Unable to roll contract data.

[bluelou]

I've been trying to merge the QM 11-08 (mini crude) contract data into QM 12-08 with a merge date of either 10/17 or 10/18 but I'm unable to do so.

When I refresh the QM 12-08 chart the QM 11-08 data is not in the merged chart. Also, when attempting to merge the data I get a message stating that Day data was not available for the "To" contract to calculate the adjustment factor.

However, I have both Day and Tick charts open for both expirations. The chart data is clearly there to calculate any adjustment factor but NT isn't recognizing it. I've also tried Tools->Reload but that hasn't made a difference.

Any suggestions? My auto-trade model for QM is down today since I can't can't construct a continuous contract w/the new front-month data.

-Lou

[NinjaTrader_Ben]

Hello,

Please:
- go to Tools>Historical data and delete the data you have for the contracts you are using.

- re-connect and reload the data for the contracts you are working with.

- disconnect from your data feed

-follow these instructions:

http://www.ninjatrader-support.com/HelpGuideV6/Merge.html

If that does not work please let me know.

[bluelou]

Ben,
I've followed each step you've mentioned but I'm still not able to get the contracts to merge. I've merged dozens of contracts w/NT and this is the only time I've had a problem. What is the next step?

-Lou

[bluelou]

Ben,
Nevermind. I was able to merge the data. I added one other step. For the front month contract I didn't import any data including or before the merge "To" date. In other words, I merged QM 11-08 "To" 10/19/08 into the QM 12-08 contract but I deleted all of the QM 12-08 tick and minute bar data prior to 10/20/08. This approach seemed to work. I have no idea why.

Thanks,
Lou

[NinjaTrader_Michael]

Hi,


Thank you for letting us know.


Enjoy your day and happy trading.

[bluelou]

Michael,
I spoke too soon. When I logged into IQFeed again it wiped out the newly merged data. When I opened a new chart the newly merged data was gone and I could only get the unmerged data. I'm going to delete the data and try again.

-Lou

[bluelou]

Michael,
Here's the problem now... When I'm logged out of IQFeed I'm able to merge the contracts. However, as soon as I login to IQFeed my merged contract data is overwritten and I'm only left with the front-month contract data. Please help!

-Lou

[NinjaTrader_Jason]

Hello Lou,

I suggest to create a continuous instrument instead of merging contracts, since continuous contracts are supported with IQFeed.

Please highlight the QM in the Instrument Manager and set the expiry to ##-##. Add the instrument to your list and check if you display the historical data you desire.

[bluelou]

Jason,
I've tried the QM ##-## continuous contract as you've suggested and that's not going to work for two reasons:

1) The roll date on the QM continuous contract is either way too early for my models or in any event is useless. IQFeed appears to have rolled QM prior to 10/15 whereas I need a roll date as of the 10/17 close.

2) Since IQFeed has rolled QM early there isn't enough tick data to run my algorithms. The overwhelming majority of tick data for last week is on the back-month contract; i.e., the contract that I can't merge.

Any other suggestions? Why is the data feed overwriting my merged contract data and demerging the data? Do I just forget about trading QM around QM rollover dates which occur 12x per year?

-Lou

[NinjaTrader_Ben]

Hello,


If your data feed does not support continous contacts outright and merging two contracts does not work, there are no other options unless you add a data feed.

Regarding the "demerge", if you want to prevent this from happening I suggest disconnecting from your data feed. The historical data is being reloaded, that is why it is happening.

Traders often just manage their trading around the contract rollover or use a continous contract that is offered by their data feed. This issue is not unique to NT. It is just part of trading futures.

[bluelou]

Ben,
I disagree that this is 'just part of trading futures'. Actually, this is just part of trading futures with NinjaTrader. Auto-traders can't just manage around this. It's absurd that you've even mentioned it. The process either works or you can't auto-trade the strategy.

According to the people at IQFeed this is a NinjaTrader problem. The way in which NT is calling the IQFeed data is causing the merged contract to be overwritten. This is only happening with the QM contract and not with any other that I've noticed yet.

The people at IQFeed had a suggestion that I think might work. That is, to only request 1 day of history when connecting to the live feed to avoid having the merged data overwritten. This is worth a try and I'll get to it and the end of today.

-Lou

[NinjaTrader_Ben]

Hello,

>>I disagree that this is 'just part of trading futures'. Actually, this is just part of trading futures with NinjaTrader. Auto-traders can't just manage around this. It's absurd that you've even mentioned it. The process either works or you can't auto-trade the strategy.

I observe traders working around the contract dates every day. Perhaps we are misunderstanding each other.

>>According to the people at IQFeed this is a NinjaTrader problem. The way in which NT is calling the IQFeed data is causing the merged contract to be overwritten. This is only happening with the QM contract and not with any other that I've noticed yet.

The historical data reload IS part of NT but has nothing to do with why I mentioned traders need to work around contract rollover dates or use continous contracts. Let me clarify, even if you successfully merge two contracts in NT you cannot trade them as a continous contract unless a continous contract is supported by your broker. However you can chart it to look like a continous contract by merging the data.

[bluelou]

Ben,
Yes, I think we misunderstood each other. I need a merged data series and I need it merged at a specific date b/c I need it to look like a continuous contract. Of course, I'm trading the front-month contract.

My algorithms require that I roll the contract and merge the back-month data on the date on which the tick data for the front month surpasses the back month. If I can't do this then my algorithm output is incorrect and thus, the info that I use to make trading decisions is incorrect.

As you've conceded, the data reload is part of NinjaTrader. Isn't there something that NT can do to stop the merged data from being overwritten? What's the point of having the merge feature if it doesn't work for live trading? At the least, shouldn't prospective NT users know that there are problems with this feature? This sure does seem like more than a minor flaw in the NinjaTrader platform.

FWIW, I'm optimistic that IQFeed's suggestion to request only 1 day of history whle connected to their feed will work.

-Lou

[NinjaTrader_Ben]

Hello,

If you select less data than is already loaded on the charts (if its on the charts it is stored in the data base), NT will not go to the servers and reload all of the data. The charts will reload if you pull more data than what is already stored in the data base/charts.

This link may help:

http://www.ninjatrader-support.com/HelpGuideV6/WhenDoesNinjaTraderLoadHistoricalData.html

The chart, after being merged, will not look like a real continous contract, so you can't trade it like a continous contract. By this I mean that if you place an order during the rollover period it will be placed on a price from one of the contracts, not from a logorithum driven "average" price like a traditional continous contract. However you can trade it like two merged contracts.

Now that I understand what you are trying to do, I think merging will work for you. At no point was I trying to suggest that the historical reload was not a NT function.

[bluelou]

Ben,
I was finally able to get the merged data to stick. I think the problem was that the chart setting was within 3 days of the data available and thus, overwriting the merged data with unmerged data. Thank you for the links and the help.

-Lou