Market Replay, Contract rollovers?

[SBMT17]

Hello,
I tried to search the forums for this information, but I simply failed - just call me BigDumDum.

I am currently building a strategy. I am back-testing this strategy for Crude Oil futures (CL). However, since CL had a contract rollover in August, my back-test gets all jumbled up.

Would someone please give me advice in the best way to run market replay when a contract has a rollover?

Am I supposed to download both contracts? Is there some way to "merge" them so I can just fast forward through it if I must download both?

[sledge]

I merge the folders manually into ES ##-##.
Choose you rollover day, and don't have 2 of the same day in the folder.

I've done this for replay. Never tried historical.

Playing back 4 years of replay data for ES here.

[SBMT17]

Sledge,
I'm a BDD, BigDumDum, seriously... sometimes I just don't understand what people mean when they say it so nicely.
Could you walk me through what you mean? Please, talk to me like you would a noob NT8 user. When it comes to contracts, rolling over, merging and playback... I just get somewhere so lost.
My goal is precisely what you're doing, but how do I do that "dont overlap days" and also what files am I changing here?
Is there an online walkthrough anywhere? If not would you be so kind?
I promise to pay it forward!
Cheers

[sledge]

Sledge,
I'm a BDD, BigDumDum, seriously... sometimes I just don't understand what people mean when they say it so nicely.
Could you walk me through what you mean? Please, talk to me like you would a noob NT8 user. When it comes to contracts, rolling over, merging and playback... I just get somewhere so lost.
My goal is precisely what you're doing, but how do I do that "dont overlap days" and also what files am I changing here?
Is there an online walkthrough anywhere? If not would you be so kind?
I promise to pay it forward!
Cheers

In

C:\Users\Your User\Documents\NinjaTrader 8\db\replay

You should see ES 06-18, ES 09-18 if the data exists for those contracts.


Create a new folder, ES ##-##.


Copy each day from ES 06-18 and from ES 09-18 into ES ##-##.

Depending on how you rollover, you may have the same days in each folder. Only choose one.


Now when running replay - make a chart with ES ##-## and replay that.


--
Contracts expire mostly monthly (CL), or quarterly (ES). On ES it is Thursday, volume drops off of the preceding contract, and by Friday you should be on the new contract trading.

As long as you are day trading only and not holding over night - This method is in line with the market. If you start holding over night - you need to figure out how to get out of preceding contract and get into new contract at the correct time. The prices are different, so you can't say "oh I got in ES 09-18 on Thursday" but ES 12-18 is already running 10 points higher and claim that as a gain in replay. It's not reality. You have to get out of ES 09-18 on Thursday and enter ES 09-18, that 10 points is never yours.


example multi year ES replay

https://ninjatrader.com/support/foru...9&d=1447604366

[NinjaTrader_ChelseaB]

Hello SBMT17,

The Playback is meant to work similar to the real world. In the real world a chart or strategy instance would not automatically rollover and would require either clicking the Rollover button or manually rolling the chart.

Most brokerages do not support continuous contracts and there isn't replay data available from NinjaTrader for continuous contracts.

I will forward a feature request on your behalf for the NinjaTrader IT to consider recording continuous contract data or for development to consider a way of testing over multiple contract expiry months during playback.
Once I have a tracking ID for this request I will post in this thread for future reference.

Thanks, sledge, for your work around.

[NinjaTrader_ChelseaB]

Hello SBMT17,

I have received tracking ID #SFT-2773 for the request to support recording continuous contracts or apply Merge Policy to Realtime data in Playback.

Please note it is up to the NinjaTrader Development to decide if or when any request will be implemented.

We appreciate your feedback.

[markdshark]

Hello SBMT17,

I have received tracking ID #SFT-2773 for the request to support recording continuous contracts or apply Merge Policy to Realtime data in Playback.

Please note it is up to the NinjaTrader Development to decide if or when any request will be implemented.

We appreciate your feedback.

Please add my vote for this as well even though this thread appears to be from 5 years ago and since this does not exist I'm guessing the idea was rejected for whatever reason.

Mark

[NinjaTrader_BrandonH]

Hello Mark,

Thanks for your note.

I have added your vote to this feature request.

[Entwaze]

Has there ever been a feature requested and implemented?
Im with sledge here, that stuff annoying

[Entwaze]

Im just saying,
were not just customers, were supposed to be a family

[NinjaTrader_BrandonH]

Hello Entwaze,

Thanks for your notes.

Yes, feature requests have been requested and implemented.

Deciding on features for future releases is not a simple black and white decision. There are many factors involved including but not limited to:

• Demand which is measured by objective user requests and subjective discretion on the part of our Product Management team.
• Feasibility
• Developer bandwidth
• Current projects in the queue
• Economics

You'll find a note regarding your feature request in the release notes when a feature is implemented.