historical data

[NinjaTrader_RyanO]

Hi,

Can you please let me know what instrument you would like to chart using historical data, and what kind of historical data you are trying to import, such as tick, minute, or daily data.

As for the Version 7 help guide you can hit the F1 key on your keyboard to open the help guide.

[monnn]

Hi Ryan,
I have text files of daily continuous data (futures markets). The format of those text files matches the required format for downloading into the NT platform as specified in the user guide. yyyyMMdd;open price;high price;low price;close price;volume
The problems start from here.
How should I name the text file before downloading it ? Same name and format as in the instrument manager ? How should I create an instrument name ? What name and format ? I have continuous futures data.
I.e. gold. Name of the instrument in the instrument manager ? What should be the name and format of the instrument in the instrument manager ? A month and year ? If yes, why ? B/o I have continuous data... Etc. ... I didn't even get to the part , when I would like to access the data, plot it, analyze it, update it, delete it, etc. ....

I am not able to figure this one out.

Monnn

[NinjaTrader_RyanO]

Hi Monnn,

Since the data is continuous you will want to specify that in the file name. When naming the file it will have to have the same name as what is listed in the instrument manager.

In your example of gold you would name the file GC ##-##, which represents a continuous contract.

Once imported you can view a chart for that same instrument and front month in NinjaTrader for a daily interval.

[monnn]

Two simple,Step-By-Step examples that work

Hi Monnn,

Since the data is continuous you will want to specify that in the file name. When naming the file it will have to have the same name as what is listed in the instrument manager.

In your example of gold you would name the file GC ##-##, which represents a continuous contract.

Once imported you can view a chart for that same instrument and front month in NinjaTrader for a daily interval.

Thank you for the reply Ryan.

My experience to chart imported daily historical data from a text file. In this case, daily data for Gold continuous futures contract. Step-by-step.

First option.
The Name (not the Symbol Name) in the Instrument Manager has to have only letters, numbers or underscore. No spaces between them. This "GC ##-##" , doesn't work as a Name . I used GC0110 as a Name, Exchange: Default, Instrument type: Stock (not Future),Exchange: Default, Symbol Map: External: GC0110 (this is Symbol Name). I left the rest at default.

I named the text file GC0110 (same as Symbol Name). It had this format: yyyyMMdd;open price;high price;low price;close price;volume
In "Historical Data Manager" I used Import tab, Format (timestamps in the importing file represent end of the bar), Data type(last), Time zone (GMT).

To chart it, you have to disconnect from all data providers, including Yahoo.

Then, it works.

Second option.
The Name in the Instrument Manager has to have only letters, numbers or underscore. No spaces between them. This "GC ##-##" , doesn't work as a Name. I used the Name GC0110, Exchange: Default, Instrument type: Future, Exchange: Default, Symbol Map: External: GC0110 04-10. This is Symbol Name, this "GC ##-##" , doesn't work as a Symbol Name . It has to be the current Month. I don't know why.

I left the rest at default.

I named the text file GC0110 04-10. It had this format: yyyyMMdd;open price;high price;low price;close price;volume
In "Historical Data Manager" I used Import tab, Format (timestamps in the importing file represent end of the bar), Data type(last), Time zone (GMT).

To chart it, you have to disconnect from all data providers, including Yahoo.

Then, it works.

I prefer the first option b/o with the second option the chart with my historical data is blank once the current contract for Gold expires, in this case 04-10. You have to change the Symbol Name reflecting the current, nearest contract in the Instrument Manager, use the same name for your text file and import the data again.

This is how I have imagined an ideal reply from you.

I hope it will help somebody and save him/her some time.

Monnn

[NinjaTrader_RyanO]

Hi Monnn,

The name of the symbol in the Instrument Manager does not need to include any specific dates. In this case the symbol would be named GC in the Instrument Manager. GC is already a contract in the Instrument Manager.

What you are specifying with the front month in the file you are importing is which front month the data is applied to because the general instrument is the same.

When choosing the GC symbol from the Instrument Manager you can specify the ##-## as the month for importing and charting since it represents a continuous contract.

[David Lean]

hi, is there any utility available on the internet that allows me to do the conversion? I tried searching but got zippo, maybe not too good with searching maybe you might know?

thanks,
J

I use Excel 2007. As will handle up to ~1 million rows. Way more than the 65,535 row limit of Excel 2003 & earlier.

Just open up the Text file.
Search & replace Comma "," with SemiColon ";"
Then "Save As" TXT file. OR Cut paste into Notepad & save.

If you don't have Excel 2007. Just open in Notepad & Replace(Ctrl+H) in it. It works but a bit slower with huge files.

If you have more than 1 Million Rows. Either :-
i) break the file into smaller pieces. or
ii) Use Excel 2010 & the new Power Pivot add-in (it is limited only by memore & will handle 100's of Millions of rows. Or
iii) Write your own program or
iv) use SQL Server Intergration services to make the change.
hope this helps.

[monnn]

Hi Monnn,

The name of the symbol in the Instrument Manager does not need to include any specific dates. In this case the symbol would be named GC in the Instrument Manager. GC is already a contract in the Instrument Manager.

What you are specifying with the front month in the file you are importing is which front month the data is applied to because the general instrument is the same.

When choosing the GC symbol from the Instrument Manager you can specify the ##-## as the month for importing and charting since it represents a continuous contract.

Thank you Ryan for the reply.
I know that GC is already an instrument (Future) in the Instrument Manager. How can I choose the GC symbol from the Instrument Manager to specify the ##-## as the month for importing ? When I click on the tab Misc. in the Editor, then I scroll to the bottom, there is no "##-##" option for the continuous contract month. I have tried to add a new one, but it doesn't allow me to create this "##-##".

Well, it seems to me it is getting more complicated, after I have found my "workaround". I guess there are few people using it, otherwise it would have been fixed a long time ago.

Thank you anyway for your replies.

Monnn

[monnn]

I use Excel 2007. As will handle up to ~1 million rows. Way more than the 65,535 row limit of Excel 2003 & earlier.

Just open up the Text file.
Search & replace Comma "," with SemiColon ";"
Then "Save As" TXT file. OR Cut paste into Notepad & save.

If you don't have Excel 2007. Just open in Notepad & Replace(Ctrl+H) in it. It works but a bit slower with huge files.

If you have more than 1 Million Rows. Either :-
i) break the file into smaller pieces. or
ii) Use Excel 2010 & the new Power Pivot add-in (it is limited only by memore & will handle 100's of Millions of rows. Or
iii) Write your own program or
iv) use SQL Server Intergration services to make the change.
hope this helps.

Hi David, I also use Excel 2007 for the file formatting.
Also, if other people are interested, I use the following sources for free daily historical data (futures, forex, indices). The first one uses CSIData, which I think is more reliable. The second one has very long data series, but one should be careful to expect the data to be 100% correct.

http://www.tradingblox.com/tradingblox/free-historical-data.htm

http://pitrading.com/free_market_data.htm