Historical Data

[TraderGuy]

I can't seem to pull up data for a number of futures symbols, just a blank chart. Zenfire connection, NT7 32. Examples are CL 11-09 & ZS 11-09. These both are fine in NT 6.5.

ES, YM, TF., etc are fine.

Guy

[NinjaTrader_Ray]

I can't seem to pull up data for a number of futures symbols, just a blank chart. Zenfire connection, NT7 32. Examples are CL 11-09 & ZS 11-09. These both are fine in NT 6.5.

ES, YM, TF., etc are fine.

Guy

NT7 points to a version 7 data server which of course is also in beta. Currently, the ZS was not being tracked thus at this point in time, there is no data for this contract. Will change that. I will get back to you regarding CL.

[NinjaTrader_Ray]

NT7 points to a version 7 data server which of course is also in beta. Currently, the ZS was not being tracked thus at this point in time, there is no data for this contract. Will change that. I will get back to you regarding CL.

We have identified an issue with CL historical data. We intend to resolve this for the next update.

[tradejockey]

previous contract's data

Just was wondering if version 7 fixed the notorious 6.5 issue of showing incomplete data on the chart if that data did not belong to current contract for the chart?

In other words, 0909 chart looks fine but somehow 1209 chart starting from june will not show same data correctly (june to september) but will show correctly after 0909 ends.. september onwards. Not sure if 7 fixed this issue by forcing it to look inside db if the data is outside the contract of the chart.

This poses a severe limitation on scripts that need historical data...

Also, is there a difference between launching the script from june onwards using control centre's strategies tab vs launching with chart (with thin prior contract's data)? Will the former pick up on earliar data correctly? Even though the script is for trading 1209, the more data it has, better it works... but the data has to be accurate. (not sure how DB comes into play)

[NinjaTrader_JoshP]

tradejockey,

In 6.5, you would have had to roll forward your 09-09 data into the 12-09 contract if you wanted to show when you pulled up a 12-09 chart. In NT7, this rolling forward process can be automated. If you decide to have the data rolled forward, it doesn't matter where you start your strategy. It will have access to the same data.

[NinjaTrader_Ray]

Just was wondering if version 7 fixed the notorious 6.5 issue of showing incomplete data on the chart if that data did not belong to current contract for the chart?

In other words, 0909 chart looks fine but somehow 1209 chart starting from june will not show same data correctly (june to september) but will show correctly after 0909 ends.. september onwards. Not sure if 7 fixed this issue by forcing it to look inside db if the data is outside the contract of the chart.

This poses a severe limitation on scripts that need historical data...

Also, is there a difference between launching the script from june onwards using control centre's strategies tab vs launching with chart (with thin prior contract's data)? Will the former pick up on earliar data correctly? Even though the script is for trading 1209, the more data it has, better it works... but the data has to be accurate. (not sure how DB comes into play)

This notorious issue you speak of is not an issue. We just showed the correct historical data for each contract and the data prior to the rollover date is just thinly traded and that is what you see. In NT7, we do provide transparent merging of historical data at contract rollover boundaries thus you have the option merge the 09-09 data into the 12-09 data automatically.

Please see the Instrument Managers section on Rollover Dates (automatically uploaded data from our servers) and see the "Merge Policy" options in the Instrument Manager and Tools > Options > Data.

[tradejockey]

multi year back testing

How does one add older contracts in NT7? for example 1207 or 0308. Instrument manager does not allow it now. If you cannot add older contracts such as 0608, how can you back test? Also, what if one wants to do multi year back testing? How do NT developers/QA and so called "partners" do it now?

jan 08 onwards to present can be considered as out of sample compared to prior years. How far back can NT historical server go? Does it have tick data for both globex and eurex for say 10 years?

Also, can you have a chart that can launch unabridged data going back few years? If merged with premium, will the same data under go premium adjustment only once (with premium of next contract) or repeatedly with premiums of all the following quarters? This will affect the tops and bottoms that my program relies on for its calculations.

If NT does not have old historical data, can it obtain from sources such as CME or eurex? It would be cost effective if NT buys such tick data for dissemination (and perhaps charge a small surcharge). Zenfire does not provide historical data perhaps for performance reasons.

I have a script that does some mathematical calculations based on tops and bottoms and stores them in multi dimensional arrays (unfortunately no template vectors in csharp - correct me if I am wrong). Trigger logic and order management is based on these data on a different time scale. I need to do the following:

1. create another sim account (sim102 perhaps)
2. run two variations of programs on same instrument but on sim101 and 102 to simulate two programs running on two different accounts simultaneously for same instrument.
3. back test these with slippage set to 1 (spread of 1 tick for all lots entered in the direction not just some)
4. back test over minimum of two years on dax and es (perhaps on zn/gc/cl as well) but preferably longer than that.
5. backtest with both premium adjusted and without premium adjusted
6. bt/optimize on above for the front month vs remaining of quarter
7. bt/optimize on above with only one or two quarters for historical data ahead of the contract quarter that is being tested.
8. backtest at a stretch or per quarter.

Also, did the sharpe ratio calculation change in nt7? Does it still show 1 if test period is 1 month. Does backtesting take into consideration internet latency and order execution latencies?

Sorry for a long laundry list of questions but am I am not the brightest bulb in the basket.. feedback appreciated.

[NinjaTrader_JoshP]

tradejockey,

You can always open up an expiry just by typing it into the chart. For instance, ES 12-09 will open that particular contract for the ES.

If you let NinjaTrader merge data forward automatically you can very easily backtest multi-year just by running the backtest on the latest contract. It will merge all the old contract data into the new one to create a continuous feed over the months.

Likely does not have 10 years worth of data. If you need so much data I recommend you trying to purchase the data from a third party source.

1. Tools > Options > Simulator > Accounts
2. Uncheck Global Simulation Mode and then you can choose between Sim101 and Sim102 when running the strategies.
3. When you run a backtest you have a parameter you can set for slippage. Set that to 1.
4. When you run a backtest you have parameters for the date range. Set up whatever dates you want. Prerequisite is that you actually have data for the range you set.
5. I am not sure what you mean by "premium adjusted". Please clarify.
6. Not sure what you mean by "vs remaining of quarter". Please clarify.
7. Sounds like you want to use a walk-forward optimization. http://www.ninjatrader-support.com/H...AStrategy.html
8. Set the backtest dates for the beginning/end of the quarters you wish to backtest.

What has changed for the Sharpe ratio is that you can optimize it now. Nothing else has changed for it. Backtesting does not simulate internet latency or other latencies. That is what the slippage parameter is for.

[dnoff]

Is it is expected that historical data "day" is only available for contracts back to to 03-09 contract, but minute data is available much earlier?

For example I run back tests against minute bars back 2 years, but day bars are only available back to 0309?

BTW - I am using Zen-Fire data feed.

[Alfred]

This is probably known generally...but...opening & looking at stuff after hours...1 workspace...12 charts...YM NQ TF seconds & tick charts...1-22 second chart shows through yesterdays NQ data OK initially and you can load other contracts there which will also display just for through yesterday OK..reload historical no help on that chart...in all other charts data is displayed OK and reload historical works OK....Zen data...

Thanks...

[NinjaTrader_JoshP]

dnoff,

Could be expected.

Alfred,

There is a bug after hours charting which should be resolved in the next version.

[dnoff]

dnoff,

Could be expected.

Alfred,

There is a bug after hours charting which should be resolved in the next version.

Alfred,

Thanks for the reply - not quote sure though what that means? Are there conditions under which this is true and conditions under which this is not?

How do I get day bars downloaded/merged beyond the 03-09 contracts?

[NinjaTrader_JoshP]

Zen-Fire does not provide you historical data. You are pulling that data from our servers. If you are pulling an instrument that just wasn't recorded then you won't get any. If you want to try to get more data just try opening a long time frame for your chart.