CL Continuous Contract Data

Discussion in 'Data Sets and Feeds' started by EON Kid, Jan 24, 2010.

  1. Guys and gals I’m new to CL trading. If I merge CL contracts in Ninja trader, NinjaTrader adjust the back months price data and you can continue this for more contracts going back, to construct a continuous chart.

    For those of you familiar with Ninjatrader - What is the error of this method on the prior months CL data?

    How does a daily chart of crude have its price derived?

    What are some accurate data vendors for a continuous CL contract data, including continuous CL Globex data?
  2. You'd probably get a much better answer on the NT forums than here as that is a lot more specific to NT internal workings than it is to any specific contract.

    I don't get this question. If you're asking now NT does it for past days then again you'd best be asking over there.

    I use and prophet charts, but I'm not doing anything with it that would require high precision, so I don't know if they'll fit your needs.
  3. 1) Unless you're meticulous about safekeeping your data, it's rather a cumbersome process. I would much rather go with data providers Thinkorswim or ProphetCharts who offer continuous charts.

    2) Daily chart, as far as I can tell, includes both RTH and Globex. The cut off time is from 9:00 ET to 9:00ET the next morning until 13:10 on Friday. Then it picks back up on Sunday at 15:00 ET, which gets wrapped up into Monday's trading.

    3) I don't know about other chart vendors, but in ProphetChart only the daily is shown for the continuous chart. In Thinkorswim, only the last 20 days of intraday data are shown in their continuous chart (symbol: /CL). But those 20-days of data is actually the same as the ones you see in the front-month.

    I should mention that I can access intraday data going back as far as 120 days using NinjaTrader with the Zenfire feed. But they appear rather jagged toward the back. Does anyone know of any vendor who provides intraday continuous chart extending back more than 60 days without appearing in tatters?
  4. So if you are constructing an unadjusted chart which day would you use to switch to each successive contract? The day you see the most volume switch?

    When do pit traders switch?