Normally this is true. The only exception is if you telecommuted, where you worked from home as opposed to working at an office in New York. But since you are a contractor, this would not apply to you. Also, note that I assume you don't live in New York, since if you lived there you would have to pay New York taxes even if you worked in New Jersey. The fact that the company was located in New York does not make your income taxable there.
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