Exporting Front Month Tick Data

[itsthefriz]

Hi, I'm curious if there's a way to export tick data from the front month contract going back a few years so I can train a model I'm working on? Or will the data have to be exported by contract and then back adjusted manually? I.e. if I export ES 03-22 from 01/01/2018 will I only get the data from that contract or will tick data always be from the front month? Just want to clarify how this will work before I go ahead and do anything

Also it looks like Kinetick only has 2 months of VIX data?

[NinjaTrader_ShawnB]

Hello itsthefriz,

Thank you for your note.

You can use the Merge Back Adjusted Merge Policy or a Continuous Futures contract. Continuous Futures contracts are not available in NinjaTrader 8 for CQG/Continuum based connections.

However, this can be accomplished if you are using the Merge Back Adjusted, Merge Policy in NinjaTrader 8. This will merge the historical data from previous front months into the current front month so it functions as de facto continuous contract with NinjaTrader Continuum data. You can find this option in the Control Center under Tools > Options > Market data > Ensure Merge Back Adjusted is selected for the Merge Policy. Then right-click in your chart and select reload all historical data.

Please see the Merge Policy Help Guide for more information on Merge Policies.

Please do not hesitate to contact us for any other NinjaTrader inquiries you may have.

[itsthefriz]

Thanks for the help Shawn,

And I assume with that setting the back adjusted continuous contract will be exported from NT8 using the Export and I am okay to export ES 03-22 for however many years of tick data the system will give me?

[NinjaTrader_ShawnB]

Hello itsthefriz,

Thank you for your post.

If you are using a Continuum/CQG data source. When connected to this account, you will be able to load Tick data up to 365 days.

For data further back, you would need to connect to a data provider that supplies historical data for NinjaTrader, such as Kinetick.

If you would like, I could have a colleague reach out to you with options to receive more historical data.

Please do not hesitate to contact us for any other NinjaTrader inquiries you may have.

[itsthefriz]

Hi Shawn,

I would be interested in hearing about ways to get more historical tick data. Tried to use my Kinetick feed to get historical tick data and it was only available for 180 days I believe

[NinjaTrader_ThomasC]

Hello itsthefriz,

Thank you for your post.

Providers such as PortaraCQG may provide historical tick data, there are a number of other providers who also provide data to the platform. You can review all of our providers by using the link in this email.

Once you have identified your vendor of choice, please visit each vendor's site for more information or contact them directly to learn more:

https://ninjatraderecosystem.com/market-data/

You can locate the contact information for the vendors on their direct websites for any additional questions you may have. Since these vendors are third-party services for NinjaTrader, all pricing and support information will need to be obtained through the vendor.

The NinjaTrader Ecosystem website is for educational and informational purposes only and should not be considered a solicitation to buy or sell a futures contract or make any other type of investment decision. The companies and services listed on this website are not to be considered a recommendation and it is the reader's responsibility to evaluate any product, service, or company. NinjaTrader Ecosystem, LLC is not responsible for the accuracy or content of any product, service or company linked to on this website. Let me know if I may be of further assistance.