Loading expired contracts

[johnathanhebert]

I had already downloaded historical data for the ES 03-23 contract, and was able to load and play it back on the playback connection for the last few weeks. However, once the current calendar day became Apr 1 2023 (today), I am unable to load and play back this data on the playback connection. Is this expected?

[NinjaTrader_BrandonH]

Hello johnathanhebert,

Thanks for your post.

Yes, this would be expected. The ES Futures instrument uses trading sessions from Sunday - Friday. This means that there would be no historical data available to download for Saturday, April 1, 2023. If there is no historical data available, you would not see data played back on this date when using the Playback connection.

Please also note the front month of the ES contract for April is ES 06-23, not ES 03-23.

You may go to Tools > Instruments and search the ES Futures instrument to see what Trading Hours template it uses. Then you may go to Tools > Trading Hours and click on the Trading Hours template the ES Futures instrument uses to see the trading hours sessions.

Instruments window: https://ninjatrader.com/support/help...nstruments.htm
Trading Hours window: https://ninjatrader.com/support/help...urs_window.htm

Let me know if I may assist further.

[johnathanhebert]

Thanks for the reply, but let me clarify as this was not quite what I meant. I understand that ES 03-23 contract expired on Mar 17 2023, and that it would not have any data after 8:30 central on Mar 17 2023.

The problem I have is that I am not able to use the playback connection to load it and run it during the months that it was active. For example, I have downloaded the data for ES 03-23 for all of the days in the month of Feb 2023 -- and I cannot play it back for those days. I was able to play it back until very recently. Should I be able to run the playback of historical data for the months where it was the front month contract?

[johnathanhebert]

I am using version 8.1.1.3

For example, I cannot load and playback the data shown in this screenshot for Feb 21 2023 for the ES 03-23 contract. (NOTE: I could load and playback this data just fine right up until the actual calendar day flipped to Apr 1 2023) Is that expected?

[NinjaTrader_BrandonH]

Hello johnathanhebert,

Thanks for your notes.

I see that you have historical Minute data downloaded for the ES 03-23 instrument but not historical Tick data.

You would need to download historical Tick data for the ES 03-23 instrument for the dates you are wanting to playback data for.

To do this, connect to the Simulation data feed connection, open the Historical Data window by going to Tools > Historical Data, expand the 'Download' section by clicking the arrow next to 'Download', set the Instrument field to ES 03-23, set the Start Date to say 02/01/2023, set the End Date to say 02/28/2023, check the 'Tick' checkbox, and click the Download button.

After downloading historical Tick data for this instrument and date range, you could playback the data using this Playback connection.

See this video demonstrating the above: https://brandonh-ninjatrader.tinytak...M18yMTI0MTA0OA

Please let me know if I may assist further.

[johnathanhebert]

Thank you, but I should have shown you that I already had historical tick data for all of Feb 2023 as well. Even with the historical tick data during the months that ES 03-23 was the front month contract, I still cannot playback the data on the playback connection. I could play it back just fine for several weeks. Something seems to have changed recently that made it stop working. Is there anything else I am missing?

[johnathanhebert]

Ah, I tried something that I thought might make it work again and it did. I had my "Symbology Display Style" set to "Exchange" so the contract symbol would display as ESH3 -- but I went in my preferences on https://account.ninjatrader.com/settings/preferences and changed it back to "Numeric" so the contracts would display as ES 03-23

As soon as I did that, I could playback the data on the playback connection again. Maybe there is a bug playing/loading historical data when the user preference for "Symbology Display Style" is set to "Exchange"?

[NinjaTrader_BrandonH]

Hello jognathanhebert,

Thanks for your notes.

The 'Exchange' Symbology Display option in the NinjaTrader Client Dashboard will only allow you to use the current front month for the chart instrument (ESM3) and not previous contract expiries.

To playback historical data for an expired contract, such as ES 03-23, you would need to use either the 'Numeric' Symbology Display option with the chart instrument set to 'ES 03-23' or the 'Month Abbreviation' Symbology Display option with the chart instrument set to 'ES MAR23'.

Please let me know if I may further assist.

[johnathanhebert]

Got it, thank you!