Error importing ES contracts earlier than year 2000

[digibob]

"Instrument is not supported by repository."

ES ##-00, ES ##-01, etc. - imported successfully.
ES ##-99, ES ##-98, etc. - getting above error.

These contracts do exist (added) in the 'Contract months' window.

eg. ES 12-99 is in the list, and the file to import is ES 12-99.Last.txt

Is the naming system different for earlier contracts?

[NinjaTrader_SergeyS]

Hello digibob,

Thanks for posting.

I'm happy to check into this with you if you would please email us at PlatformSupport [AT] NinjaTrader [DOT] com. In your message please include a link to this forum thread, ticket number 2282439 and a message 'ATTN Sergey'.

Additionally, please follow the steps below to manually attach your log and trace files to your response so I may investigate this matter further.

• Open your NinjaTrader folder under My Documents.
• Right click on the 'log' and 'trace' folders and select Send To> Compressed (zipped) Folder.
• Send the 2 compressed folders as attachments to this email.
• Once complete, you can delete these compressed folders.

Thanks in advance; I look forward to resolving this item.

[NinjaTrader_SergeyS]

Hello digibob,

Thank you for posting.

After confirming with our Product Development team, I was able to confirm that NinjaTrader 8 does not support expiries from the 90s or earlier when importing Historical Data.

Please let me know if you require any additional assistance.

[digibob]

Well, that answers the question. Thank you, Sergey.

[digibob]

Followup question. I have reason for which I'm also importing continuous ES data in addition to individual contracts. The continuous data sits in two-year files, 2018-2019, 2016-2017, and so on. I created a custom Futures instrument, named it ESCON and defined the contracts in the Contract Months window, similar to the ES contracts.

Now comes the unclear part. When I import, for example, the 2012-2013 file, I name it ESCON 03-14.Last.txt, then after import, looking in the Historical Data window, all the data goes under 03-14 while the other expiries are left empty. And also in the chart, only ESCON 03-14 shows data. (and strangely only one month of data)

Similarly, when I name the file ESCON ##-##.Last.txt, then looking in the Historical Data window there is a new entry, ESCON ##-##, and all the data goes in there, leaving all the defined expiries empty. And again, only ESCON ##-## works on the chart.

I was expecting the continuous to work the same way as the individual contracts. Is it different because it's a custom instrument or am I doing something wrong?

I also tried to change the instrument's settings. In particular the merge policy, does this setting matter when importing?

If all the data goes under one 'expiry' then why bother defining expiries? It basically acts like an equity instrument. What am I missing?

Apparently I'm not sure what I should be asking... I'd appreciate if you could elaborate on this - the right steps to import a continuous, whether a custom instrument makes a difference, what to expect to see after import, in terms of how to work with it (eg. how to load specific expiries in the chart or strategy analyzer, if at all possible) - I can't seem to find any information about it in the docs.

Thanks.

[NinjaTrader_SergeyS]

Hello digibob,

Thank you for your reply.

ES ##-## is the continuous version of the ES contract. Is there a specific reason for creating the ESCON Instrument? This custom Instrument is likely the cause. Does importing the data under ES ##-## produce desired results in seeing a continuous contract?

Thanks in advance; I look forward to your reply.

[digibob]

Hi Sergey, thanks for the reply.

On the chart when I load for example ES 09-19 I get a merged contract. This works fine. When I'm trying now, as per your question, to load ES ##-##, nothing comes up. But it didn't occur to me to import the continuous into ES. The thing is I don't fully understand how the continuous works, conceptually, though I may be starting now to understand with your help, so let me ask two specific questions to help confirm:

If I import the continuous into the same instrument after I already imported the individual contracts, will the continuous not overwrite the individuals data?

If let's say there is no data for individual contracts and I only import continuous data, is there any need at all to define rollovers? (in the instrument properties' Contract Months window)

Thanks.

[NinjaTrader_SergeyS]

Hello digibob,

Thank you for your reply.

Continuous contract of an Instrument is just a synthetically created Instrument that you do not have to roll over to continue seeing volume for Once the contract settles. These are provided by specific providers.

The reason you are seeing a "continuous" contract is due to the merge policy of your platform, which merges the data into a uniform graph. Since you are using this to view Historical data, there really isn't a need for a continuous contract since you are not rolling anything over.

However, if you import the data as ES ##-## it will create that continuous Instrument data for you. So if for some reason you require two sets of the same data, this can be accomplished by doing this.

Please let me know if you have any additional questions.

[digibob]

Hi Sergey, thanks. I'm almost there. I know what continuous is in general, what I wasn't sure about is how it is handled by the platform. Since normally there is no need to use both 'continuous' and 'individuals', I want to make sure the two can reside together as two separate 'entities' belonging to the same instrument. Reason being, I want to use the continuous data (roll on volume) to play with, mess it up, observe on the chart then shift it, cut parts, re-import, do some crazy things with it, and I want to make absolutely sure these operations will not affect the individuals' data in any way, which I'm coming to believe is the case (they will not affect), I just didn't get that clear confirmation in your last reply.

Thanks.

[NinjaTrader_SergeyS]

Hello digibob,

Thank you for your patience.

If you create two separate data sets, using numbered contracts and ##-## for each, it will act as a separate instrument within the NinjaTrader platform. So you are correct, they will not "merge" or affect each other.

Please let me know if you require any additional assistance.

[digibob]

Sergey, thank you for your help. Appreciated.

Kind regards.