Are you jumping to the conclusion that NYMEX doesn’t work in BT? The problem most probably is in the expiry. Most futures instruments(like ES) expire on a quarterly basis, but for NYMEX, the expiry is monthly. For example, at this time (March 2, 2011), the next expiry date is mid-March. However, the contract traded is already April 2011 (J11).
You should know the nuances of the instrument you are trading. For NYMEX in BT, the expiry should already be 201104 –