NinjaTrader 7 Continuous Contracts

September 19th, 2016, 05:54 AM

Hi,

I am busy looking at backtesting certain strategies in NinjaTrader and I could not find any reference to how historical prices are handled within Ninja.

I am using DTN IQ data, and based on the historical data manager, it looks like the data for each contract (I have gone back to 2011) is shown with actual prices. I am planning on backtesting over longer periods, so I would need either a) continuous contracts to avoid the roll-over gaps (preferred method), or b) a method to identify when the contract has changed from the older to a newer contract.

Would appreciate it if someone can provide some insight into whether NinjaTrader can create a continuous contract from all of the DTN data, or if DTN already has this in their database. If DTN already has this in their database, how would I load this into Ninja?

Thanks in advance.

September 19th, 2016, 06:01 AM

grausch

Hi,

I am busy looking at backtesting certain strategies in NinjaTrader and I could not find any reference to how historical prices are handled within Ninja.

This is probably what you are looking for :

Quoting

Yes, this is as expected. NinjaTrader merges data automatically when you request historical data that spans multiple expiries (depending on the 'Merge policy' setting). Go to Control Center-->Tools-->Instrument Manager, highlight an instrument and click Edit. Check what setting is used for 'Merge policy'.

If enabled and you request historical data that spans across multiple expiries, it will automatically merge data from previous expiries in the chart. It will be merged as per the rollover dates that are setup.

If disabled (DoNotMerge) you will only load historical data for the expiry in question.

You can check the rollover date as follows. Please go to Control Center-->Tools-->Instrument Manager. Highlight an instrument in the 'Available master instruments' section and click Edit once more.

Subsequently select the Misc-tab and scroll to the bottom. Select the 'Contract months' row and click the '...' button that appears. Select an expiry month and you will see a rollover date listed. You can change the rollover date if you like.

For example, the ES 06-13 expiry is using a rollover date of 3/7/2013. This means historical data before this date will be loaded from the 03-13 expiry and so on.

If you like to load continuous data, you will need to use the ##-## expiry. So highlight the ES and set Expiry to ##-## in the Instrument Manager and click the arrow pointing to the left.

September 19th, 2016, 07:33 AM

@rleplae,

Thank you - Using ##-## creates a contract that look to be continuous.

NinjaTrader 7 Continuous Contracts

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NinjaTrader 7 Continuous Contracts