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The API of IB and NinjaTrader 6.5 use different definitions for the contract month. The API transmits the month of the expiry date, and NinjaTrader 6.5 interprets this as the nominal contract month. This works for most of the futures contracts, but not for all contracts.
ES 03-11 expires in the beginning of March, so the last trading date is in March and the nominal contract month is March as well. No problem here.
However CL 02-11 expires in the end of January, so the last trading date is in January and the nominal contract month is February. This causes a problem. You can try this, open the NinjaTrader 6.5. DOM and open a position for CL 02-11. Then close the position via the close button and look what happens. Also make sure that you have a chart open to see the results.
For NT 7.0 there is a workaround via the symbol mapping. The IB symbol should be CL||||1 instead of CL. You need these symbols for all futures contracts that expire prior to the contract month. Examples are most of the energy contracts and sugar.
gasoline RB||||1, heating oil HO||||1, WTI crude CL||||1, Brent crude COIL||||1, natural gas NG||||1 and sugar SB||||1
For these futures you need to test first, whether your orders will be executed in the selected contract month or another one.
I'm not FT, and it's the great FT himself found this issue (if my memory still good), so I'm maybe wrong, but it was a specific Ninja/TWS issue, the other vendors where not involved.
OK thank you for this. It works...or it looks like it works. I replaced stop limits with stop market... I use NT 7 so there should not be a problem. I have a CL 02-11 right now in my Instrument Mger.
Well, I checked it and its OK. Already correctly mapped in newest version of NT. There is mapping for IB - it says CL||||1. Thank you for everything. :-)
If anyone want to know more about this here is a thread from Fat Tails explaining everything (hope you don't mind I posted it here):
I've been manually trading with a very simple strategy and I converted it to trade automatically with NT and Interactive Brokers. That's when my problems started (apart from making money!). I posted on the NT forum: Automated strategy with Interactive …