Continuous Contract Feature Request

[RK_trader]

Hi Support,

I would like to request the "continuous contract" feature in Ninja. TradeStation has this feature, and is very useful to just load a continuous contract, without having any gaps of data during rolloverdays and additional work during rollover. I think this makes life easy in futures.

I know Ninja has merge feature,but it is limited to like 1 or 2 merges, and one has to do an additional task carefully during every rollover. Also one cannot get like a 1 year or 2 year continuous contract with merges. Continous contracts help a lot for studies in a longer time frame.


Thanks
RK

[PrTester]

Hi Support,

I would like to request the "continuous contract" feature in Ninja. TradeStation has this feature, and is very useful to just load a continuous contract, without having any gaps of data during rolloverdays and additional work during rollover. I think this makes life easy in futures.

I know Ninja has merge feature,but it is limited to like 1 or 2 merges, and one has to do an additional task carefully during every rollover. Also one cannot get like a 1 year or 2 year continuous contract with merges. Continous contracts help a lot for studies in a longer time frame.


Thanks
RK

Agreed!

[NinjaTrader_Chris]

Suggestions and Feedback

Hello,

Thank you for your suggestions and comments. I will let development know about this and have them add it to our future enhancement list.

[RK_trader]

Thanks Chris. If possible, please try to squeeze it into Ninja 6.5 Beta next release.

Also thanks PrTester.


Thanks
RK

[zoltran]

Try adding an contract using ##.## as the year/month .. it's at the bottom of the list of expiries in Instrument manager ...

This works for OpenTick, IQfeed and Esig ....

Your milage may vary re how much backfill you get.

Now .. it would be 'Real Nice' if you could leave NT plotting YM ##.## .. and have it internally know you are placing orders on the front month ...

[RK_trader]

Hi Chris/Support

Any possibility of this feature being released in the upcoming Ninja 6.5.0.5 Beta release this weekend

Thanks
RK

[zoltran]

RK .. did you try using the existing ##.## continuous function?

Now .. it would be 'Real Nice' if you could leave NT plotting YM ##.## .. and have it internally know you are placing orders on the front month ...

[NinjaTrader_Chris]

Suggestions and Feedback

Hello,

I'm not aware of this being added to NinjaTrader 6.5 Beta 5. If I find out, I will let you know.

[RK_trader]

Hi Zoltran,

Thanks for the tip, I appreciate it. I just tried it with opentick, it looks like working. Not sure how reliable it is, but something is better than nothing.

Zoltran, do you know how good of a job opentick does in doing this continous contract thing? Does it like say adjust previous quarters contract data accordingly so that there are no gaps of data during rollover period.

Also, which datafeed do you use for this contnous contract plotting.

It would be nice if Ninja, can introduce this continous contract feature similar to Tradestation.

Thanks
RK

[NinjaTrader_Dierk]

>> It would be nice if Ninja, can introduce this continous contract feature similar to Tradestation.
Could you please elaborate on this? Thanks

[zoltran]

RK .. they do not adjust anything ... just splices the contracts together on a 'roll-over' day. There's some chatter about how they do it in the opentick forum

Whereas DTN/IQ, and I think Esignal do adjust for contract roll-over

[zoltran]

Dierk ...
I've seen this done two ways ...

1- the continuous symbol (let say @YM ) is maintained by the charting program by automatically switching between front months, based on a defined contract roll over schedule. So even if the symbol is '@YM' NT would be getting quotes for the current front month. This is how Ensign and Omnitrader do it. Orders are always placed on the current front month

2 Use the continuous symbol from the quote provider for charting, but place orders on the current front month. This one isn't such a great method, as now you depend on the quote provider to keep the continuous and front months sync'd at a quote level... so that you actually trade on what you see.
You are also dependant on the quote provider and they will differ.

Make sense?

[NinjaTrader_Dierk]

Thanks.

1) Got it (I guess). But how about as you then want to trade the @YM on e.g. your chart?
Also: How would it be transparent on when NT rolled the contract?

2) I see

[zoltran]

Thanks.

1) Got it (I guess). But how about as you then want to trade the @YM on e.g. your chart?
Also: How would it be transparent on when NT rolled the contract?

You would trade/view/chart the @YM symbol.
The trading interface would always place trades on the front month. Of course, you could also have the actual contract charted as well.

Re Rolling . I think NT would do it the same way manual merge does ... collect a little data to see where the old/new closes are, compare and merge

[NinjaTrader_Dierk]

Thanks again for feedback.