Chart difference between ES09-12 and ES##-##

[51friend]

I hope "ES 09-12" can show same renko bar as "ES ##-##", but failed. Please see the picture. I have tried to change merge policy in the menu of "Tools/Options/Data", still not succeed. There is different data in ES ##-## and ES 09-12. I think the merge policy of "ES ##-##" is better than "ES 09-12". How to let "ES 09-12" show same the renko bar as "ES ##-##"? Thanks.

Best Regards,
Gordon

[NinjaTrader_ChristopherJ]

Hello,

Thank you for your post.

Can you please tell me what Merge Policy you have applied currently?

[51friend]

I use the merge policy of MergeNonBackAdjusted. The data feeding is CQG.

Today i have done more test, and find more serious problem. Please see the picture. The data in "ES ##-##" seems fine. But the data in "ES 09-12" seems broken. There is data gap between 2012-6-1 and 2012-6-4.

I think the merge policy for "ES ##-##" is good. On 2012-6-4 "ES ##-##" shows the data of "ES 06-12". Could we let "ES 09-12" show historical data of "ES 06-12" before 2012-6-8, and show historical data of "ES 09-12" after 2012-6-8? Thanks.

Originally Posted by NinjaTrader_ChristopherJ

Hello,

Thank you for your post.

Can you please tell me what Merge Policy you have applied currently?

[NinjaTrader_Matthew]

Hello,

The merge policy should be displaying historical data for the 06-12 before the defined rollover date. You can double check the roll over data by going to Tools--> instrument manager--> locate the "ES" and select "Edit". From the Instrument Editor, click on the Misc tab--> scroll down the the "Contract Months" section.

Click here for more information on Understanding the Misc tab > Contract Months


If you are sure you have the correct roll over date, I would suggest deleting your historical data for the ES 06-12.

NinjaTrader Help Guide:
Removing Historical Data

Once the data has been deleted close NinjaTrader. Open the Documents\NinjaTrader7\db\cache folder. Select all files then right mouse click and select “delete.”

Open NinjaTrader and connect to your data provider. Open an new chart.

Please let me know if this resolves your issue.

[51friend]

Thank you for your reply. I have set NinjaTrader as your instructions, and done more test. This time i find problem with "ES ##-##". Please the picture. There is a gap between 2012-6-6 and 2012-6-8 on the chart of ."ES ##-##".

"ES ##-##" seems not to follow my rollover rule. I set 2012-6-8 as rollover date for the contract of "ES 09-12".

Originally Posted by NinjaTrader_Matthew

Hello,

The merge policy should be displaying historical data for the 06-12 before the defined rollover date. You can double check the roll over data by going to Tools--> instrument manager--> locate the "ES" and select "Edit". From the Instrument Editor, click on the Misc tab--> scroll down the the "Contract Months" section.

Click here for more information on Understanding the Misc tab > Contract Months


If you are sure you have the correct roll over date, I would suggest deleting your historical data for the ES 06-12.

NinjaTrader Help Guide:
Removing Historical Data

Once the data has been deleted close NinjaTrader. Open the Documents\NinjaTrader7\db\cache folder. Select all files then right mouse click and select “delete.”

Open NinjaTrader and connect to your data provider. Open an new chart.

Please let me know if this resolves your issue.

[NinjaTrader_Matthew]

The merge policy does not apply to the ##-## contract. The merge policy is set by the data provider and cannot be changed by the user.

The merge policy will only affect individual futures contracts to create synthetic continuous contracts between expirys.

If you got to Tools--> Historical Data Manager, do you have historical tick data for the ES ##-## contract on the 7th?

[51friend]

Yes, i have historical tick data for the "ES ##-##", but there is no tick data on 2012-6-7. I cleaned up all data and loaded historical data for "ES ##-##" again, and still no data on 2012-6-7. Please see the picture. Why is there no data on 2012-6-7? Thanks.

Originally Posted by NinjaTrader_Matthew

The merge policy does not apply to the ##-## contract. The merge policy is set by the data provider and cannot be changed by the user.

The merge policy will only affect individual futures contracts to create synthetic continuous contracts between expirys.

If you got to Tools--> Historical Data Manager, do you have historical tick data for the ES ##-## contract on the 7th?

[NinjaTrader_Matthew]

Can you remind me who you connect to for data?

[51friend]

As i said on 2012-6-11, I use the merge policy of MergeNonBackAdjusted. The data feeding is CQG.

Today i used Zen-fire data feeding to test, the result is same. There is a gap between 2012-6-6 and 2012-6-8 on the renko bar chart of "ES ##-##" as the last picture i sent you.

Have you tested by yourself? I think both CQG and Zen-fire use your historical data. The historical data is vital for back test. Could you do a thorough check to your historical data? Thanks.

Originally Posted by NinjaTrader_Matthew

Can you remind me who you connect to for data?

[NinjaTrader_Matthew]

Hello,

Thanks for bringing this to our attention. We are seeing the same thing for this and previous roll overs. We're currently looking into this further.

[51friend]

I think the historical tick data from NinjaTrader data center is very wrong. I have developed a strategy based on renko bar. The result of back test with NinjaTrader's historical tick data is very profitable. But after doing forward testing, the strategy lost money.

Which one doesn't use NinjaTrader's Historical Data? Do MBT, IB, ThinkOrSwim/TD_America still use the historical data from NinjaTrader data center in NinjaTrader platform? Thanks.

Best Regards,
Gordon

Originally Posted by NinjaTrader_Matthew

Hello,

Thanks for bringing this to our attention. We are seeing the same thing for this and previous roll overs. We're currently looking into this further.

[NinjaTrader_Matthew]

Hello,

Zen-Fire and CQG are the only current broker technologies that will use the NinjaTrader historical data servers.

You can use Kinetick, IQFeed, eSignal or BarChart to supplement your historical data.

If you're interested in brokers, you can use MBTrading, Interactive Brokers or PFG.

TD Ameritrade does not offer data for Futures to NinjaTrader.

Click here to view more information on Historical Data and Understand the data provided by your connectivity provider

[arbuthnot]

Hi Matthew

I'm very interested by what I've read in this thread.

But could please explain what "ES ##-##" is as compared with "ES 09-12"?

My data feed is Kinetick.

Thanks for letting me know.

[NinjaTrader_Matthew]

Hello,

The ES ##-## is a continuous contract that is compiled by the data provider. In the case of Kinetick, the values that are reported and the methods that are used to merge the current contract into an expired contract are determined by them.

If you use the ES 09-12, we will employ our own merge policy to create a continuous contract to load the expired data.

[arbuthnot]

Thanks, Matthew, that's very helpful indeed.