add option to create continuous contract forIBKR clients

[Obelixtrader]

Hi,
Would be good to add function to create continuous contract and further fulfillment of
created continuous contract (modification).InteractiveBrokers has own data feed and offer also markets from asia-pacific. The problem is when you need to backtest and optimize of strategies.

[NinjaTrader_Jason]

Hello Obelixtrader,

You can use the ##-## expiry month for continuous contracts in NinjaTrader. You can type in the instrument + expiry month in the Instrument field of most NinjaTrader windows. For example:

• Left click in the Instrument field first and hit Backspace on your keyboard.
• Type in ES ##-## and hit Enter on your keyboard.

[Obelixtrader]

Hello Obelixtrader,

You can use the ##-## expiry month for continuous contracts in NinjaTrader. You can type in the instrument + expiry month in the Instrument field of most NinjaTrader windows. For example:

• Left click in the Instrument field first and hit Backspace on your keyboard.
• Type in ES ##-## and hit Enter on your keyboard.

Hi,
Its not US markets but korean market mini kospi 200 futures with month to month expiry. Its not working on mini kospi

[NinjaTrader_Jason]

Please note that I provided an example (For example).

Are you able to load data if you use the regular expiry month?

Am I correct you created a custom instrument for the mini Kospi futures?

[Obelixtrader]

Please note that I provided an example (For example).

Are you able to load data if you use the regular expiry month?

Am I correct you created a custom instrument for the mini Kospi futures?

Yes i am able to load data for every moth expiry but it must be set to do not merge. When i change it to merge back or merge back notadjusted. chart is empty for every moth expiry..
I have tried to load continnous contract by changing to merge back and merge back not adjusted and chart empty

[NinjaTrader_Jason]

I suspect no expiry months are defined in the instrument settings. Please configure expiry months for the mini Kospi futures to merge historical data.

I suggest to check how expiry months are defined for a default futures instrument as an example. Go to Control Center-->Tools-->Instruments. Double click a futures instrument that is present by default. Scroll to the bottom and click the 'Contract months' field. A new window will appear with configured expiry months.

[Obelixtrader]

I suspect no expiry months are defined in the instrument settings. Please configure expiry months for the mini Kospi futures to merge historical data.

I suggest to check how expiry months are defined for a default futures instrument as an example. Go to Control Center-->Tools-->Instruments. Double click a futures instrument that is present by default. Scroll to the bottom and click the 'Contract months' field. A new window will appear with configured expiry months.

Hi Jason,
I have in instrumets lists all exipred months and i have setts rollover dates for every exired months. Time on my pc is set to (UTC+09:00) Soul

[NinjaTrader_Jason]

What expiry month do you have selected for the K200M futures when you create a chart? If this expiry month is not added in the Contract Months window, please do so and then check if historical data is merged in the chart as per the rollover dates you have setup.

[Obelixtrader]

What expiry month do you have selected for the K200M futures when you create a chart? If this expiry month is not added in the Contract Months window, please do so and then check if historical data is merged in the chart as per the rollover dates you have setup.

I have selected expiry month K200M 12-20 if i select merge back adjusted no data on chart is if I select do not merge i have data for the contract month 12-20

[NinjaTrader_Jason]

Can you please tell me if you have October 12th 2020 or December 10th 2020 as rollover date for the 12-20 expiry month.

What rollover date do you have configured for the 11-20 expiry month?

How much historical data do you request in the chart?

[Obelixtrader]

Can you please tell me if you have October 12th 2020 or December 10th 2020 as rollover date for the 12-20 expiry month.

What rollover date do you have configured for the 11-20 expiry month?

How much historical data do you request in the chart?

for 10-20 expiry rollover date 08.10.20 from this contracts.
for 11-20 expiry rollover date 12.11.20
for 12-20 expiry rollover date 10.12.20
And i try 1 thing i set offset to -1 merge policy was (merge back adjusted) I have opened chart last trading i have 30.11.20 and i saw on my chart last trading days from contract months 01 to 11 2020 on chart

[NinjaTrader_Jason]

I suspect the rollover dates are not correct. I assume you refer to the Kospi futures at the link below.

https://www.eurexchange.com/asia-01/products/equity_index_derivatives/eurex_kospi/Eurex-Daily-Futures-on-Mini-KOSPI-200-Futures-253960

The link shows 02-21 is the current expiry month for the mini Kospi futures. I'm not able to find information when this futures instrument rolls over.

I suggest to create a daily chart with the 'Do not merge' policy setting for each expiry month. Apply the VOL indicator so you can check on which date volume shifted from one expiry month to the next one to determine the rollover date.

[Obelixtrader]

I have data from january 2020 to 30.11.20
last trading days of contracts moths are 2 Thursday of the month.When is a holiday on 2 thursday of the month last trading day will be wednesday.
Rollover dates are set corectly..And volume is shiftting from expiry to new month on last trading day.

[NinjaTrader_Jason]

Could it be the 'End date' and 'Days to load' settings do not capture the data that is present?

There is no expiry month defined for 01-21 and 02-21 in your screenshot, so I assume you create the chart for the 12-20.

If I understand correctly, it rolled over from 12-20 to 01-21 on January 14th 2021. If you use January 14th as 'End date' in the K200M 12-20 chart and request 365 days of data, does it load all requested data in the chart?

If you go to Control Center-->Tools-->Historical Data-->Edit-tab and double click Historical, do you see the historical data for each K200M expiry month?

[Obelixtrader]

Could it be the 'End date' and 'Days to load' settings do not capture the data that is present?

There is no expiry month defined for 01-21 and 02-21 in your screenshot, so I assume you create the chart for the 12-20.

If I understand correctly, it rolled over from 12-20 to 01-21 on January 14th 2021. If you use January 14th as 'End date' in the K200M 12-20 chart and request 365 days of data, does it load all requested data in the chart?

If you go to Control Center-->Tools-->Historical Data-->Edit-tab and double click Historical, do you see the historical data for each K200M expiry month?

Yes i see historical data for each K200M expiry month in historical data section.
As a end date for K200M 12-20 last date i have 30.11.20. I dont have data for the december.When i open the chart for K200M 12-20 chart request365 merge policy set to back adjusted and Offset -1 i see only on chart last day for every contract month from 01-20 to 11-20
Question:
Can also be caused by the fact that NT8 saves my data when merge setting policy was set to do not merge and thats the reason why i cant create continnous contract?