make historical data from ib futures

Questions about MultiCharts and user contributed studies.
zukkaweb
Posts: 125
Joined: 08 Feb 2008

make historical data from ib futures

Postby zukkaweb » 31 Mar 2008

i'd like create a continuos contract for fututers, for example nqm8, to have a history of nq, how could i do?

dupl
Posts: 158
Joined: 04 Jul 2007

Postby dupl » 01 Apr 2008

A simple idea:
add all contracts to the chartwindow, than you have a continuos chart..
but not a continuos contract.

zukkaweb
Posts: 125
Joined: 08 Feb 2008

Postby zukkaweb » 01 Apr 2008

the problem is that in this way we could not make a back test with a lot of data, how coulg we do?

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Marina Pashkova
Posts: 2758
Joined: 27 Jul 2007

Postby Marina Pashkova » 02 Apr 2008

Hi zukkaweb,

IB does not provide continuous futures and MultiCharts does not have an automatic roll-over feature yet.

What you could do is go to QuoteManager and rename the expired contract - changing it's name and description to the name and description of the new contract. This will help you both to receive real-time data for the new contract and use the history of the expired one.

zukkaweb
Posts: 125
Joined: 08 Feb 2008

Postby zukkaweb » 02 Apr 2008

Could you show how do it? i try without goal.

Bye

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ABC
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Postby ABC » 02 Apr 2008

zukkaweb,

I have kept an old post from this forum. I don't know who made it, but it should help you.

Best regards,

ABC
Attachments
Rolling Contract data.PDF
How to create continous contracts
(54.54 KiB) Downloaded 106 times

zukkaweb
Posts: 125
Joined: 08 Feb 2008

Postby zukkaweb » 02 Apr 2008

great i thank you for the file,

i search in the forum and i find

http://forum.tssupport.com/viewtopic.ph ... highlight=

1
Is there and automatic way to have the possibility to see the continuos contract, like to push something?

2
without continuos contract how could we use backtesting strategy on futures?

3
If i'd like to see e-mini nq from the data that is bornt to now, so before 1999 is it possible, ?


thanks

zukkaweb
Posts: 125
Joined: 08 Feb 2008

Postby zukkaweb » 05 Apr 2008

Could be made this function easy, for example a symbol like NQcc that express the contiuos contract and all the merge is made by software? this will be great!!

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Marina Pashkova
Posts: 2758
Joined: 27 Jul 2007

Postby Marina Pashkova » 08 Apr 2008


1
Is there and automatic way to have the possibility to see the continuos contract, like to push something?


At this point there is no such a function in MultiCharts. In future, MultiCharts will know how to make continuous contracts. When you enter such a contract, MultiCharts will recognize it as continuous. It will then find all the contracts with the same root and will put them together using expiration and rollover rules.

2
without continuos contract how could we use backtesting strategy on futures?


In the current MC version, the only way to do that would be to export the data as ASCII files from the older future contracts and then import this data into the latest future contract. This way, the latest contract will have the aggregate data.

3
If i'd like to see e-mini nq from the data that is bornt to now, so before 1999 is it possible, ?


If your data provider gives data that far back you can plot it in MultiCharts. Or if you have this data in the ASCII format it can be imported into MultiCharts.

zukkaweb
Posts: 125
Joined: 08 Feb 2008

Postby zukkaweb » 21 Aug 2008

WHile for oec how could we do a rollover?

have we got the problem that we refresh we lose the data of previuos futures?

could you make another example of a rollover, loke nqu8 to nqz8,?

we only 15 minutes to make this process, exatly the date is 09 11 2008,

the 11th of September 2008 for nqu8 between the 16.15 and 16.30.

if we have a problem and we don't make in that day, but 5 days later what could we do?

thanks

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Marina Pashkova
Posts: 2758
Joined: 27 Jul 2007

Postby Marina Pashkova » 22 Aug 2008

Hi zukkaweb,

To switch from NQU8 to NQZ8, just rename the symbol: the old data will be retained, the new data will start coming in. The data for the previous contract will not be lost.

Regards.


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