Importing historical tick data..

[NinjaTrader_Bertrand]

Hi dowtrader - please forward me the data file to support at ninjatrader dot com Attn Bertrand - I will test it then on my end. You should be able to merge the past data to the current front month, please check this link - http://www.ninjatrader-support.com/H...eV6/Merge.html

[slyng]

Hi Gents - Interesting discussion. For Currency trading - I had a couple of questions:

1) If I import 15min data for lets say the Euro from 1/1/08 to 1/1/09 and then later I import 5min data (also in a file called $EURUSD.txt) I assume the 15min data will be superceded/overwritten by the 5min data (since 5min data could be used to constrct 15min data if needed).

2) Is it possible to find out what instruments contain what data? For instance, I know that I've loaded like 2yrs of 1hour bars for USDJPY, however I did that months ago, so I know i'm missing lets say the last 4months of data - is there anyway i can find out what data i have stored in NT and how granular that data is? In another case, I might have 3yrs of hourly data for a given currency, but one of those years may contain minute-by-minute data -- How would I know that (short of keeping track of what i've imported). Hopefully i'm explaining myself clearly enough...

3) Is there a way to clear out old data that won't be used in the future? For instance if I had a market replay recording - getting data on a given stock that i no longer follow, there's no need to keep that data, so how would i get rid of it?

Appreciate the help!

[NinjaTrader_Bertrand]

Hi slyng,

1. You can only import 1 min bars, those are then used to build all minute interval charts.

2. To check which data you have stored, you can use Tools > Historical Data > Export

3. Yes, you can either delete the symbol from the Master Instrument List or go Tools > Historical Data > Delete. For Market Replay you can delete the recorded data directly here - MyDocuments\NinjaTrader 6.5\db\data

Please also review this link - http://www.ninjatrader-support.com/H...V6/Import.html

[slyng]

Hi slyng,

1. You can only import 1 min bars, those are then used to build all minute interval charts.

So if I import 5m bars, is the system just "tricking" NT into thinking i have 5 - 1 minute bars that have exactly the same High/Low/Open/Close? I know that NT allows 5m bars because I imported quite a few data-sets last night...

[NinjaTrader_Bertrand]

We always advise to use 1 min data for consistency, other the chart may have gaps present. So please use the recommend intervals as in the helpguide! Thanks!

[slyng]

The obvious problem with using 1m bars is that the files used to import get massive very quickly - a year of data would be 374,400 (60 x 24 x x5 x52) lines long which incidentally is bigger than many versions of excel can handle.

[NinjaTrader_JoshP]

You don't need to have these all in one file. You can import them in segments.

[slyng]

FYI the export does not come out in 1m bars... here is the output i got for my EUR/USD instrument (obviously what i'm posting here is a small subset of the data i got):

20080131 010000;1.4859;1.4873;1.4835;1.4854;1
20080131 020000;1.4855;1.4863;1.4814;1.4827;1
20080131 030000;1.4826;1.4839;1.4821;1.4829;1

As you can see, these are in 1hour increments. Further down in the file i just exported, the data switches to 5m increments (because that's what I had uploaded last night):

20080727 163000;1.5709;1.5709;1.5704;1.5705;18
20080727 163500;1.5704;1.5704;1.5703;1.5704;5
20080727 164000;1.5705;1.5705;1.5702;1.5703;18

Anyway, just thought you should know that the data exported is only the data that you've fed into the system (or recorded via Market Replay)...

[NinjaTrader_JoshP]

For sure the data exported is what is in the system. If there are gaps in your data that time slot will be skipped.

[slyng]

For sure the data exported is what is in the system. If there are gaps in your data that time slot will be skipped.

But, I guess my point is that NT will default to the highest level of granularity: I.e. if you uploaded 1m bars, and then you upload 5m bars, it'll keep the 1m bars and disregard the 5m bars you uploaded right? Vice versa, if you started with 1hr bars, and then upload minute-by-minute data, it will keep the minutes and throw away the 1h bars (because it can re-construct 1hr data via the 1minute data you just gave it...)

My understanding is correct, right?

[NinjaTrader_Bertrand]

No, it would default to the latest import...

Please import 1 min data for minute intervals, tick data for tick based intervals (range, tick, volume) and daily data for daily bars as outlined here - http://www.ninjatrader-support.com/H...V6/Import.html

[slyng]

Sorry to belabor the point, but...

So if Import a year of 15 minute data to NT and then upload the same time period with 1hour bars, it will erase the 15m data? That seems silly to me - why wouldn't i want more detail?

[NinjaTrader_Bertrand]

The Import feature works by importing 1 min data to build all your minute based intervals so you get all granularities. There is no merge process in place that would store 1 min and for example 15 min data for the same symbol. Our suggestion is to use this as outlined in the help guide and then you should be fine for all resolutions - http://www.ninjatrader-support.com/H...V6/Import.html

[Fernando]

Import Historical tick data

How I can use a historical data .txt file imported to NinjaTrade?

I imported it NT asked me if I wanted construct minute bars based on the importes tick data I sad no.

Than NT sad Historical data imported successfully.

I'm not connected to any connection option. Is it necessare?

I want to do a backtest with this historical data

The only chart open has the same data as the broker supplied. No more days.

I don't know how to do for NT assume this new file.

Best

[NinjaTrader_Ray]

Fernando,

Could you clarify what your issue is? From what I can tell -

- You imported historical tick data
- NT imported this successfully

The data that was imported was not expected?