continuous charts with IB

[Joerg]

Hello,

if I try to load hist. data for cont. contracts from IB I get the following failure message:

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Error on loading chart data for 'ES ##-## Globex': IB Simu: Error in requesting historial data from IB: No security definition has been found for the request(200)
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I thought NT7 does internally use the single contracts and combines them in the chart?

Thanks a lot.

Joerg

[NinjaTrader_Austin]

Joerg, NT7 only puts together continuous contract information from certain data providers. From what you've posted here, it seems as if the IB data feed (which isn't exactly known for supplying tons of historical data) isn't a source that NT7 can piece together. I know that the Zen-Fire data feed has the capability to construct the continuous contract. You may want to look into another historical data provider.

[Joerg]

I have data for the single contracts in my local database and the rollover data are provided by NT.

My suggestion:
Why not merge them add hoc when a chart is requested? Any necessary data are locally available. Or do I miss something here?

[Harry]

Hi Joerg,

IB does not supply continuous futures data, so you cannot load it via ES ##-##. However NT7 allows you to create continuous futures by loading the single month contracts.

You just need to make sure that Tools -> Options -> Data -> Merge Policy is set to MergeBackAdjusted. In this case NT7 will display a backadjusted continuous futures contract, when you load the current front month. With IB you can load up to 500 days for this contract. First start with a chart that goes back 150 days. Then increase the chart period by 90 days and you can step up to 240, 330, 420, 510 days. Of course this will be interrupted by the usual data throttling of IB, so you will have a few coffee breaks, but in the end you will get what you want.

[Joerg]

Hi Harry,

great. This solves my problem.

Thanks,

Joerg

[Joerg]

Hello,

I just noticed that IB provides Continuous Contracts now (and probably since some time). Pls. see https://interactivebrokers.github.io...racts.html#fut

If I understand the description right, Cont. Contracts are setup as a new instrument type: contract.SecType = "CONTFUT";

Also there seem to be a growing number of brokers/ data providers who provide there kind of data, at least for historical data (rather than for direct trading). Could you please check to implement this instrument type in NT as well? It would simplify the data collection and rollover administration significantly for all futures traders, I guess.

Or is there an alternative way to receive these contracts (e.g. as a custom contract?) in NT already?

Many thanks,
Joerg