NinjaTrader Support Forum  

Go Back   NinjaTrader Support Forum > Application Technical Support > Miscellaneous Support

Miscellaneous Support Miscellaneous support issues.

Reply
 
Thread Tools Display Modes
Old 04-22-2012, 06:42 AM   #1
Aspirant
Member
 
Join Date: Jan 2012
Posts: 77
Thanks: 10
Thanked 0 times in 0 posts
Default Merge Backadjusted - underlying contract identity?

Hi Guys,

How am I supposed to tell which contract is the current contract in a merged backadjusted contract (e.g. es ##-##) ?

Also, if I am running my system on a merged contract will NT send orders for the actual contract, or do I need to write a multi-data system to manage this situation? (i.e. indicator series on the backadjusted contract and orders on the current contract).
Aspirant is offline  
Reply With Quote
Old 04-22-2012, 04:37 PM   #2
NinjaTrader_AdamP
NinjaTrader Customer Service
 
NinjaTrader_AdamP's Avatar
 
Join Date: Aug 2011
Location: Denver, CO, USA
Posts: 2,895
Thanks: 241
Thanked 376 times in 366 posts
Default

Quote:
Originally Posted by Aspirant View Post
Hi Guys,

How am I supposed to tell which contract is the current contract in a merged backadjusted contract (e.g. es ##-##) ?

Also, if I am running my system on a merged contract will NT send orders for the actual contract, or do I need to write a multi-data system to manage this situation? (i.e. indicator series on the backadjusted contract and orders on the current contract).
This is defined in Tools > Instrument Manager > Edit an instrument > Go to "Misc" tab > Check the "Contract months".

NT will send orders to the continuous contract in this case, or whatever is the chart contract expiry unless you use a multi-instrument strategy. In other words, if you are running a chart on ES 06-12 it will submit ES 06-12 orders, if you are running on ES ##-## it will submit ES ##-## orders. These may be rejected since not all providers support trading this contract.

Please let me know if I may assist further.
NinjaTrader_AdamP is offline  
Reply With Quote
The following user says thank you to NinjaTrader_AdamP for this post:
Old 05-15-2012, 01:54 AM   #3
Aspirant
Member
 
Join Date: Jan 2012
Posts: 77
Thanks: 10
Thanked 0 times in 0 posts
Default

Thanks for your reply.

However, what I need to know is how do I interrogate the underlying contract in a ##-## contract from script? Is there a command for this?

To take your ES example... Consider the problem where in I am running all my indicator series for determining entry and exit levels off theES ##-## time series and placing trade in ES 06-12... Then what if ES ##-## automatically rolls to ES 09-12?

I need to be able to determine from within the script from what contract ES ##-## is running and output a break report if there is a disparity.

I'm not asking for code here, I just need to know how to determine this important point from script.


Also, if ES ##-## rolls automatically from ES 06-12 to ES 09-12 I may have open position still remaining in the ES 06-12 contract that I need to run stops in, while I want to place new orders in ES 09-12. See how this get's messy?

Any thoughts on solving these issues elegantly with NT gratefully appreciated.
Aspirant is offline  
Reply With Quote
Old 05-15-2012, 06:56 AM   #4
NinjaTrader_AdamP
NinjaTrader Customer Service
 
NinjaTrader_AdamP's Avatar
 
Join Date: Aug 2011
Location: Denver, CO, USA
Posts: 2,895
Thanks: 241
Thanked 376 times in 366 posts
Default

Aspirant,

Unfortunately you would need to track the roll-overs yourself. You could create something like a text file or CSV file the strategy reads to update itself on the rollover dates.

As far as linking the continuous contract into a strategy, the way to do so is to use multi-instrument strategies. An example comes with NinjaTrader in Tools > Edit NinjaScript > Strategy > SampleMultiInstrument.

Please let me know if I may assist further.
NinjaTrader_AdamP is offline  
Reply With Quote
Old 05-17-2012, 10:00 AM   #5
Aspirant
Member
 
Join Date: Jan 2012
Posts: 77
Thanks: 10
Thanked 0 times in 0 posts
Default

Hey Adam,
Joydeep pointed me to this to give me the rollover dates. That'll work - Cheers,
Instrument.MasterInstrument.RollOverCollection
Aspirant is offline  
Reply With Quote
Old 05-17-2012, 12:17 PM   #6
NinjaTrader_Brett
NinjaTrader Customer Service
 
NinjaTrader_Brett's Avatar
 
Join Date: Dec 2009
Location: Denver, CO, USA
Posts: 6,556
Thanks: 111
Thanked 306 times in 293 posts
Default

That is unsupported but can do the trick.

-Brett
NinjaTrader_Brett is offline  
Reply With Quote
The following user says thank you to NinjaTrader_Brett for this post:
Reply

Tags
merge

Thread Tools
Display Modes

Posting Rules
You may not post new threads
You may not post replies
You may not post attachments
You may not edit your posts

BB code is On
Smilies are On
[IMG] code is On
HTML code is Off

Forum Jump

Similar Threads
Thread Thread Starter Forum Replies Last Post
how to merge ES 2003 data to 2011 march contract qewcool Miscellaneous Support 4 01-05-2011 01:50 PM
Merge backadjusted still flawed Harry Version 7 Beta General Questions & Bug Reports 47 07-20-2010 01:24 PM
Continuous contract data merge janniss Charting 5 06-06-2010 10:29 AM
Contract Merge tgilligan Suggestions And Feedback 4 06-17-2009 11:10 PM
Merge Contract ssierra Miscellaneous Support 9 04-20-2008 11:08 PM


All times are GMT -6. The time now is 10:19 PM.