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Old 01-15-2010, 02:30 AM   #1
iwannatoscript
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Default How to built continuos contract

Hi guys,

i need help to merge these futures to built continuos contracts.

The main is to test trading system and see the difference between

feed of interactivebrokers and zenfire.

I use interactivebrokers and zen-fire.

I read that each single futures has own rule to built a continuos contract.

Is it possible a clear explaination and a step by step guide to do it.

I see that there also many algotrader, how do you manage your database?

I write down the main futures.

cbl: zt, zf, zn, zb,zq, dd, re, zdj, ym,

cme: 6e, 6s, 6n, rp, ry, rf, hc, 6j, 6b, e7, j7, nq, glb ge, pjy,

eurex: fdax, fstx,fesx, fgbm, fgbl, fgbs,
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Old 01-15-2010, 04:03 AM   #2
NinjaTrader_Bertrand
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iwannatoscript, you would need to use our 'Merge' feature detailed here - http://www.ninjatrader-support.com/H...eV6/Merge.html

Please open charts for the expiries you want to merge into eachother and check for all needed data to be present, then disconnect and while doing the actual merge process.
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Old 01-15-2010, 11:18 PM   #3
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Bertrand i use both interactivebroker and zen fire,
i don't understand if i make 2 different database in this way?

i read
http://www.ninjatrader-support.com/H...eV6/Merge.html

but i don't know what is the better method to do the rollover.

Each one of this futurea has a own rule.

I think to divide the question in 2 part.

1) i see the video and i understand how to do.

I don't know when i connect to ib and zen fire, which one of datafeed
store the data.

So i don'i know if i merg data from ib or zen fire.

if i use a 3rd datafeed i'd like to have all the data merge only of this and not mixed.

Does it make sense?

2) i need the rule the rollover for each contracts.

Could someone post it please
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Old 01-18-2010, 05:32 AM   #4
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iwannatoscript, the primary connection will be used for your data retrieval.

http://www.ninjatrader-support.com/H...nections1.html

Best is to do the 'merge' then with one connected only, though for minute data I think you won't see that much noticable differences between the two.

Rollovers rules for the contracts do vary and normally you would need to compare the daily volume stats to see when it's shifting to a new front month.

If you use for example eSignal or DTNIQ as third party feeds, you could access readymade continuous contracts for most symbols with the ##-## expiry, or another choice, you wait until our NT 7 is available -

http://www.ninjatrader.com/webnew/NT7/NinjaTrader7.html

New Continuous/Merged Futures Contracts
The concept of continuous contracts are implemented in a manner that allows you to continue to work with the front month for trading (ES 09-09 is the current front month as of this writing) and define a rollover date, June 11, 2009 is the contract boundary between June and September contracts. Rollover dates for the most popular futures contracts will be managed by NinjaTrader server and automatically uploaded to you. You can of course overwrite this. You then set up a "Merge policy" globally which can be overridden at the instrument level. As you request a historical chart, if the days to load crossed over the rollover boundary, NinjaTrader will transparently request the prior month(s) historical data and merge it into one Data Series based on the selected merge policy. This entire process is of course transparent to the user and ensure that a complete chart is received and that you know which contract you are actually executing trades against.
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