Emini continuous contract for charting/testing

[suedeuno]

This would be a big help.

[NinjaTrader_Jason]

Continuous contracts are supported with eSignal and IQFeed in our software. You will need to set the Expiry to ##-##.

In addition, you can merge instruments to create a continuous contract.

http://www.ninjatrader-support.com/HelpGuideV6/Merge.html

[eswap0]

Continuous contracts are supported with Interactive Brokers and IQFeed in our software. You will need to set the Expiry to ##-##.

In addition, you can merge instruments to create a continuous contract.
http://www.ninjatrader-support.com/H...eV6/Merge.html

I added the instrument ES XX-XX as you mention.
I am connected to IB.
Please, check the error message I get.
Can I do something appart form merging?
Thanks!

PS: by the way, is there any other data feed where I can get historycal data for continuous contracts (ES, Gold, Soya, etc..)?

[NinjaTrader_Jason]

Hello eswap0,

My apologies, I meant to state eSignal and IQFeed. Unfortunately IB does not support continuous instruments. I have edited my initial post as well.

You will need to merge contracts to create a continuous contract.

http://www.ninjatrader-support.com/HelpGuideV6/Merge.html

[mgbloomfield]

What about OpenTick? OpenTick has continuous contracts.

I'm able to use their OpenTick API to downlaod continuous contracts.

[NinjaTrader_Jason]

You will need to test this on your end to see if it will work. Add an instrument to your instrument list using the ##-## expiry and check if you receive data when connected to OpenTick.

You might need to use a different symbol mapping; I am not sure. I suggest to check with OpenTick if this could be the case. If so, please highlight the instrument in the Instrument Manager and click Edit. Click the Misc-tab and modify the symbol mapping next to OpenTick accordingly.

[justme]

Continuous contracts are supported with eSignal and IQFeed in our software. You will need to set the Expiry to ##-##.

In addition, you can merge instruments to create a continuous contract.
http://www.ninjatrader-support.com/H...eV6/Merge.html

but u can't trade off the continuous contract, right?

[NinjaTrader_RJ]

but u can't trade off the continuous contract, right?

Hi Justme,

Correct, the continuous contracts are only offered by data feeds, so you would used the current front month to trade with your broker.

[mgbloomfield]

You will need to test this on your end to see if it will work. Add an instrument to your instrument list using the ##-## expiry and check if you receive data when connected to OpenTick.

You might need to use a different symbol mapping; I am not sure. I suggest to check with OpenTick if this could be the case. If so, please highlight the instrument in the Instrument Manager and click Edit. Click the Misc-tab and modify the symbol mapping next to OpenTick accordingly.

For OpenTick, it works beautifully. I didn't have to Edit the properties of the symbol. ES ##-## does the trick.

I went back 500 bars, I went back 12 months, etc. All the continuous data appears on my chart.

Bye-buh data merge. I was never confident that I was doing it correctly. This should be in the FAQ or something.

[NinjaTrader_Jason]

Hello mgbloomfield,

Thank you for reporting back and informing the continuous contract works with OpenTick.

[r2kTrader]

OpenTick || Continuous Contract

I would like to know if anyone is interested is building some continuous contracts for backtesting. The idea would be to focus on the most common. This is definitely the one thing I miss from TradeStation :-( And also the only thing I miss ;-)

Also, OpenTick. What is the deal with them? I have been waiting for 2 years, and still no account. If anyone has access and can build some continuous contracts for us to download and keep updated, that would be awesome. 5 years of data would be a dream. The hassle of merging is brutal and extremely time consuming. Also, if I try to go back more than 2 contracts, it is saying my contract symbol is invalid. I have zen-fire demo and also paying for barchart. Can't seem to build more than 2 contracts of continuous data.

Anyway, if anyone wants to work on this with me, I think we could all benefit. Then once we get a master account, we could update it quarterly. I am not sure if there are copyright issues, or anything of the like. But this is something that is much needed.

Also, Ninja Developers. And this is something to consider, and I am sure you are busy. But why not have Ninja auto-build the contract based on date range? It has all the info it needs to know which contracts to pull and merge. Just a thought. Manually doing this is a pain. Especially for 6 instruments or more, lol.

Don't get me wrong, I am impressed with what you are doing and appreciate the hard work.

[NinjaTrader_Jason]

Hello r2kTrader,

Are you able to merge ES 06-08 data into the ES 09-08. Followed by merging the 09-08 data into the 12-08 contract and so on?

During what specific step do you experience the error message?

I will forward your suggestion regarding auto-building contracts to our development team and ask them if they can add this to the list of future considerations for the software.

Thank you for your feedback.

I have been informed this will be supported in NinjaTrader 7; its beta version is expected to be released the second quarter of 2009.

[r2kTrader]

Continuous Contract

Jason,

Thank you for the prompt reply.

Regarding your post of adding 06-08 ES contract to the 09-08 ES contract, and then that into the current contract, no I have not tried that nor did I understand that it was the way to do it.

With that being said, it would seem you need this approach in order to sync the data accurately? Is that why?

I'm using Barchart.com and I am not aware of a continuous contract. I have their emini package for the bare minimum feed costs. I would be happy to share my experience with others as well as compare rates, etc.

One thing (which I will be posting in a separate thread) with barchart is that it tends to disconnect and then not re-connect. I want to see if there is a way I can programmatically re-connect if it goes down. I have some strategies that use TICK/TRIN etc. so if I lose that data, it's not good ;-)

Anyway, I am here if anyone wants to exchange ideas, etc.


Thanks,



R2Ktrader

[r2kTrader]

Jason,

I tried what you said. I did 12-07 contract with dates from 3rd friday of 9/07 to 3rd Friday of 12/07 and tried to put it in the 03/08 contract (all TF by the way).

Anyway, it says "You need to select a valid Instrument".

I was going to start from the earliest contract and build all the way up to present. I can't do more than 2 contract months.

I am going to see if I can do it with ER2 as this may have to do with the symbol change. I will report my findings and for testing, I probably should have started with ES (which I will try as well).

[UPDATE]
I just tried changing to ER2 and then I tried doing same for ES as the symbol. I received the same error. I am using Zen-Fire demo. Will try now with Barchart for ES.

[UPDATE 2]
Tried with Barchart, still no luck. I tried exactly what you suggested. Please see attachment for settings used. I'm tired, so it could be something I am overlooking.







R2Ktrader

Hello r2kTrader,

Are you able to merge ES 06-08 data into the ES 09-08. Followed by merging the 09-08 data into the 12-08 contract and so on?

During what specific step do you experience the error message?

I will forward your suggestion regarding auto-building contracts to our development team and ask them if they can add this to the list of future considerations for the software.

Thank you for your feedback.

I have been informed this will be supported in NinjaTrader 7; its beta version is expected to be released the second quarter of 2009.

[r2kTrader]

*bump* - still can't do merge of historical data

Waiting for reply from support