Continuous Contract Feed

[YoungOne]

Hello,

I am using zen fire and it doesn't support continuous contracts. What is the most inexpensive feed I can get for that? I know ninja can support IQfeed and Esignal, which is better and do they offer continuous contracts?

Thanks,

YoungOne

[NinjaTrader_VinceB]

Hi,

I'm not sure what the most inexpensive feed is for continuous contracts, but eSignal offers them and so does DTN.

It is also possible to merge individual contracts with Zen-Fire or other datafeed providers to create a continuous contract.

Info on how to do this can be found here:

http://www.ninjatrader-support.com/HelpGuideV6/Merge.html

[Sidhartha]

Hi Vincent (or other Ninja Expert)...

Can you clarify for me something about the 'Merge' function...

Is it possible to 'merge' a years worth of data across 4 futures expiry's...??

e.g. right now could I merge the data from the March 07 ES, the June 07 ES, Sept 07 ES and Dec 07 ES into the March 08 ES....??

Is it possible to perform an operation like that with Merge...?

If yes... Can you do it in one step...? Or does it take a series of steps...?

many Thanks

[yeneuro]

What worked for me was

1 in the past at the rollover to september 2007 I had merged june 2007 into september 2007

2 at the rollover to december 2007 I had merged 1 above into december 2007

3 at the rollover to march 2008 I had merged 2 above into march 2008

4 at the rollover to june 2008 I have now merged 3 above into june 2008

It has to be performed step by step following the each contracts start and end dates. I believe that once you have them merged you can keep rolling them into the next contract.

Also I believe there is some limitation as to how far you can go back --- 12 months or so.

Hope this helps

[Sidhartha]

Thanks YenEuro... appreciate it.

Can anyone from Ninja confirm if this is true...? i.e. you can only merge two months at a time and it has to be done at the crossover point of the two contracts.... i.e. I can't merge Jan 07 ES into March 07 ES now...??

Many Thanks

[NinjaTrader_Dierk]

Please follow merge instructions link provided by Vincent below

[Sidhartha]

Ok Dierk. So you can only merge two concurrent contracts as I understand from the link.

But do those contracts need to current...?

i.e. I'm not clear whether, as of today, I could merge data from the Jan 07 ES and the March 07 ES...?

Thanks

[NinjaTrader_Dierk]

Logic works for any set of contracts.

[justme]

Hi,

I'm not sure what the most inexpensive feed is for continuous contracts, but eSignal offers them and so does DTN.

It is also possible to merge individual contracts with Zen-Fire or other datafeed providers to create a continuous contract.

Info on how to do this can be found here:
http://www.ninjatrader-support.com/H...eV6/Merge.html

Hey V, what is DTN?

[NinjaTrader_Ray]

DTN is DNT IQFeed.

http://www.iqfeed.net/

[dgregor5]

Dear NT
Which of the data providers adjusts their data at contract rollover time to provide an 'adjusted continous contract'. I know IQ feed does not do this. Neither does OpenTick. TradeStation automatically adjusts their data to provide a continous contract. I know NT has this facility, but I have had little success in merging the data successfully. Also, pls could you provide a link to where I could find what the contract rollover dates were over the past 18 months for the YM.

many thx
David

[NinjaTrader_Dierk]

- You would need to contact the data vendor to clarify if they back adjust continuous contract data.
- unfortunately we don't have a list of rolling dates. Please consult the web sites of the exchanges affected.