Query on availability of futures data

[egoh21191]

Good day,

I've been playing around with NinjaTrader's platform and also subscribed to Kinetick's market data. However, I seem to be unable to obtain the full history of future's data. So for example, CL 10-21, it started trading 23 Nov 2015, but the earliest data i'm able to obtain from the platform only starts from 13 Aug 2021. Is that due to some sort of data restriction (applied at specified timings) or does Kinetick not provide such data?

I'm also unable to query for trade data for CL 01-22, which started trading in 22 Nov 2016.

Would appreciate any response. Thanks!

[NinjaTrader_Jason]

Hello egoh21191,

Please note that the CL currently uses the 09-21 as the front month. It is setup to rollover on August 17th 2021 to the 10-21 expiry month.

Can you please right click in the chart and select 'Data Series'. Enter a value you like for 'Days to load' and click OK. Check if the requested historical data is loaded.

NinjaTrader merges historical data from previous expiry months by default (if enough historical data is requested). If this is not the case for you, please go to Control Center-->Tools-->Options-->Market data and check the 'Global merge policy' setting. Make sure it is set to 'Merge back adjusted'.

Check what merge policy is setup for the CL futures.

• Go to Control Center-->Tools-->Instruments.
• Double click the CL futures.
• Check the 'Merge policy' setting. Make sure it is setup for 'Use global settings' or 'Merge back adjusted'.

Historical data is merged as per the rollover dates that are setup. You can find rollover dates in NinjaTrader 8 as follows.

• Go to Control Center-->Tools-->Instruments.
• Double click a futures instrument.
• Scroll to the bottom in the new window that opens up.
• Click the Contract months field and another window opens up that shows the expiry months and their rollover dates.

[egoh21191]

Hi Jason,

Thank you very much for the reply! Apparently what I needed was to select "Do not merge" instead of "Merge back adjusted", because what I wanted was to have the time series of calendar spreads and not just the front month data.

Managed to get the data now.