Unable to display chart for expire kopsi contracts

[lengguan]

Hi,

I am trying to produce a minute bar continuous futures contract for kospi 200 from the Dec 2011 contract to the current Dec 2013 contract. The data for these contracts are available from Interactive Brokers.

I managed to add kospi futures into the instrument list and have been successful in loading the data for the Dec 2013 contract but nothing before that. I have already defined the rollover dates in the misc tabs and have indicated in NT to merge contracts using backadjusted. There is also nothing when I try loading individual contracts before Dec 2013.

Can you kindly advise on how I can fix this? Thanks

Rgds
Eng Guan

[NinjaTrader_Jason]

Hello Eng Guan,

Can you please try to download historical data at Control Center-->Tools-->Historical Data Manager-->Download-tab. You can check the Edit-tab for all historical data that is present in NinjaTrader.

Are you able to load data for the continuous contract? Please highlight the Kospi futures in the Instrument Manager. Set Expiry to ##-## and click the arrow pointing to the left. Subsequently create a chart and check if the requested data is loaded.

[lengguan]

Hi Jason,

I am only seeing KS 12-13, KS 03-12 and KS 12-11 in the edit tab. The other contracts are missing. Tried downloading the KS 09-13 but it didn't work as well.

What else can I do? Thanks.

Rgds
Eng Guan

[NinjaTrader_Jason]

Hello End Guan,

Are you able to download data for the KS ##-##?

Can you please double check the expiry months and roll over dates you have setup.

When you created the KS 09-13 chart, what settings did you use for 'Load data based on', 'Days to load' and 'End date' in the Data Series menu? Make sure it requests historical data for when this expiry was traded.

[lengguan]

Hi Jason,

I had the rollover dates incorrect earlier. I have corrected them. But I still face some issues. I only manage to add KS 09-13 but not the rest. I went to see the edit tab under Historical Data Manager and there were only a few days of data downloaded for the remaining contracts.

Need your assistance again. Thanks

Rgds
Eng Guan

[NinjaTrader_Jason]

I suggest to use the Historical Data Manager-->Download-tab to load the data. Make sure the Start and End dates are configured to load data for when the expiry traded.

[lengguan]

Tried downloading individual contracts (tested KS 06-13 and KS 03-13) as you suggested but results are weird. I am not able to get anything more than 4 most recent days for LAST data or ASK data for each of these contracts. However, if I select BID data, then I am able to get all the data for the whole contract. But what I need is the LAST.

[NinjaTrader_Jason]

If you create charts for the KS 06-13 and 03-13 in TWS using last, bid or ask data, do you load the same data?

I am not sure why you are able to load historical bid and ask data - this is not supported with IB as per the link below under 'Understanding the data provided by your connectivity provider'.

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

[lengguan]

I can only select bid-ask as additional feature in IB charts. The IB chart still displays the OHLC last price but if you click on each bar, it shows a bid-ask info. Not too sure what that bid-ask represents though.

[NinjaTrader_Jason]

Can you please tell me what TWS version you have installed.

What start and end dates did you use for the KS 06-13 and 03-13?

Did you try the KS ##-##?

If you check the bid data you are able to load in NinjaTrader to the last data in TWS, is data similar?

[lengguan]

TWS Build 938.1e

KS 09-13 11/06/2013 to 10/09/2013
KS 06-13 12/03/2013 to 10/06/2013
KS 03-13 12/12/2012 to 11/03/2013
KS 12-12 12/09/2012 to 11/12/2012

I tried KS ##-##, it says IB doesn't recognize this security definition.

What I did was building a chart using KS 12-13 and specifying say start date from 1 Jan 2013 to today. The furthest it extended for me was till 14 Jun 2013.

One more question, the individual contracts that I can add under historical manager seems to end at KS 12-12. How do go about adding earlier contracts?

[NinjaTrader_Jason]

You would need to close NinjaTrader, set your PC clock to a date back in time in 2012 or further. Start NinjaTrader and you will see older expiry months.

Do you see data for the 06-13 in the Edit-tab from before June 14?

[lengguan]

You mean before Jun 2013?

For some reason, I am now able to download the LAST date for individual contracts and I can see them from the Edit tab. So there is now data for all the contracts. But when I try to load the charts using KS 12-13 and specifying dates from 1 Mar 2013 - 8 Nov 2013 for example, the chart still terminates at 14 Jun 2013 i.e. there are no earlier data before this date.

[NinjaTrader_Jason]

Yes, June 14th 2013.

Can you please check what setting is used for 'Merge policy' as per the KS. Make sure it is set to MergeBackAdjusted or MergeNonBackAdjusted. You can find this setting in the Definition-tab of the Instrument Editor window in the Instrument Manager.

You could use the following workaround. Export the historical data from the previous expiry months. Subsequently reimport the data for the KS 12-13. This will allow you to create a continuous contract as well. Make sure you set 'Merge policy' to DoNotMerge as all historical data will be under KS 12-13.

Export

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

Import

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

[lengguan]

Yes, there is data prior to 14 Jun 2013 for KS 06-13.

My settings were MergeBackAdjusted. Also tried MergeNonBackAdjusted. Both settings din work. Data before 14 Jun 2013 still din show up.

For your workaround, do you mean exporting all the data into a txt file and then merging it all into another txt file named KS 12-13 and then reimporting it?