IQFeed Continous Contract Support

[aviat72]

IQFeed has recently added a new front month back-adjusted futures contract whose suffix is #C; i.e. @ES#C.

· NEW!-Replace the Month and Year code with "#C" for Front Month back-adjusted history (ie. @ES#C instead of @ESU10).

http://www.iqfeed.net/symbolguide/index.cfm?symbolguide=guide&displayaction=support&section=guide&web=iqfeed&guide=commod&web=IQFeed&symbolguide=guide&displayaction=support&section=guide&type=nymex&type2=nymex_gbx&type3=nymexmini

Does NT support that right now?

[NinjaTrader_Jason]

Hello aviat72,

Unfortunately I am not sure if this contract is supported. Does your IQFeed subscription include the new contract?

If so, please modify the symbol mapping to @ES#C under the Misc-tab of the ES instrument in the Instrument Manager and check if you receive data.

[aviat72]

Jason:

I do not want to change my NT install and mess things up.

I see no reason why my sub will not support that symbol since IQFeed is supporting it and I subscribe to it.

Since you are a corporate parter of DTN with Kinetic, I was hoping that you guys would have a heads-up on this issue. If you can support it then a lot of the merge-back-adjusted rollover issues will become non-issues.

I think the best way would be to keep the local merge-adjusted separate from the vendor provided back-adjusted data. This will require NT to have native support for vendor provided back-adjusted data, which differentiates from locally adjusted data.

[NinjaTrader_Jason]

Hello aviat72,

We do already support continuous data with IQFeed. You would set the 'Expiry' to ##-## in the Instrument Manager upon adding an instrument to your instrument list. It will load continuous data as provided by IQFeed and it will not merge individual contracts.

I suggest to test the ES ##-## and check if you receive data.

[aviat72]

There is a difference between the back adjusted contract and the continuous contract (not back adjusted). @ES# is not back-adjusted. @ES#C is.

NT currently implements the merge policies on futures locally but that has some issues. IQFeed is doing that on their servers so it is very interesting especially for those who want to use tick-data to study profiles, delta etc.

[dave1992]

If I try to run replay over multiple contracts using 6A ##-## I get no price data - so I guess Ninja doesn't support continuous ##-## from its own database.

That seems a huge shame if so. I'd like to be able to use 6A ##-## for everything - backtesting, replay and live.

[NinjaTrader_Jason]

Hello dave1992,

Unfortunately there is no Market Repay data available to download as per continuous contracts (##-##).

However if you receive real-time data for an instrument that uses the ##-## expiry, you will be able to record it as Market Replay data. Please make sure 'Record for market replay' is enabled at Control Center-->Tools-->Options-->Data-tab.

[dave1992]

Hi Jason.,

Thanks. I didn't actually ask to download it - just have NT interpret past contract replay files. I guess you could rename the files.

Actually I think the whole continuous contracts thing needs its own comprehensive help page. What it's for, what you can do with it, what you can't do with it, which providers support it, how it fits in with providers' own continuous symbols, how it relates to importing data, replaying files, trading live etc etc.

It's a nightmare trying to piece it all together from various support posts and a bit of help text about merging.

thanks
Dave

[NinjaTrader_Jason]

Hello Dave,

I will forward your comments regarding continuous symbols and help guide information to my superiors. Thank you for your feedback.

[NinjaTrader_Jason]

Hello Dave,

Please note that continuous data can only be received if the data feed provider offers continuous data. Subsequently you will assign the ##-## expiry to the instrument you like and it will allow you to retrieve continuous data from your data feed provider.

Continuous data allows you to view/analyze continuous data for the instrument in question.

Unfortunately I am not sure which supported data feed providers support continuous data. I believe eSignal and IQFeed provide it, but I do not know if others provide it as well.

You will load continuous data from your data feed provider, so the continuous data you display in NinjaTrader is the same as on your data feed providers end.

You can import historical continuous data as well. You would need to import a .txt file named *symbol* ##-##. For example, ES ##-##.txt

In addition, you cannot trade continuous contracts as far as I know. These contracts are only used to view/analyze data.