merging with ##-## ?

[kittyan]

The followings questions releate only for strategy trading, not manual.

I have data for YM ##-## for backtesting.

I'd like to trade real time, but brokers offer no YM ##-## to trade, so now YM 0910 needed.

Can NT7 take the data for merging from YM ##-## into YM0910 to make YM0910 continous backwards (needed for strategy to see more than some months ) or I have to split YM ##-## and rename them quaterly then import them so that NT7 could YM0910 build up ?

If YM0910 ends and YM1210 will be in effect, do I have to reStart strategy, or NT7 will be able to take data from YM1210 to merge into YM0910 ?

From an other view : is it possible to take the decision by YM##-## (from a dataFeeder) and trade the actual YM quater (at a broker ) ? I dont mean barsinprogress situation because as far as I see it would be useless and not enough reliable. I mean I have only one main barsinprogress but making entries, exits on a totally different instrument ? EnterLong would be the best to take action at Close[0] ( not limit, stop entries), but enterLong does not seems to be able to get the work done.

Is there a known broker who settles the rolling over itself and lets trade instruments with ##-## ?

thanks
Kittyan

[NinjaTrader_Jason]

Hello kittyan,

NinjaTrader 7 can automatically merge individual expiries. Unfortunately it is not possible to merge instruments with the ##-## expiry.

Please go to Tools-->Instrument Manager, highlight the YM in the 'Available master instruments' section and click Edit. Check what Merge policy is setup.

If it is setup as 'UseGlobalSettings', please go to Tools-->Options-->Data-tab to check the global merge setting.

Please see the link below for information regarding the different merge policies.

http://www.ninjatrader.com/support/helpGuides/nt7/data_tab.htm

Upon selecting your date range to backtest, it will automatically merge the individual expiries (if setup that way). You do not have to restart the strategy when expiries cross.

I am not aware of any broker that allows you to trade a continuous contract.

[powermoney]

Jason, are you saying that at the expiration of the YM 0910, NinjaTrader 7 will automatically roll over to YM 1210? The chart dataseries will change without intervention and having to stop/start the strategy?


PM

[kittyan]

Hello Ninjas!

I began splitting YM ##-## into YM qq-yy, getting the work done backward from YM 09-10 until YM 03-05.

At YM 12-04 I received the followings:

2010.08.04. 6:49 Default Unable to import file 'C:\DATAs\YM_Quarters\2004\YM 12-04\YM 12-04.Last.txt'. Instrument is not supported by repository.
Unitl this went fine. Is NT7 YM quarters blocked before 2005 ? It seems NT7 can use YM quarters only after 2005 ?

I looked into the upbuilt ( more than a year ) YM 09-10 with historical manager Edit option and could see only data for actual months ( june-july-aug) but not for months before. So I think NT7 stores the built up data in an (for me) unseen cache or only making somehow the links backwards.

One solution to the questions would be highly appreciated.

thanks
K

[NinjaTrader_Jason]

Hello powermoney,

Unfortunately it will not automatically rollover the instrument - you still need to rollover the instrument to the new expiry month in the Instrument Manager. However, it can automatically merge data from the previous expiry.

[NinjaTrader_Jason]

Hello kittyan,

Can you please add the YM 12-04 in the Instrument Manager to any instrument list. Subsequently re-import the data and check if the error message persists.

Likely, you cannot select the 12-04 expiry in the Instrument Manager. Please close NinjaTrader and set your PC clock temporarily to a date in December 2004. Start NinjaTrader and you should be able to select the 12-04 expiry. Once you added the YM 12-04, please close NinjaTrader and set your PC clock to the proper date again.

The historical data prior to June 2010 should be listed under ES 06-10 - ES 03-10 and so on.

[kittyan]

Hello Jason,

I did as adviced. In instrument Manager Edit Option I can see the missing quarters with imported Data before 2005. However YM chart does not show data before 2005, even though the data is imported into Ninja. If I put clock to 12. 2004., the chart will show the missing data but only the actual one quater. Before 2005 the building-linking up process seems not to work.

So I have data imported from 04. 30. 2002, system date set back to today, can see all the previously missing data in editor, but the chart shows only from 12. 2004 till today, even though start date is 2002. Any idea ?

K.

[kittyan]

Hi Jason,

one more thing: it seems the data shifts during the linking process ?

Attached a scrshot so you can see:

1. in historical data manager data for 2005.01.24 ranges around 10405 ( as happened and as in historiccal data file and as on YM ##-## chart )

2. in chart of YM 09-10 the data ranges around 10753

The shift can be seen from 06. 2010 backward. The last actual quater ( 09. 2010 ) is without shift.

KittyaN

[NinjaTrader_Jason]

Unfortunately this is related to the rollover dates. By default NinjaTrader has setup rollover dates starting for the 03-05 expiry. There are no rollover dates setup for expiries before the 03-05 expiry.

Please go to Tools-->Instrument Manager, highlight the YM in the 'Available master instruments' section and click Edit. Select the Misc-tab and scroll to the bottom. Click the 'Contract months' row and a '...' button will appear. Click this button to check the rollover dates.

You will need to add the old expiries with their rollover dates. Make sure your PC clock is set to the expiry month you like to add and click New. Subsequently enter the proper rollover date for the expiry month in question.

[kittyan]

Hi Jason,

Shifting problem is over. I had to set offsets to null and change rollover dates in Misc at Instrument manager.

thanks
Kittyan