Automatic roll to next contract month in market replay

[Boonfly8]

If there is no way to do this, can we please make this a feature request? If one has data for say the entire 2018 and want to let the strategy run through market replay in its entirety, it's cumbersome to switch over the contracts between rolls. Not to mention it is also easier to see strategy reports. Is there anyway to do this currently without having to restart market replay 4x (for a quarterly expiration futures contract)

[NinjaTrader_ChrisSch]

Hello Boonfly8,

Thank you for your note.

I have submitted your inquiry to our development team as a feature request.

Let us know if we may assist further.

[sledge]

If there is no way to do this, can we please make this a feature request? If one has data for say the entire 2018 and want to let the strategy run through market replay in its entirety, it's cumbersome to switch over the contracts between rolls. Not to mention it is also easier to see strategy reports. Is there anyway to do this currently without having to restart market replay 4x (for a quarterly expiration futures contract)

You could set up each tab to have each contract, this worked until NT8 B6?, when some other fixes to the logic slowed this method down.

You don't have to wait for a fix, IF YOU HAVE YOUR OWN DOWNLOADED REPLAY DATA. You can fix it yourself now, like I have. Battle tested end users have experience in this stuff. I replay 4 years of recorded ES data. Yes over 16 separate contracts. Takes 13 hours or so depending on # of trades, but works way faster than NT7 which would take days and stall out after 1 year and take days.

Build your own ES folder of data and name it ES ##-##, and replay that.

It's as simple as that. Oh yeah, don't double up on days. Only 1 day from each contract(control your own roll over day).

[Boonfly8]

You could set up each tab to have each contract, this worked until NT8 B6?, when some other fixes to the logic slowed this method down.

You don't have to wait for a fix, IF YOU HAVE YOUR OWN DOWNLOADED REPLAY DATA. You can fix it yourself now, like I have. Battle tested end users have experience in this stuff. I replay 4 years of recorded ES data. Yes over 16 separate contracts. Takes 13 hours or so depending on # of trades, but works way faster than NT7 which would take days and stall out after 1 year and take days.

Build your own ES folder of data and name it ES ##-##, and replay that.

It's as simple as that. Oh yeah, don't double up on days. Only 1 day from each contract(control your own roll over day).

Hey Sledge,

Thank you for your note. I do use Market Replay Downloader to mass download quotes. I do see the structure of the files in the folders as for example ES 03-18 and 20180101.nrd files, with each file pertaining to the days that are included in the futures contract. If I am understanding you correctly, you essentially suggest to dump a years worth of data into a single folder. I have two questions for you:

1. how do you direct NT market replay to use that particular folder
2. how do you automatically make the switch? On say 3-15-2018 when the rollover date happens.

Thanks in advance for your ideas!

And yes, I want to test the strategy using market replay only and just let it run years worth of data and walk away and do something else. Strategy analyzer is useless for real testing.

[Boonfly8]

For NT team,

I think what would be a good idea is where in Chart properties, where you can choose date ranges, maybe also specify which contracts to go along with it. Enable the user to select mutiple date ranges and corresponding expirations

[NinjaTrader_ChrisSch]

Hello Boonfly8,

Thank you for your note.

I have submitted your suggestion to our development team as a feature request.

Let us know if we may assist further.

[sledge]

Hey Sledge,

Thank you for your note. I do use Market Replay Downloader to mass download quotes. I do see the structure of the files in the folders as for example ES 03-18 and 20180101.nrd files, with each file pertaining to the days that are included in the futures contract. If I am understanding you correctly, you essentially suggest to dump a years worth of data into a single folder. I have two questions for you:

1. how do you direct NT market replay to use that particular folder
2. how do you automatically make the switch? On say 3-15-2018 when the rollover date happens.

Thanks in advance for your ideas!

And yes, I want to test the strategy using market replay only and just let it run years worth of data and walk away and do something else. Strategy analyzer is useless for real testing.

The file folder is called ES ##-## in Windows. Put all those daily files there.

Replay ES ##-## instead of each individual contract.

[Boonfly8]

The file folder is called ES ##-## in Windows. Put all those daily files there.

Replay ES ##-## instead of each individual contract.

Hey Sledge,

I want to make sure I'm with you 100% on this. The path of my NT folder is as follows: Documents\NinjaTrader 8\db\replay

and in the replay folder, my files (downloaded from Market Replay Downloader) are as shown where each contract period has its own folder. Looking at ES, we have:

ES 03-18
ES 06-18
ES 09-18
ES 12-18

Are you saying to just dump all the files from 06-18, 09-18, and 12-18 to ES 03-18? And have no other folders for ES? Will NT market replay automatically recognize the only folder then just play all the data in it? Which ES contract do you specify to open up a chart to follow along?

Thank you very much in advance for all the help, this will help tremendously for contracts that expire monthly! Hopefully NT has a more elegant solution for this soon.

[sledge]

I haven't tried ES 03-18 with all the days in it. It might work.

as I've said 3 times or so, make a ES ##-## folder and play that back. Put that in the chart.

[Boonfly8]

I haven't tried ES 03-18 with all the days in it. It might work.

as I've said 3 times or so, make a ES ##-## folder and play that back. Put that in the chart.

Finally got around to trying it, works well. Thanks for the tip. This is a really nice work-around as (like you said), you can pick and choose files in there to rollover on a specific trading day. Not to mention it will come super handy to test contracts that has monthly expirations...

Thx for the tip Sledge!