Merging Historical data

[mikehoustonmsu]

I have two issues here I'm trying to clear up.

I am trying to merge historical data so I can view and backtest from 01/01/2007 to the present contract of ES. Do I have to merge each contract starting with merging 03-07 with 06-07 and then 06-07 with 09-07 and then 09-07 with 12-07... and so on? or is there a way to say "merge all ES contracts from 01/01/2007 to the present contract" which happens to be 06-10? Each time I try merging data, it seems that my charts get all chopy and can't seem to backtest accurately.

Also, another issue I am having is, when I run a strategy live it doesn't work, but when I backtest the strategy it shows historical trades. what might cause this? I have already double and tripple checked the backtest strategy parameters and the live strategy parameters to make sure all is exactly the same. This is a concern because from backtesting the strategy it was showing I should have made more money than what actually happened live.

Thanks for your help,

Mike

[NinjaTrader_Ben]

Hello,

You have to merge the files one by one. Yes, the data is just put end to end when you merge, that is what merging does, so it will have a gap/chop.

I suggest you post some code so we can give you tips. It is tough to say why it is not trading without looking at the code. Are you sure that the criteria was met for a trade?

[mikehoustonmsu]

When I merge these contracts, is it best to use specific dates? What I mean by that is, contracts rollover in the middle of the month sometimes, so if I put into the system to merge 06-08 to 09-08 with the dates from 06/01/2008 to 09/01/2008, I don't know if I am getting it done right. Basically I'm confused on how to enter in the correct dates. Thanks.

[NinjaTrader_Josh]

Mike,

You will need to find the exact dates for the instrument you want to roll on those specific contracts. Otherwise you will be rolling on improper dates and that would not work.