGuides/nt8/en-us/?editing_instruments.htm

See the Merge Policy section of our Helpguide:

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

The structure for the Market Replay and Historical Data files are different for NinjaTrader 7. This means you can't simply copy and paste the data files or export them and implement them in NinjaTrader 8. The only current method is a fresh install of NinjaTrader 8 and opting to do the migration.

Please let us know if you need further assistance.

[Vispilio]

Hello Vispilio,

Because IB does not support continuous data, I would not expect SI ##-## to work while connected to IB. If you’d like to see a continuous contract, I would suggest charting the front month and setting your merge polices to MergeBackAdjusted or MergeNonBackAdjusted. This should draw a continuous contract.

See the Understanding the Contract Months section of our helpguide:

https://ninjatrader.com/support/helpGuides/nt8/en-us/?editing_instruments.htm

See the Merge Policy section of our Helpguide:

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

The structure for the Market Replay and Historical Data files are different for NinjaTrader 7. This means you can't simply copy and paste the data files or export them and implement them in NinjaTrader 8. The only current method is a fresh install of NinjaTrader 8 and opting to do the migration.

Please let us know if you need further assistance.

Hi Alan,

Indeed we can see continuous future data on the front month's chart with the merge policies in place; however we cannot run a multi year backtest on this data as it's an aggregate of individual expiries each stored separately in the NT7 historical database...

It would be very convenient if there is a way to merge all the historical data of a future class under a single instrument on NT7, or export all the individual expiries' data in a consolidated format (using the appropriate roll offset for each expiry. Currently there is nothing stored under SI ## ## for example in the historical data tab). Let me know.

Best,
Vispilio

[NinjaTrader_AlanP]

Hello Vispilio,

Setting your merge policy to merge back adjusted, pulling up a strategy analyzer, setting the dates to span say 2 years (if you have 2 years of individual contract data, and using the front month as a symbol to test, the backtest will return the same results of what a SI ##-## contract would. It will appear as though all trades were made in the front month, however that is not the case and you can confirm this by confirming you do not have data for that front month 2 years back.

Please let us know if you need further assistance.