IB & Historical Data in NT7B6

[nutz505]

When I start up NT7B6 or change to a different Chart it seems that NT is ignoring the database and always going to the server to get the data. I am currently using this with Interactive Brokers in simulation mode. I checked on NT6.5 and everything is still working fine.

Originally I tried converting my 6.5 database which has historical data in it it was still causing me problems so started with a fresh database and I have not loaded the historical data as of yet. The futures contracts need to be broken out into there individual contracts now instead of just loading everything into the front month.

I am attaching a couple of pictues of a 15min chart and a 60 min chart. Notice the 15min chart is fine however the 60min chart has not data other than the ticks that have come in since I opened the chart.

[NinjaTrader_JoshP]

Try right clicking>Reload Historical Data to get fresh data set. Then try creating a new 60 min chart. If you get data in a 15min chart, you should get the same in the 60min.

[nutz505]

Josh,

I do that however it does not seem to work on the current front month contract for Crude Oil - CL 02-10. This works fine in NT6.5

I have attached the trace file when I try and get the data from IB.

Thanks
Rich

[NinjaTrader_JoshP]

Please go to Tools>Options>Data and try setting the merge to DoNotMerge and then reloading again.

[Harry]

When trying to merge CL, my chart only showed a few meagre bars.....

As is known, there is a specific problem with Interactive Brokers and CL (applies to all NYMEX energy futures), see this thread.

http://www.ninjatrader-support2.com/vb/showthread.php?t=16341

As long as the interface does not work, I would definitely not touch CL....

[nutz505]

Josh,

That worked thanks for the info.

Harry,

Thanks for pointing me to the thread very enlighten

Rich

[nutz505]

Futures Contracts Historical Data

When I load historical data for futures contracts do I need to load them in to each individual contract.

For example for ES
ES 12-07
ES 03-08
ES 06-08
ES 09-08
ES 12-08

Thanks
Rich

[NinjaTrader_Ray]

Yes if you only want to chart a specific contract such as ES 03-09. If you want to chart the current front month (ES 03-10) but chart 12 months back, you do not have to load each contract month, just chart ES 03-10 and NT takes care of loading the expired months and merging into the front month.

[nutz505]

Ray,

Thanks for the answer, I am probably not explaining it clearly.

I have Interactive Brokers as my provider and they only provide 1 year of historical data as I am sure you are well aware.

I have purchased historical data that is already formatted for Ninja Trader import. In 6.5 it was an easy load just load it into the front month contract and you were good to go just merge the data once the current front month expired.

Now with NT7 and how it will handle the merging of the prior contract data I think from my standpoint what is unclear is how does that data need to be loaded since it would appear that loading one big file will not suffice any more.

I think I need to parse up that large file used in 6.5 into the respective contracts and then load each individual historical contract? Is that part correct?

Sorry for the rambling post.

Thanks for your time
Rich

[NinjaTrader_Ray]

Thanks for the clarification. I have a follow up question(s) before I can respond...

- Is the historical data you purchased broken down by each actual contract month OR
- Is it one continuous data file that represents multiple contract months
- If the latter, is it already then merged and propertly back adjusted or is it raw data of ACTUAL traded prices (not adjusted)

[nutz505]

Ray,

The data is one continuous file with the pricing already back adjusted.

Thanks
Rich

[NinjaTrader_Ray]

Off the top of my head, several options...

- You could break up the file into its respective contract months and import each file via Tools > Historical Data Manager. Then for the contract (ES for example) go to the Instrument Manager and set the "Merge policy" to "MergeNonBackAdjusted"

- You could import into the current front month and set the "Merge policy" to "DoNotMerge". The only issue here is that as you roll into the next contract month, you would have to export the data from the prior month, manually adjust this data and then import into the front month again

- You could see if you can get the raw nonbackadjusted data, and import as per my first option and then set the merge policy to "MergeBackAdjusted"

Hope this helps.

[NinjaTrader_Dierk]

Note, if you're working with "MergeBackAdjusted" then please make sure you are aware of that pending issue: http://www.ninjatrader-support2.com/...ad.php?t=24130

[justme]

Off the top of my head, several options...



- You could import into the current front month and set the "Merge policy" to "DoNotMerge". The only issue here is that as you roll into the next contract month, you would have to export the data from the prior month, manually adjust this data and then import into the front month again


Hope this helps.

Ray,

Why must we export and reimport after rollover. Doesn't NT just pull the historical data from the DB?

[NinjaTrader_Ray]

Ray,

Why must we export and reimport after rollover. Doesn't NT just pull the historical data from the DB?

Since you have an already merged/back adjusted data file, you are telling NT NOT to merge data. Then as the contract expires, you have to export this data, self adjust the prices and import it back into the front month so that the data values are all correct historically.

If this does not sound like fun, then your best bet is to get the raw data (non adjusted) and import the data into each expired contract month. Leave the merge policy to "MergeBackAdjusted" and NT will always take care of grabbing from the DB, merging and back adjusting... The key is getting the raw unadjusted data --> Which you don't have right now.