@xx contracts?

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Sky
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@xx contracts?

Postby Sky » 08 Jun 2018

Hi Folks,

Help me to understand these @xx data contracts (e.g. @ES, @NQ, etc.) please. Am I correct that in the past we had to build these "continuous" contracts from all the previous expired contracts in order to obtain several years of minute or tick data in order to run our back testing on?

But now, and in the future, I can use the @xx data instead of the "continuous" contracts I built from connecting the expiry contracts?

If so, how much data is given (say...years back of 5 minute bars of the @ES contract) once I connect and the download begins with IB data?

Thanks

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Re: @xx contracts?

Postby Sky » 08 Jun 2018

Ok.....I am attempting to open a chart with @NQ and I receive the message "Waiting for data....." , so am I waiting for the entire @NQ data set to load?

Which I assume is data from the inception of the trade instrument, say ~1997 to today? If that is true, does anyone have any idea how long IB data source will take to collect the Tick, minute, day data over these types of contracts? .....days, weeks.... I'd like to backtest on them but want to get it done before I die from old age.....watching the QM collect the data is just a crawl, and it just stops when the market closes. So, I cannot collect the data to test over the weekend with "Collect RT Data w/o Plotting" ......is there a process to use these continuous contracts without using the RT feature?

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Re: @xx contracts?

Postby TJ » 08 Jun 2018

Is that the continuous contract?

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Re: @xx contracts?

Postby Sky » 08 Jun 2018

Hi TJ.....yes, I believe they are? I am trying to understand some of the nuances of data management since my return to active trading. Before my leave, we had to piece together the contracts into the "continuous" contract which I have done, but they only span 4 years in the ES. In order for me to confirm the robustness of my strategies, I would like to run them across several markets over as many years as I possibly can; in the spirit of diversification and proper portfolio theory.

After doing some research I discovered the IB -- @xx contracts, but there seems to be limited information on how much data they contain and how to properly download the data sets?

I use 5m/10m/15m /daily charts in my research and implement limit orders for entry and market orders to exit, so when I load these data sets from the QM, do I need to pull down all the tick data too, or is the choice of minute and daily sufficient?

Thanks for any help to speed things along (if possible).

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Re: @xx contracts?

Postby TJ » 08 Jun 2018

Please use the Custom Future in MC.
MultiCharts will link the contracts and make adjustments for you on-the-fly.

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Re: @xx contracts?

Postby Sky » 09 Jun 2018

Hmmm.....I thought the @xx contracts are the continuous contracts put out by the data source.....in my case IB.....and they would alleviate the need to build a continuous contract via expired contracts?

So if I want to have ES data extending back to 1998 I would need to add the years (1998-2013) and HMUZ months to my current "old" built continuous contract which currently covers 2014-2017?

Also, maybe you can shed a bit of light on the data source and MC. Now today is Saturday and the markets are closed. I am attempting to download the @NQ and I opened the QM and it shows the @NQ is "ON".....and the chart opened in MC's says: Establishing connection....(H: Online).....so, is the @NQ actually downloading data into the chart now? ....or do I actually need to collect the data when the markets are actively open and the data can be collected with the "Collect RT Data w/o Plotting" is actually collecting the data?

Sorry for so many ?'s, but I really am confused on these data sets and if the charts are just slow due to the amount of data I am asking it to plot, or if it is just hanging there waiting for the markets to open before it can collect data?

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Re: @xx contracts?

Postby TJ » 09 Jun 2018

Hmmm.....I thought the @xx contracts are the continuous contracts put out by the data source.....in my case IB.....and they would alleviate the need to build a continuous contract via expired contracts?

So if I want to have ES data extending back to 1998 . . .
Do you know if IB supplies data so far back?

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Re: @xx contracts?

Postby Sky » 09 Jun 2018

No....I am not sure of the data supply at all. I just know that in the past I was able to stitch the individual HMUZ contracts together and it became a MC "continuous" contract and was/is located under the "Custom Futures" tab when choosing a data set to load into a chart.

Thus the reason for understanding the @xx contracts and how they load/if they load during the market closed time frame?
How much data do they contain (years back)?

They would be nice to run the testing on .....if I could get one to load up? Currently I am connected to IB via their paper trading account attached to my IB live account. It says I am connected, but my chart (with 5m-@NQ) says: Establishing connection. So I am confused.....will it eventually pull up a chart of the @NQ today with the market closed, and it's just very slow due to the amount of data being requested? (not sure how far back it will take the data.....to inception in ~1997?....unbeknownst to me.....anyone know how to get this accomplished with IB and what to expect with the data set?....will it take me a week to load the @xx contracts?....are they actually loading now with the market closed? ....or is my chart just hanging there while trying to "Establish connection...? ............just very confusing.

In my past trade life, I used these types of continuous contracts with MetaStock (I think.....I've used so many different combinations of packages over the past 35+ years I can't recall the setups.....but I think I had them on a floppy.....ugghhhh....I really don't want to hook up a 5-1/4 or 3-1/2 to dig up old data that I know is more complete and contiguous in today's data suppliers cache) ......anyway, thanks for all the help and once I figure it out I will post my results.

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Re: @xx contracts?

Postby TJ » 09 Jun 2018

Please go to the IB website to check the data availability.

If you are loading 5 min of years of back history data... forget it. Too much data to download in real time.

Please check your QuoteManager; you should be able to see the messages on why you are not getting data.
(Disclaimer: I don't know if the IB @xx is available for download.)

One question -- do you want back adjustment when the contract is rolled over to a new month?
If you are using the @xx, you have to reload ALL the data every time there is a rollover.

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Re: @xx contracts?

Postby Sky » 09 Jun 2018

Thank you kindly TJ!.......I will head to the IB website to see what the @xx contracts deliver. And, I figured the 5m data would be a challenge for the data delivery. So, it looks like a Custom Futures is the way to build a good data series as it loads from the local cache ......as you stated in the earlier posts.

I will experiment with building Custom Futures a bit more so I have a better understanding of the processes of the data series. Also, I use the back adjustment just for the viewing ease of the series. My strategies are not concerned with back adjustment.....just my eyes...lol..... :shock:

If I discover anything pertinent to the @xx contracts I'll post my discoveries, else........thank you kindly sir for your help.....peace


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