Backtesting continuous YM contract

[billitin]

I've actually found that export just didn't work for ticks data only, and I got data for Mar08 and Dec07 contracts, but then I get an error 'no historical data available' doing same thing for the Sep07 one. I don't wanna say it, but does it mean IB doesn't provide 1-min bar data for contracts over 1 year old? (OpenTick is not taking new clients for a while and if so I'll have to wait...)

[NinjaTrader_Dierk]

>> I don't wanna say it, but does it mean IB doesn't provide 1-min bar data for contracts over 1 year old?
I believe that is the case. I suggest contacting IB support for clarification.

[LG]

So, I have three data providers:
ZenFire
IB
Trading Technologies (through FuturePath)
Apparently I cannot get intraday tick data (for range bars) older than 1 year from any of them.

Is that correct?

[NinjaTrader_JoshP]

I am not sure about your Zen-Fire and TT solutions, but for IB I know that is definitely the case.

[billitin]

Hi, I imported a continuous contract data and stashed it all into one huge file. To keep it organized better I've separated different contracts data by a blank line, but I wonder if comments are allowed in data import files and if so what their format is.

Also, the intraday RTH 1-min data for 2002 shows as little activity for E-mini Russell 2000 as there is overnight for 2008. I wonder if the vendor supplied me with a trimmed data set or indeed the market was so thin back then - has anyone experienced this?

Thanks!

[NinjaTrader_Dierk]

Comments are not supported: http://www.ninjatrader-support.com/H...V6/Import.html

[billitin]

I've found a convenient separator, a line with a few spaces, that NT ignores (comments might be on a wishlist for another NT release?)

I'd appreciate if anyone could comment on e-mini market liquidity 5-6 years ago though.

[LG]

Also, the intraday RTH 1-min data for 2002 shows as little activity for E-mini Russell 2000 as there is overnight for 2008. I wonder if the vendor supplied me with a trimmed data set or indeed the market was so thin back then - has anyone experienced this?

__________________________________________________ _________________
EDIT: I just noticed this on the CME site:

June 2005
CME launches new Exchange Traded Funds futures contracts: NASDAQ-100 Index Tracking Stock® ("QQQ"), Standard & Poor's 500 Depositary Receipts® ("SPY") and iShares Russell 2000 Index Fund TM ("IWM").

So it looks like the Russell wasn't traded until June 2005 (at least on CME). Perhaps the tiny volume you are seeing in your data was just the testing or artifacts. Interesting!

__________________________________________________ _________________
Suggestions:
You would think there'd be a way to get this from CME Group.

They also do a Monthly Volume Report with comparative numbers for prior year. Current one available at page 3 of: http://www.cmegroup.com/wrappedpages...eport_CMEG.pdf
Old ones back to 2005 are at:

http://www.cmegroup.com/CmeWeb/ftp.wrap/volmthly

Even older reports should be available through CME Group. Call Customer Service at 800-331-3332 or 312-930-2316.

Another way might be to ask your broker since he probably has access to a better "customer service" phone number at CME. He should be able to get monthly or annual volume reports for an older date.

Let us know what you find.

[billitin]

CME has a handy brochure with an overview of their e-mini's:

http://www.cme.com/files/EQ004_Eminis.pdf

Turns out they've just started Russell 2000 in 2002 and it picked up to a decent volume only in 2004... plus recent exceptional market volatility contributed to my impression. Good to know!

[rmyrick]

Make your life a lot simpler and sign up for free Historical Data from Open Tick. You can get data back 2005 for ER, YM, ES, etc. and no need to mess with merging data files. Works great for backtesting Strategies.

[zukkaweb]

we hope a function to do automatic rollover in the next version of ninja.

could ninja 7 ?

a gift for a

MERRY CHRISTMAS 2008 nt users' :-)

[NinjaTrader_Jason]

Hello zukkaweb,

I will forward your inquiry to our development team and ask them if they can add this to the list of future considerations for the software.

Thank you for your feedback.

[zukkaweb]

Hello zukkaweb,

I will forward your inquiry to our development team and ask them if they can add this to the list of future considerations for the software.

Thank you for your feedback.

Hi this is not only my inquiry but of many users that use free version.

A good reson to buy ninja could be to avoid all this kind of problem with data.

We are waiting, many requests are made on this features

regards

[NinjaTrader_Jason]

I will let development know many users request this feature.

Thank you for letting us know.