IB STW Future contract does not merge

[kalim]

I am using IB. I have setup STW Futures (MSCI Taiwan Futures) in Instrument Manager to use "UseGlobalSettings" as Merge policy. And under Options/Data tab, my Merge policy is set to "MergeBackAdjusted".

However, when I open up STW 03-13 (March contract), I want to see Daily chart which goes back to Jan. However, I don't have Jan/Feb data in daily chart.

How can I fixed this problem?

[NinjaTrader_Kyle]

Hello Kalim,

Thanks for writing in with this question.

Does the data appear to be available in the Historical Data Manager's Edit tab? (Tools > Historical Data Manager)

[kalim]

Yes. I have 3 months of contract there.

[NinjaTrader_Kyle]

Hi,

Please return to the chart, right click, and select 'Reload All Historical Data'. Does this cause the missing data to populate in the chart?

[kalim]

No. It didn't.

[NinjaTrader_Jason]

Hello kalim,

This is not a futures instrument that is present by default. Did you define expiry months for this instrument in the Instrument Editor window?

Please go to Control Center-->Tools-->Instrument Manager, highlight the STW and click Edit. Select the Misc-tab and scroll to the bottom. Click the 'Contracts months' row and you should see a '...' button appear. Click this button to setup expiry months and their rollover dates. More information can be found at the link below under 'Understanding the Misc tab'.

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

[kalim]

I didn't. Now, I have. But it still didn't load the data correctly.

Let me just go through the various setting to make sure I am doing correctly. Could you please help to validate?

Account Connection for Interactive Brokers:
Under Historical Data, I select "Use InteractiveBrokers servers"

Global Setting:
In Tool/Options/Data, under Historical Data, I select "Get data from server (if available). Merge policy is "MergeBackAdjusted"
Under Real-time data, I select "Save chart data as historical"

In Instrument Manager, Merge policy is "UseGlobalSettings". Under Contract months, I defined 3 contract months for Jan, Feb, Mar. Rollover dates set at 1st day of the month, ie 1-Jan-2013 for 01-13 contract, 1-Feb-2013 for 02-13 contract, 1-Mar-2013 for 03-13 contract. Is it how Rollover date is defined? Or is this the 1st trading day of the contract?

[NinjaTrader_Jason]

Hello kalim,

Yes, the settings you mention are setup correctly. The rollover date determines when historical data from previous expiries is loaded.

So historical data before March 1st will be loaded from the 02-13 expiry month. Historical data before February 1st will be loaded from the 01-13 expiry. Does it load data this way in the chart?

If you do not like data to be loaded this way, please use rollover dates so it will load data as you like.

[kalim]

STW expires on the 2nd last business day of the contract month.

I on March contract STW 03-13. If I set the Rollover date as 1-Mar-2013, historical data before 1-Mar will be loaded from STW 02-13. But STW 02-13 last trading day is 26-Feb (28-Feb is Taiwan publich holiday) as the 2nd last business day. I don't have data for 27-Feb in STW 02-13. I need the 27-Feb in STW 03-13.

Should I change the Rollover date to be the 2nd last business day of previous month? That is to say, for STW 03-13, I should set the Rollover date to 26-Feb so that I will get historical data before 26-Feb from previous contract month?

[NinjaTrader_Cameron]

Hello,

Yes, try changing the STW 03-13 Rollover date to 26-Feb to see if you can receive data from the previous contract months.