Asking for tips on custom data import

[jamesaq]

I appreciate the opportunity to beta test NinjaTrader 7.

I'm interested in the new historical data import feature: "Historical data import are now implemented as NinjaScript objects - Advanced developers can program their own custom import formats"

This is not a bug report. I'm just looking for any helpful information on how to get started with NinjaScripts to do custom data import.

I see there is info on NinaScripts in the online help I'll need to start with.

Is there any sample code for doing data import that I can work with? Or code for the existing import scripts?

I'm trying to import the following O,H,L,C,V daily bar data from a comma delimited file, .csv:

MM/DD/YYYY,O,H,L,C,V,OI

Examples:
Corn
09/01/2009,325.25,326.25,316.75,319.25,18300,833985
09/02/2009,317.50,319.50,315.50,319.25,17329,830164
09/03/2009,320.00,320.00,311.50,315.75,16212,832031

ES
09/01/2009,1021.00,1027.75,995.25,996.50,3249260,2673611
09/02/2009,996.25,1001.00,991.00,994.25,1958151,2677307
09/03/2009,994.00,1004.25,991.25,1001.75,1420624,2653208
09/04/2009,1001.50,1016.25,1000.00,1014.00,1635400,26832 68

US bonds
09/01/2009,119.65625,120.40625,118.71875,120.00000,30781 8,774966
09/02/2009,120.00000,121.34375,119.78125,121.15625,19631 8,769266
09/03/2009,121.06250,121.12500,120.31250,120.68750,15221 1,766874
09/04/2009,120.59375,120.71875,119.00000,119.06250,17786 0,760436

Thanks,

[NinjaTrader_ChristopherJ]

Hello jamesaq,

Thank you for your post.

Someone from our NinjaScript department first thing Monday morning regarding your question.

Thank you for your patience.

[NinjaTrader_Jason]

Hello jamesaq,

Unfortunately there is no sample or existing code available in this regard.

I found a related thread on the forum below.

http://www.ninjatrader-support2.com/vb/showthread.php?t=21432&highlight=Import+routines

[zweistein]

I did a SierraChart Import module some time ago which was then modified by NinjaTrader and I believe it was then published in the sample code section.
Do a search for SierraChart and it should pop up.

If you don' t find it let me know and I will repost the .cs file.

regards
Andreas

[jamesaq]

Thanks Andreas, Christopher, and Jason. I will look into those text import .cs files.

I'm not expert with programming with methods, classes and such, but will try.

I think a good direction for the import to go, at least for importing text data, would be to offer some sort of format string option where the user provides the format string and the import program takes it from there. It could be made with settings to tell it to do power of ten multiplications if data has decimal places in funny places or to do time shifts for time zones or end of bar times.

I think people could handle rules for providing the input format for a master import program.

Thanks.

Example of a crude way of doing user format settings for end of day data. A fancier way would be to do it like a graphical Excel spreadsheet text import.

Input Date format = 1-10 (where 1-10 could be predefined date formats)
Input Delimiter = 1-6 (where 1-6 could be different delimiter types)
Input Multiplier = 0.1 - 10 (where it multiplies O,H,L,C data)
Input Data string = 1,2,3,4,5,6,7

Date codes
1 - MM/DD/YY
2 - "MM/DD/YY"
3 - YYMMDD
4 - "YYMMDD"
5 - MM/DD/YYYY
6 - "MM/DD/YYYY"
7 - YYYYMMDD
8 - "YYYYMMDD"
...

Delimiter codes
1 - coma
2 - space
3 - colon
4 - semi-colon
5 - tab
...

Data codes
1 - Date
2 - Open
3 - High
4 - Low
5 - Close
6 - Volume
7 - Unused

[NinjaTrader_Jason]

Hello jamesaq,

I will forward your suggestion to our development team and ask them if they can add this to the list of future considerations for the software.

Thank you for your feedback.