BarsRequest custom instrument

[Bobin]

I have added a new contract month "GC 11-22" to the gold contract month list in the instrument settings.
However, when I try to load bars with the BarsRequest method, I get an error "Unknown instrument 'GC 11-22'".
How can I fix this error?
The contract GC 11-22 exists on the CME website, so I guess there should be data available.

[NinjaTrader_Kate]

Hello Bobin,

Thank you for your reply.

I'm able to load GC 11-22 via Kinetick after adding the 11-22 contract in the Instruments window. Are you able to open a GC 11-22 chart ? Who is your data provider? How much data is your BarsRequest trying to get?

Thanks in advance; I look forward to assisting you further.

[bltdavid]

I thought the 'GC 11-22' contract would be one of those that
is not really used ... like how 'ES 11-22' is in the list but also
not used. Right?

[NinjaTrader_Kate]

Hello bltdavid,

Thank you for your reply.

Yes, it's not really used, but it is possible to load, via Kinetick anyway. I don't believe it's traded much.

Please let us know if we may be of further assistance to you.

[Bobin]

Hello Kate,
I'm using Continuum.
Those niche contracts are very important to me.
I tried the free Kinetick connection and I'm able to load a chart for GC 11-22.
However, I need to use the BarsRequest method.
I found out that using MergePolicy "DoNotMerge" results in my action method not getting called at all.
When I use "MergeBackAdjusted", the action method is called, but doesn't contain any bars. ("request.Bars.Count" equals 0.)


This is my code.

Instrument instrument = Instrument.GetInstrument("GC 11-22");
new BarsRequest(instrument, DateTime.Parse("2022-09-15"), DateTime.Parse("2022-09-21")) {
    MergePolicy = MergePolicy.MergeBackAdjusted​,
    BarsPeriod = new BarsPeriod {Value = 1, BarsPeriodType = BarsPeriodType.Day},
    TradingHours = instrument.MasterInstrument.TradingHours,
}.Request((request, errorCode, errorMessage) => {
    // ...
}​
​

[NinjaTrader_Kate]

Hello Bobin,

Thank you for your reply.

I've done some further digging and while the 11-22 contract does exist, NinjaTrader Continuum doesn't support it because of low volume. The current volume is all on GC 12-22 right now if you look at this publicly available link:

https://www.cmegroup.com/markets/metals/precious/gold.quotes.html

That being said, I'm able to see daily bars returned using this indicator that uses a daily bar request on Kinetick EOD, do you see the same?

Thanks in advance; I look forward to assisting you further.

[Bobin]

Hello Kate,
I've found that my rollover date in the instrument settings affects whether I get bars or not.
I have to set the rollover date to the past in order to get bars. When I set it to the future, I don't get any bars.
That's not what I would expect, because I can request other instruments too which have a rollover date in the future.

Example:
I set the rollover date of GC 11-22 to year 2023 --> I don't get any bars
I set the rollover date of GC 11-22 to year 2021 --> I get bars
I request GC 12-23 --> I get bars

GC 12-23 has a rollover date in 2023 too. So I don't understand why I wouldn't get bars for 11-23.

Thank you very much for your help!

[NinjaTrader_ChelseaB]

Hello Bobin,

The rollover date is used for merging of the data.

Below is a link to a forum post that goes into detail.

https://ninjatrader.com/support/forum/forum/ninjatrader-7/strategy-development-aa/96311-backtesting-choosing-contract-month?p=782986#post782986

https://ninjatrader.com/support/forum/forum/historical-beta-archive/version-8-beta/89719-new-user-chart?p=751356#post751356

Setting the rollover date to 2023 for that specific contract month of 11-22 would not allow data to load on the chart until today's date is that date in 2023..