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InteractiveBrokers IB data feed error with SB (sugar)
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InteractiveBrokers IB data feed error with SB (sugar)

  #11 (permalink)
Elite Member
Charlotte NC
 
Futures Experience: Advanced
Platform: Charts:Ninja Trader w/IB, execution:TOS
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Favorite Futures: CL, ES, ZN, ZB, RUT.
 
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I see now only January was redundant. The rest of the months were ok.
I don't understand the rollover dates. Why a 2011 contract will have a 2010 rollover date? And why are you suggesting Sept 2010 (I am sure you have a good reason ?
Thank you for your help.

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  #12 (permalink)
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meyer99 View Post
I should probably delete all months except March, May, July and October, no?

Yes, as NinjaTrader has January, March, May, July and October, that comes back to the same. Delete all January contracts and do not forget to change the rollover dates, because you need to roll October to March by September 15. NT will load the appropriate offsets if the field is left empty. If it is not empty delete the old value for the offset.


Last edited by Fat Tails; November 25th, 2010 at 04:58 PM.
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  #13 (permalink)
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meyer99 View Post
I see now only January was redundant. The rest of the months were ok.
I don't understand the rollover dates. Why a 2011 contract will have a 2010 rollover date? And why are you suggesting Sept 2010 (I am sure you have a good reason ?
Thank you for your help.


You need to look up the contract specifications first, if you trade something.

SB 10-10: The last trading date was September 30, 2010. So you cannot trade that any more, as we have November. Prior to expiry of the old contract you need to shift to the next front month, which is March 2011.

You will select the day as rollover day, when volume has shifted to the new contract. You can check this yourself. Pull up a daily chart on TWS for SB 10-10 then for SB 3-11 and look at the volume. Now select rollover day as the first day, when the volume of the new contract exceeds the volume of the old contract. You will get something like September 15, because typically volume for SB shifts about 10 to 15 days prior to expiry from the old to the new contract.


Last edited by Fat Tails; November 25th, 2010 at 04:57 PM.
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  #14 (permalink)
Elite Member
Charlotte NC
 
Futures Experience: Advanced
Platform: Charts:Ninja Trader w/IB, execution:TOS
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Fat Tails View Post
You need to look up the contract specifications first, if you trade something.

SB 10-10: The last trading date was September 30, 2010. So you cannot trade that any more, as we have November. Prior to expiry of the old contract you need to shift to the next front month, which is March 2011.

You will select the day as rollover day, when volume has shifted to the new contract. You can check this yourself. Pull up a daily chart on TWS for SB 10-10 then for SB 3-11 and look at the volume. Now select rollover day as the first day, when the volume of the new contract exceeds the volume of the old contract. You will get something like September 15, because typically volume for SB shifts about 10 to 15 days prior to expiry from the old to the new contract.

Fat tails,
The reason I asked the question was cause i looked at the other expirations in 2011 and they all showed 2010 rollovers. After I deleted 1-11 and restarted NT all the other rollovers now show 2011 dates. So all is good now.
I managed to backfill SB 3-11 from IB.
Thank you for your help.

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  #15 (permalink)
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meyer99 View Post
Fat tails,
The reason I asked the question was cause i looked at the other expirations in 2011 and they all showed 2010 rollovers. After I deleted 1-11 and restarted NT all the other rollovers now show 2011 dates. So all is good now.
I managed to backfill SB 3-11 from IB.
Thank you for your help.

This is a somehow tricky the first time only. Once you know how to do it, it is pretty easy to setup all instruments correctly. For the financial futures the default settings are ok, but for metals, agriculturals, etc. you need to check all bits...

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  #16 (permalink)
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The only issue left now is that IB quotes SB as 0.2873 while Zen Fire quotes 28.73, so I cannot backfill with IB and then switch to Zen Fire to trade. The charts show huge gaps. Since I trade with a broker that uses Zen Fire I cannot use chart trader if I have an IB feed chart. Not a big deal.

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  #17 (permalink)
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meyer99 View Post
The only issue left now is that IB quotes SB as 0.2873 while Zen Fire quotes 28.73, so I cannot backfill with IB and then switch to Zen Fire to trade. The charts show huge gaps. Since I trade with a broker that uses Zen Fire I cannot use chart trader if I have an IB feed chart. Not a big deal.

So, why don't you use Kinetick EOD/Zenfire to display the SB 3-11 contract? They both quote in cents, so that would be compatible.

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  #18 (permalink)
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Fat Tails View Post
So, why don't you use Kinetick EOD/Zenfire to display the SB 3-11 contract? They both quote in cents, so that would be compatible.

I will try. I was under the impression that Kinetick EOD is only daily data. thanks.

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  #19 (permalink)
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meyer99 View Post
I will try. I was under the impression that Kinetick EOD is only daily data. thanks.

Kinetick is only daily data, but you can first-connect to Kinetick for daily data and second-connect to Zenfire for intraday data. NinjaTrader 7.0 will then load daily data from Kinetick and intraday data from Zenfire.

However, if you do this, you cannot SIM-Trade as Kinetick does not support SIM. But you can do real trades, once you selected your Zenfire account.

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  #20 (permalink)
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Fat Tails View Post
Kinetick is only daily data, but you can first-connect to Kinetick for daily data and second-connect to Zenfire for intraday data. NinjaTrader 7.0 will then load daily data from Kinetick and intraday data from Zenfire.

However, if you do this, you cannot SIM-Trade as Kinetick does not support SIM. But you can do real trades, once you selected your Zenfire account.

Are you saying that if I do it this way ZF will back fill with intraday data? I do not need historical daily, just historical minutes.

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