Merging historical and market replay data without chart

[nicknamed]

Dear support,
we have a problem and need advice. What we need:
we need to trade automatically on one actual contract, say TF 06-12, but to draw filters, for example like SMAs with long periods we do not have such data, as the contract recently started, so to draw say SMA with period of 40 drawn on 480 Minute chart will make the filter unusable as there will be no filter being drawn - as the SMA simply won't have data before rollover.
This would be solved I guess in reality, not on market replay data when NT7 would feed older contract months and using MergeBackAdjusted option would draw data on downlaoded previous conracts and then continue with current contract.
But based on market replay data test, this does not work, as there is the end date in data series options and the strategy won't feed historical data and merge them with current contract for testing - say 03-11. Then, the very moment I would play press, it forgets about continusou contract or previous contracts to feed/download them and will draw only market replay tick data, but is not capable of continue to draw SMA now on TF 03-11 and not TF ##-## (which is downlaoded but NT won't read it as for NT the future is when I pressed play, so it forgets about any newer downloaded data).
I think that it may work when running a strategy on chart, but we need to run a lot of strategies in real time and we do not think to have opened a lot of charts will make NT any stable, so we would like to run it only from New strategy - on the strategy tab without opening any chart. But then, the MergeBackAdjusted won't work.
I hope I made myself clear, in case you do not understand I will be happy to clarify or test any idea.
Thank you in advance
N.

[NinjaTrader_RyanM1]

Hi Nicknamed,

When you're in market replay mode, it uses both historical and the replay data to display your charts. NT will use your merge settings for the historical portion of this chart.

With market replay you go to a specific date in time before playing it. All data that exists prior to this date/time is considered the historical data, and then everything after you hit play is the replay data.

The replay data itself is not continuous or merged. It will always be a single expiration month. You could record the ##-## expiration from your own live feed if you wanted to start preserving your replay data into a continuous style contract.

[nicknamed]

Ryan,
thank you for your time, but I have a multibroker license for more than a year so I guess I knew all this information before and now you told me something I read a long time ago in the help and it does not help at all.
The problem is as described, NT does not draw data above historical and then to continue on current contract, it ceases drawing SMAs on historical and so my filters have no data during market replay as historical data stopped when I clicked play. Please read my post again. This what you wrote can help in live trading (I already wrote that in my post, so you I guess you could save some time), but what if I am not running the strategy on charts + on market replay data?..again, please read my post again. Maybe I am missing some simple thing, but with my two programmers, we are already quite experienced. True, such a thing we are doing for the first time.
N.

[NinjaTrader_Brett]

Hello,

Unfortunately we are not understanding your post I went through and reviewed to make sure Ryan did not miss anything.

When you say exactly this:

The problem is as described, NT does not draw data above historical and then to continue on current contract, it ceases drawing SMAs on historical and so my filters have no data during market replay as historical data stopped when I clicked play.

Please provide exact results you are getting and what results you expect. Does this have to do with moving automatically over to a new contract as this would not occur in market reply.

-Brett

[nicknamed]

ok then, no problem, I will prepare some screenshots, as I know, that you cannot help me if you do not understand .
Thanks Brett

edit:
here is the screenshot, we have no idea how to connect those time series.

To make sure we can obtain SMA value as a filter (in fact two different values - values between last two known SMAs using as a filter of market going up or down) - we have no idea how to do that.

I hope one picture is better than a thousand words

edit2:
TF 09-09 data series is set to LineBreak, 15M linebreaks 2, days to load 5, end date 7.7.2009, template: instrument settings (currently I have set it to CME US Index futures RTH)
TF ##-## data series is set to: :LineBreak 15M, 1 break, Daysto load 50, End date 5.7.2009, template instrument settings.

please also comment not only how to draw continuously that SMA on both contracts (while not to lose the [SMA] data from them) but also on the overlapping of the data as one ends later than market replay begins

edit3: adding one more screenshot "just to make sure what is what"

Thank you
N.

[nicknamed]

wow

somehow I read this in my email, but cannot see it in the thread:

My understanding of your post is that you would like that market replay offers some merging operation to combine multiple contracts months into a single market replay instrument you can playback.

Since this is not currently possible with the existing market replay files our best recommendation is that going forward you start recording your own market replay files, using the native ##-## offered by some providers.
RyanM
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No, we do not want that. It would be silly in our opinion to merge static historical data with tick based market replay data (MRD) into a "single playable contract" . We need NT to read the minute chart (the static historical data) and be able to draw SMAs above those charts and get the values of those SMAs while using those numbers for strategy decision making / trading on market replay data.

Imagine, you have strategy running on MRD and need to check values of an indicator from another time series. In reality we can do that from continuous contract I guess (never tried yet) but we definitely do not know how to do that when testing on MRD.

As I have read about mergingbackadjusted, I thought that the continuous contract (or few previous strandard contract months time series) will fill the data before the MRD, so the time series will be long enough to draw SMAs, but it does not seem to work as written in help and that it does not work can be seen from the screenshots I provided.

I think there must be way how to see data from different time series when on MRD (maybe "downloading" TF ##-## from harddrive to see those data and shifting historical data to be able to draw SMAs above them every OnBarUpdate) but that sound way to crazy.

N.

[NinjaTrader_RyanM1]

Unfortunately it's not clear what you're looking for exactly. Let's work through it by phone. Please write a note to support 'at' ninjatrader 'dot' com. Include your phone number, availability, and a link to this thread.

http://www.ninjatrader.com/support/forum/showthread.php?t=48408