Welcome to NexusFi: the best trading community on the planet, with over 150,000 members Sign Up Now for Free
Genuine reviews from real traders, not fake reviews from stealth vendors
Quality education from leading professional traders
We are a friendly, helpful, and positive community
We do not tolerate rude behavior, trolling, or vendors advertising in posts
We are here to help, just let us know what you need
You'll need to register in order to view the content of the threads and start contributing to our community. It's free for basic access, or support us by becoming an Elite Member -- see if you qualify for a discount below.
-- Big Mike, Site Administrator
(If you already have an account, login at the top of the page)
Historical Data / Continuous Contract issue in NT8, help please.
Hello all,
I am frustrated with the support so far from Ninja, the dude I'm speaking with there seems to not know too much about NT. So I am tossing the question out here to see if I can resolve my issue easier, maybe someone here has already done this?
I have data for the 6A symbol from 13/1/1987 - 30/3/2016 as a continuous file.
I have loaded it in a chart as a continuous contract thus 6A ##-##, but it won't update to the current contract.
I have tried everything I can think of but nothing seems to work. My understanding is that this continuous contract should just update to the current contract automatically.
When I open a new 6A normal chart now for example, 6A 03-17, I only get data back to 2009.
I have attached some screenshots.
I am using NT8, merge policy "merge non back adjusted".
Bottom line is I need to be able to display the data back to 1987 in my daily, weekly and monthly charts. And have it roll over to include the current contract as normal.
Has anyone been doing this sort of thing? Any help appreciated.
Trading: The one I'm creating in the present....Index Futures mini/micro, ZF
Posts: 2,311 since Nov 2011
Thanks Given: 7,341
Thanks Received: 4,518
What data are you using please?
Ask Ninja to call you and do a remote login to you machine. They will, just tell them your time zone phone number and a timeframe for calling.
I had very good results convincing Ninja of my issues by making videos and posting to YouTube showing them the exactly how to reproduce it and showing them the problem happen right in the video. You can post your videos as unlisted if you like and only people with a link can view it. Searching won't pull it up like this.
So much of communication is non-verbal a lot gets lost in email.
Hi Ron,
The original data was from Norgate, up to 2014, then I added a bit from IB, and the last bit was from Continuum.
All stitched together perfectly in on file.
I have attached the file here.
Ken.
Hi Ken,
Did you ever get a clear answer on this - How to set up Continuous Contracts for Futures (symbols) on the NT8 platform? With IQ-Feed for example. There was a hash option with NT7, eg. [ES ##.##], but this seems to have been removed for some reason. Thou it may be entered manually.
Clearly the Ninjatrader guys do not have an incentive to fix the issue (or to include the continuous contract feature within NT8) because they are clearly profiting from one of their other affiliated websites (the Market Replay guys).
The Market Replay people sell a subscription for $149.
Were you able to correct the problem and / or aquire the data you needed to display?
I have about 200GB of Market Replay data at the tick level but cannot get it into a useful format for backtesting, etc.
Anytime that I have tried to get NT7 to export it nothing happens.
I am not sure how to move it (or Historical Data downloads) into continuous contract data.
I just want to have as accurate of backtesting as possible for a neural network I am building out.
I would like to turn Ninjatrader Historical and / or Market Replay data into datastreams which are backtestable.
How can we solve this problem and what can I do to help us both out?
I have a feeling the more I read around on the NT forum that this is a touch issue, so feel free to PM me...
Hi,
Market data can't profit from this issue. The continuous contract is the same as the quarterly contracts, except it never ends. And is a slightly different symbol to the monthly. ie, Aust dollar futures = 6A 06-18 current contract, continuous contract which is supported in NT7 = 6A ##-##. The format is a .txt file. As such, Date;open;high;low;close;volume. 19870113;0.646;0.647;0.642;0.6422;1854 (from 13/01/1987).
You have to get your data into this format and then name the file as per each quarter that it relates to ie, 6A 06-18.Last.txt, or if you are making a continuous file, which will only be able to be used in NT7, the file name would be 6A ##-##.Last.txt. These examples are of course for the Aust dollar futures.
If you are exporting the data from NT7, I believe from memory I did it by exporting to .csv from my Norgate data subscription, and then converted it to the above format in notepad. It does take a bit of mucking around at first. I seem to remember doing some or maybe all of the conversion in excel, and maybe copy and paste into notepad? Not sure now, it was a while ago. And I have not bothered to pursue it any further. I just don't use that same long term overall analysis in my trading any more due to the lack of support for continuous contracts in NT8. In NT7 I had my data file for cont data in the 6A back to it's inception in 1987.
Thank you for your reply. I should have been more specific. In other words the Market Replay data company (marketreplay.net) would appear to be making a tidy profit off of their subscriptions which sell continuous contract data.
Hmmmm, I wonder if their download utility software might be able to be modified to access the historical data fee instead of the market replay data feed...
Upon a quick cursory examination, it appears that several of the data feed companies have different names, but are associated / tie back to the DTN IQ guys.
This data feed situation reminds me of the godaddy webhosting masquerading situation (one company allows dozens of other associates to list and mark up their product).
