Since I'm testing out a strategy that doesn't hold overnight, I just exported each month's tick data for the "active" months (highest volume). I then renamed them one at a time to CL ##-##.txt and imported them. Now my CL ##-## has the tick data from each "active" month and I can test several months at a time. If only NT didn't crash.
Continuous Tick Data from 7/20 - 12/10
Minute data included as well
At the end of the month I'll make a zip for all of 2009 and put it in the file section..
Let me know if you find it useful or have comments. I should point out that this is for daytrading, I didn't do any adjustments for the rollovers since I don't hold CL overnight (who does such a thing?)
PS: I named the file incorrectly, it's 07-20-2009 to 12-10-2009
The following user says Thank You to cunparis for this post:
Thanks... this would be very useful except I just cant seem to get this to import. Not sure what I am doing wrong. I created an instrument CL ##-##. I imported the historical data from the file also titled CL ##-##, but when I try to load the CL ##-## instrument on my chart, it just comes up blank. Am I missing something obvious here?
What do you mean you created an instrument? The CL should already exist in the instrument manager. All you should have to do is import the file I believe. Try deleting the instrument you created (backup your Ninjatrader first just to be sure) and then try importing it.
I think I might be confused as to how to do this... I added an instrument to my default list selecting CL as the instrument and ##-## as the expiry -- I didn't actually create a new one.
Is this not correct? Do I not need this in my instrument list before I import? I have CL 01-10 and CL ##-## listed currently.
After I import, isn't the data supposed to be in the ##-## instrument in the list if the data file is titled CL ##-##? Maybe I don't fully understand the capabilities of NT but I wanted to have the historical data backfilled in the same instrument as the current contract so that I could use longer term Market Profile or the new volume ladder/profile indicators Gomi posted.
You don't have to add the ##-## to your default list but it makes it easier to select it in a chart or strategy analyzer.
Pull up a chart of CL ##-## for 7/20 - present and see if you have the data. Look for minute & tick data.
I don't recommend adding this data to the current contract, it's better to export your current contract and then rename the file to CL ##-## and then import that. That's how I keep my continuous contract up to date.