Instrument Settings Miscellaneous

[Harry]

This seems to be confused.

Kinetick QBZ (looked it up) is NYMEX. So if BRN is IPE, why is the BRN symbol mapping for Kinetick QBZ (Nymex). That does not fit together.

Hi Harry,

With the Brent Crude on the ICE exchange and Brent Crude Financial Futures they are two separate contracts.

With IB the BRN contract will be mapped to COIL|IPE|||1, which will make sure that it routes to the correct exchange, which is the ICE, and includes the offset based on a previous issue with energy contracts and IB, which I am including for outside reference:

http://www.ninjatrader.com/support/forum/showthread.php?t=16341&page=10

However, with IB there is also a BZ contract for the Brent Crude Last Day, and that is symbol BZ:

http://www.interactivebrokers.co.uk/contract_info/v3/index.php?action=Conid%20Info&wlId=IB&conid=45631564&lang=en

As for Kinetick the symbol for the Brent Crude Last Day is correct with QBZ, but there is another symbol for the Brent Crude on the ICE which is EB.

[NinjaTrader_RyanO]

Hi Harry,

Based on your last reply I am not going to suggest you reset your instruments but you will want to reconfigure the BRN contract within the NinjaTrader database because when reviewing the symbol on my end the Kinetick symbol is EB, and I have attached a screenshot of my BRN configuration.

[Harry]

So I can use both COIL||||1 and COIL|IPE|||1 or not?

[Harry]

Hi Harry,

Based on your last reply I am not going to suggest you reset your instruments but you will want to reconfigure the BRN contract within the NinjaTrader database because when reviewing the symbol on my end the Kinetick symbol is EB, and I have attached a screenshot of my BRN configuration.

Cannot reset instruments, as it would destroy years of rollover dates, which I would have to enter again manually. Anyhow I do not trade BRN. Actually I do not understand what is the difference between BRN and BC.

IB only offers one contract to trade for IPE Brent Crude which is COIL, so don't really know why you have two instruments BC and BRN and what is the difference?

https://www.theice.com/productguide/ProductDetails.shtml?specId=219

[unter821]

Update from my side:

BRN with the setting Ryan proposed (COIL|IPE|||1) worked for me. I got today in the morning a correct fill with correct stop limits for the correct contract month on IB. Don't ask me, what is the difference between BRN and BC, but I would go with BRN and forget BC.

However some other energies are still not working (GOIL, RB) and will come back with an update on that.

[unter821]

Harry & Ryan,

Summary of what I have found out so far about tradeable energies through NT/IB:

The following contracts have enough volume and are at the moment tradeable for me through NT/IB

- WTI LightSweet Crude - NYMEX: CL (Instrument I use)
- E-mini Crude Oil – NYMEX: QM
- Natural Gas – NYMEX: NG
- E-mini Natural Gas – NYMEX (large bid/ask spread, but tradeable): QG
- New York Harbor No. 2 Heating Oil – NYMEX: BH
- E-mini Heating Oil – NYMEX: Not tradeable, not enough volume
- Brent Crude – ICE(IPE): BRN

The following contracts would have enough volume but are not tradable for me at the moment (would be nice if somebody from Ninja could work on that!!):

- Rbob Gasoline – NYMEX: RT
- Gas Oil – ICE/IPE: G

For Gas Oil I get at least correct charts, but orders for IB are wrong (wrong month, no stop limits, etc.). For Rbob Gasoline it is totally weird. When I tried to create my own instrument RB I got working charts but did not get correct trades. By switching to RT I got some correct trades (not all) but the charts are not really working (I use Kinetick realtime).

I have attached the mappings I use for 5 instruments (and I have only tested IB!!).

I agree that the instrument settings are a big mess and the main problem is, that you don’t know that at the beginning and look for errors somewhere else. Ninjatrader has mixed up a lot and the thing, that confused me most is, that it is not possible to generate your own instruments and take those. For example, when I generated a correct instrument HO for NY Heating Oil Nr. 2 I always got trades for BH in Ninja. So what I basically did then is take those instruments (BH, BRN) and change the settings that they work for me at least.

By far not perfect, and I would suggest that Ninja updates all the instrument settings with the next version of Ninja 7, because that is one of the major problems of applying Ninja to a larger portfolio at the moment!! Otherwise a strong piece of software, but the instrument mapping should really work…..

Best,
Peter

[Harry]

Complete NinjaTrader Confusion in Energy Futures

BH heating oil financial futures -> trading volume a few hundred contracts per day
HO heating oil financial futures -> trading volume 100,000 contracts per day

In NinjaTrader everything is mixed up and confused:

BH - the financial futures - is linked to various symbols (BH or HO) depending on data supplier, so nobody reallly knows what it gets you.

This section of the master data really needs a clean up.

[unter821]

Is there any chance to get the RBOB Gasoline and the Gas Oil working correctly via IB?? This question goes to Ninja Support.

Thx, Peter

[NinjaTrader_VinceB]

Is there any chance to get the RBOB Gasoline and the Gas Oil working correctly via IB?? This question goes to Ninja Support.

Thx, Peter

Hi Peter,

I'm not sure what exchange these instruments trade, but if we support the exchange you should be able to add them into the instrument Manager.

If you have the contract specifications, open up the Instrument Manager under the Tools menu. Then click 'New' to open up the Instrument Editor. In the editor enter the contract specifications on the Definitions tab and enter the symbol map for IB on the Misc tab.

Then when added done, click OK and the instrument should be added to the instrument manager. Locate and highlight it now in the middle section and then move it to the default instrument list on the left with the '<' button. Once done with all your new instruments click OK and they should be listed in the instrument section of the SuperDOM or Chart.

See here in the Help Guide as well for more info about the Definition and Misc tab:

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

[Harry]

RBOB Gasoline and Heating Oil trade at NYMEX. They are amongst the most liquid futures contracts. I had already indicated that it is better to include these than the whole bunch of illiquid energy contracts that I found in the instrument manager of NinjaTrader.

The problem here is that there is a special NinjaTrader workaround for a definition problem, between NT and Interactive Brokers, which is related to contract months. So we would like to know the symbol mapping for these instruments for Interactive Brokers. It could be RB|NYMEX|||1 or RB||||1 or RB|GLOBEX|||1 or anything similar, but we cannot invent this symbol mapping, we need to know the correct one! Everything else is easy.

Also my question below for BC/BRN has not been answered. Which is the correct Brent Crude contract that trades and IPE? BRN or BC?

2. Which is the correct symbol mapping for Brent Crude COIL|IPE|||1 or COIL||||1? Both of them seem to work.

[NinjaTrader_RyanO]

Hi Harry and Peter,

The correct contract for the Brent Crude on the ICE is BRN, as BC is a financial future settled based on the BRN price from the ICE exchange.

Then the symbol mapping will be COIL|IPE|||1 because the exchange and the offset is applied to the symbol mapping.

For Gas Oil the symbol would be the default in NinjaTrader, which is G for the contract, and the IB symbol is GOIL||||1, since the defined exchange in NinjaTrader is IPE.

Then for the Rbob Gasoline you can use the UHU contract, and for IB you can get data by changing the symbol to RB|NYMEX|||1, and I have included screenshots of the configuration that was tested to receive data from IB.

[Harry]

GOIL or GOIL||||1 or GOIL|IPE|||1 ?

Hi Ryan,

thanks for your answer.

I would like to point out to a slight problem here. Typically the symbol mapping ***||||1 is used for contracts that expire prior to their nominal contract month.

However the gasoil futures traded at IPE do not expire early. The March contract expires in March, unlike for BRN, where the March contract expires in February. So in my opinion the correct setting for gasoil would simply be GOIL, and not GOIL||||1. As I am not sure, could you please check and confirm?

[NinjaTrader_RyanO]

Hi Harry,

I would like to point out to a slight problem here. Typically the symbol mapping ***||||1 is used for contracts that expire prior to their nominal contract month.

This is not entirely true as the ||||1 extension to the IB symbol mapping was applied as a workaround for a known issue where the trades from the current front-month were being applied to another front-month, and to avoid that known issue you will want to leave the ||||1 value on the end of the contract to prevent that issue from occurring.

[Harry]

Hi Ryan,

this known issue only applies to contracts which expire prior to the nominal contract month. As I tried to explain you, this is not the case with GOIL. So there is definitely no reason to apply that workaround to GOIL, but you may cause NT to disfunction. Could you please check?

Hi Harry,

This is not entirely true as the ||||1 extension to the IB symbol mapping was applied as a workaround for a known issue where the trades from the current front-month were being applied to another front-month, and to avoid that known issue you will want to leave the ||||1 value on the end of the contract to prevent that issue from occurring.

[Harry]

GOIL not working

Made a test now with both settings, neither of them works. Order is executed, but position is not displayed and cannot be closed.