Continouous Contract

[Gepetto]

If we want to backtest strategies on futures for the last 3 years, does it exist a continuous contract for ES or do we have to merge the 12 "first-month" contracts?

Thanks in advance.

[NinjaTrader_Ben]

Hello,

I know a few of our data providers support a continuous contract with NT. These are the providers we support:

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

Of the top of my head, I know eSignal supports it, but I know some other ones do as well.

[Gepetto]

I use ESignal and the related ES #F or ES 1! but I don't know how to use it in NT as when I select Future I have to choose a maturity

[Larry22]

I use ESignal and the related ES #F or ES 1! but I don't know how to use it in NT as when I select Future I have to choose a maturity

Jut choose the last one with ## in the Instrument manager tab expiry button. I don't know how far back you can go though as I never tried to go further then 30 days on intraday basis.

[Gepetto]

For European Futures

Thanks Larry...
This seems to work on ES but not on European contracts (as eg FESX ##-##)... Does someone know how to care with European continuous contracts?

Thanks

[NinjaTrader_Jason]

Hello Gepetto,

What data feed provider do you connect to in NinjaTrader?

I suggest to verify with the data feed provider if your subscription includes continuous data for European futures instruments, such as the FESX.

[Gepetto]

Provider

Hi Jason,

I use Esignal as provider and my subscription includes such continuous contracts as I can use them correctly within Esignal Advanced Get Edition

Regards

[NinjaTrader_Jason]

Please try the following. Remove the FESX ##-## from your default instrument list in the Instrument Manager.

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

Go to Tools-->Options-->Misc-tab and click Reset Instruments.

Add the FESX ##-## back and check if you receive chart data.

[Gepetto]

Sorry

But it still does not work. No data on loading FESX ##-##

[NinjaTrader_Jason]

Hello Gepetto,

Could you please send me your eSignal login credentials, so I can create and test your connection on my end.

Send them to support[at]ninjatrader[dot]com, reference this forum thread and put 'Attn Jason' in the subject header.

[Gepetto]

Let's forget...

... for the moment the continuous contract.
What about the first month contract?
I mean ES #F (Esignal reference) is the continuous contract as ES 1! is the first month.
As I don't have access to ET #F-DT but well to ET 1!-DT, I would like to make analysis on this contract ET 1!-DT.
How to parametrize it in NT?

Thanks

[NinjaTrader_Jason]

Please use the default symbol mapping of ET|DT for the FESX. Add the FESX instrument using the 12-09 expiry to your instrument list.

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

[Gepetto]

This is already the case

but... this does not give intraday/daily values prior to april 2009

[NinjaTrader_Jason]

Ok, you refer to the March contract.

Can you please tell me what start and end date is used in the chart.

Are you able to access this data in eSignal?

[Gepetto]

Same historical data as ET Z9-DT

In fact, I have exactly the same data series as the December contract ET Z9-DT in ESignal, which shoud seem normal as I check FESX 12-09 (with ET|DT for symbol mapping as it is always the case).
BUT I would like to have a series associated with ET 1!-DT, so the first contract is always chosen and rolled over every 3 monthes.
We already know that ET ##-## does not work as there is no ET #F-DT contract in Esignal.