View Full Version : Contract rollover and historical data
I'm using the Zen-Fire feed with Min and Tick charts. So far (i.e prior to rollover) Zen-Fire provides about 5 - 10 days of history which is enough to allow the indicators (especially for higher min/tick counts) to calculate correctly. Unfortunately, when the contracts rollover and I change the instrument to the new contracts there is no historical data so the indicators are all over the map - is there anyway that NT can use continuous contract data while still using the Zen-Fire feed?
If possible, I would prefer not to use e-signal which would cost me approx. $70 per month, especially as I would only need it when the contacts rollover.
If it is necessary to use e-signal then how would I use Zen-Fire and e-signal together so that I could the historical data?
12-07-2006, 03:07 AM
Zen-Fire historical data does not support continuous contracts.In NT6, we do support the concept of Historical Data Merge which allows you to take the prior contract's historical data andmerge it into the front month contract. We are in our 3rdbeta phase right now with about 70 people hammering on it. We expect to release public beta in the next week or so.
Thanks Ray. I'm running NT6 so I tried it - problem solved. It did take a few tries to get it to merge correctly.
I know you probably aren't focused on this now - given that you're close to the public release of NT6, but a nice feature would be to have NT automatically merge data when changing instruments (i.e. following a user prompt) using the "Days Back" to pull data from the previous contract if it's available.
12-07-2006, 03:44 AM
Excellent! Interesting suggestion. Will add to list for future consideration.
Curious, where did you get stuck on the merge facility? Apart from your suggestion, anything we can do to make it more friendly?
Here are a few roadbumps that I ran into:
1. I had already deleted the old instuments using the instument manager so they didn't show up in the "From" drop-down. I went back and added them back using the Instrument manager so I could see them in the drop-down.
2. I made the "To" date - today's date (i.e. 12/7/06) which is the same as start of the current contract (YM and NQ in my case) and got error massages about not finding data, etc. - once I made the "To" date 12/6/06 then everything worked OK.
3. Needed to reload all the charts by loading the old contract and then reloading the new contract. Not a biggy, but could cause some folks to think that the merge has not worked if they don't do this.
Rather than the From/To dates I think it would be more intuitive to use a "Days Back" - just a suggestion.
Oh yes, the other point I was wondering about is how the merge handles the session start/end given the NT does not currently support an End-of-Session that is less than the Start-of-Session and since the current Globex contract will start from 3:30PM on the previous day?
i.e. if there is a data overlap will the "From" or "To" take priority and simply ignore the other data when the bar timeframe overlaps?
12-07-2006, 04:07 AM
Thanks for this feedback, very valuable. I will think about this. I was already thinking about changing the layout:
Time Frame Data
12-07-2006, 04:09 AM
One thing you could have done is:
When selecting the instrument, select "Future" under type, then you can select the contract and the expiration date instead of adding the 12-06 contract back in.
*Maybewhat could make sense is removing the default list of instrumentsso one is forced to use the above approach.
It's probably way more program development but my preference would be to see something as follows for the merge:
Days Back: xxx
For example, if I selected YM 03-07 then I would only be interested in merging past YM data for xx days - so therefore, no need to select a "From" and no need to select any dates. NT would check if the data was available and load what it could, i.e. if only two days of historical existed and not five then it would still load the two and let me know. Following the merge it would provide a dialog asking if I wanted to refresh the current charts with the merged data.
Also, any comments on overlapping data? Please see my earlier post.
12-07-2006, 06:18 AM
The "To" date of the merge to data is overridden from the merge from data.
Ouch! I think that this could cause some data issues - especially for calculating indicators such as pivots which relay on accurate high/low/close data. Let me explain - I might be wrong but here is how I see it:
Taking a Globex instrument, for example NQ, the session begins at 3:30PM and ends the following day at 3:15PM. However, when I merge, NT asks for "From" and "To" dates, so lets say I use the following parameters:
From Contract: NQ 12-06
To Contract: NQ 03-07
From Date: Nov 30, 2006
To Date: Dec 6, 2006
Since NT6 doesn't currently support an End-of-Session that is less than the Start-of-Session this means that the Session times are set to the default 12:00AM.
So if the From contract has any bars that are greater than 3:15PM on Dec 6th then these would "overwrite" the bars that current exist in the NQ 03-07 contract. Since the NQ 12-06 contract can have different prices to the NQ 03-07 contract for the same timeframe, this would mean that the "merged" NQ 03-07 contract could have NQ 12-06 data where, in fact, it should have NQ 03-07 data. This could some indicators to print incorrect values.
Not sure if all this makes sense??
With reference to my earlier post -
If NT provided an Merge option to let either the "From" or the "To have priority - then it would be possible to give the "To" priority so that no "To" data would be overwritten by the "From" data.