Imported Historical TS Data Problem

[dincervolkan]

Hi All,

I extracted data from TS for DAX index and DAX futures starting from 1/1/2005.

The index data works fine in NT.

However the futures contracts does not. The code for the data is @FDAX in TS which is continous contract for dax futures. I checked the text file that was exported by TS (with NT ELD file) and it is correct.

When I try to load the data from NT as : FDAX 12-10 (after importing of course) I end up with a plot back to the beginning of the December contract ie around 5/4/2010. That is probably a residue for that contract from a previous IB feed.

The point is the FDAX 12-10 symbol for NT is obviously not pointing to @FDAX dat exported from TS.

What am I doing wrong. I am using 6.5 latest version.

[dincervolkan]

Actually,

Let me just ask this:

If everything is correct FDAX 12-10 should point to @FDAX correct?

i.e. I select the last available contract in NT and the TS Data exported by the NTDataDownload ELD (which is continous) should be loaded.

Regards

[NinjaTrader_Bertrand]

Dincer, what resulting file name did you see after the export? Please try renaming the file to FDAX 12-10.txt and then reimport it into NT. Would it then display more history for your Dec FDAX contract going beyond what IB provided?

Thanks

[dincervolkan]

The problem is with the extraction of data from TS maybe. Here is the log error report:





Date
CategoryMessage11/18/2010 13:22DefaultFDAX 03-10: Illegal volume in line 264893. Volume needs to be greater than 0.20060621 143700;5832.0000;5840.5000;5830.0000;5830.5000;-25811/18/2010 13:22DefaultFDAX 03-10: Illegal volume in line 258221. Volume needs to be greater than 0.20060609 152200;5820.0000;5825.5000;5820.0000;5821.5000;-4511/18/2010 13:22DefaultFDAX 03-10: Illegal volume in line 225804. Volume needs to be greater than 0.20060410 113300;6350.5000;6354.5000;6350.5000;6354.0000;-11411/18/2010 13:22DefaultFDAX 03-10: Illegal volume in line 213357. Volume needs to be greater than 0.20060317 112100;6342.0000;6342.0000;6331.0000;6340.0000;-139911/18/2010 13:22DefaultFDAX 03-10: Illegal volume in line 213356. Volume needs to be greater than 0.20060317 112000;6341.5000;6342.5000;6330.5000;6341.5000;-143911/18/2010 13:22DefaultFDAX 03-10: Illegal volume in line 142070. Volume needs to be greater than 0.20051102 150700;5272.5000;5286.5000;5271.0000;5286.5000;-77111/18/2010 13:22DefaultFDAX 03-10: Illegal volume in line 142069. Volume needs to be greater than 0.20051102 150600;5275.0000;5286.5000;5272.5000;5272.5000;-167111/18/2010 13:22DefaultFDAX 03-10: Illegal volume in line 99288. Volume needs to be greater than 0.20050803 171500;5293.0000;5293.0000;5280.5000;5292.5000;-2011/18/2010 13:22DefaultFDAX 03-10: Illegal volume in line 95398. Volume needs to be greater than 0.20050726 182100;5216.0000;5220.5000;5216.0000;5217.0000;-1011/18/2010 13:22DefaultFDAX 03-10: Illegal volume in line 84520. Volume needs to be greater than 0.20050704 123900;5002.0000;5002.0000;5000.5000;5000.5000;-2711/18/2010 13:22DefaultFDAX 03-10: Illegal volume in line 66007. Volume needs to be greater than 0.20050525 113300;4753.5000;4754.0000;4750.5000;4754.0000;-4011/18/2010 13:22DefaultFDAX 03-10: Illegal volume in line 35137. Volume needs to be greater than 0.20050317 134200;4664.5000;4684.5000;4664.0000;4664.0000;-911/18/2010 13:22DefaultFDAX 03-10: Illegal volume in line 21951. Volume needs to be greater than 0.20050217 134700;4743.5000;4743.5000;4740.5000;4740.5000;-15811/18/2010 13:22DefaultFDAX 03-10: Illegal volume in line 21552. Volume needs to be greater than 0.20050216 180700;4727.5000;4730.5000;4727.5000;4727.5000;-5411/18/2010 13:22DefaultFDAX 03-10: Illegal volume in line 21546. Volume needs to be greater than 0.20050216 180100;4730.5000;4730.5000;4730.0000;4730.5000;-15611/18/2010 13:22DefaultFDAX 03-10: Illegal volume in line 21544. Volume needs to be greater than 0.20050216 175900;4730.5000;4731.0000;4730.5000;4731.0000;-9311/18/2010 13:22DefaultFDAX 03-10: Illegal volume in line 16002. Volume needs to be greater than 0.20050204 132100;4683.0000;4683.5000;4680.5000;4683.0000;-9511/18/2010 13:22DefaultFDAX 03-10: Illegal volume in line 10082. Volume needs to be greater than 0.20050124 132600;4545.5000;4550.0000;4545.5000;4550.0000;-12911/18/2010 13:22DefaultFDAX 03-10: Illegal volume in line 8393. Volume needs to be greater than 0.20050119 181700;4615.5000;4630.5000;4615.5000;4616.5000;-3211/18/2010 12:37DefaultFDAX 03-10: Time stamp line 12726 is smaller/equal than timestamp of previous line11/18/2010 12:37DefaultFDAX 03-10: Illegal volume in line 10082. Volume needs to be greater than 0.20050124 142600;4545.5000;4550.0000;4545.5000;4550.0000;-12911/18/2010 12:37DefaultFDAX 03-10: Illegal volume in line 8393. Volume needs to be greater than 0.20050119 191700;4615.5000;4630.5000;4615.5000;4616.5000;-3211/18/2010 12:36DefaultFDAX 03-10: Time stamp line 12726 is smaller/equal than timestamp of previous line11/18/2010 12:36DefaultFDAX 03-10: Illegal volume in line 10082. Volume needs to be greater than 0.20050124 142600;4545.5000;4550.0000;4545.5000;4550.0000;-12911/18/2010 12:36DefaultFDAX 03-10: Illegal volume in line 8393. Volume needs to be greater than 0.20050119 191700;4615.5000;4630.5000;4615.5000;4616.5000;-3211/18/2010 12:35DefaultAutomated trading enabled (port 36973)

[dincervolkan]

Also as you can see from the log file the data is 03-10 not 12-10. Why is that?

[NinjaTrader_Bertrand]

Perhaps TS uses already the March contract in their continuous contracts? Were you exporting data from a 1 min TS chart?

[dincervolkan]

Well its March 2010 not 2011 so it does not make sense. And yes I am using 1min charts.

[NinjaTrader_Bertrand]

Then there might be some bogus volume in TS historical FDAX data - would it work with less data lookback in TS?