Some historical data questions

[granite11]

Hi,

I am currently using NT with IB where the access to historical data is pretty limited so I am looking for additional sources. Some questions have popped up:

1) Which provider for historical data is the best? I have googled DiskTrading Ltd which seem to offer a good package including tick data. Many guys here seem to use ZenFire, but it doesn´t provide historical data, right?

2) When I would import historical futures data, can I easily import continuous contracts (like import one big file with ES or CL data as offered by the above provider)? In the help guide it looks as if one had to import each contract (eg. ES 0609, ES0909 etc) separately.

3) I have seen that NT offers the option to store real time bar data. I guess it does that only when the chart of the instrument is open? So if I had a tick provider like ZenFire, it would only store ticks for the instruments I am looking at and only if NT is running, right?

I would really appreciate your help or a link to thread dealing with especially the 1st issue.

Regards,
Chris

[eDanny]

Chris, ZenFire does provide historical data through NinjaTraders historical data server but does not provide tick or volume historical data. The historical data is what you would see back fill your charts, not something you can download for testing. For that info you would have to enable 'Run market replay recorder' to save that data and yes you need a chart open to capture it all.

[NinjaTrader_Kyle]

Hi Chris,

Thank you for your post.

1.) Perhaps another forum user could share their opinion on the 'best' source of data.

Zen-Fire users are provided with historical data from our servers as a courtesy service. Historical data for futures instruments is available in tick and minute intervals.

As an aside, BarChart, DTN.IQ and eSignal all offer a 'data-only' service at a discounted rate which may fit your needs.


2.) If you have continuous data available, it could be imported to the '##-##' expiry of the instrument. '##-##' is the expiry for all continuous contracts.

3.) Correct, with this option data is collected and stored only when NinjaTrader is connected and only for those instruments which are being displayed.

Please let me know if you have any additional questions.

[NinjaTrader_Kyle]

Hi eDanny,

Thank you for your post.

This is incorrect. Historical tick data is offered through our historical data server. Since volume charts are built using tick data, this will be available as well.

[eDanny]

Sorry, I meant Market Depth type volume.

[granite11]

Thanks for the quick answers.
Kyle, how long back does one get historical data through ZenFire? Moreover, ZenFire is a DataProvider, but it can only be used after opening an account at MirusFutures?? So there´s no way to use IB and Zen directly?

[NinjaTrader_Kyle]

Hi granite11,

Thank you for your reply.

Historical data of over a year is offered for most of the commonly traded futures instruments.


Correct, Zen-Fire does not offer a data only service. It would, however, be possible to use both IB and Zen-Fire in conjunction with one another. For more information about how NinjaTrader will use multiple connections, please see the following link: http://www.ninjatrader-support.com/H...leConnections1

[hawks67]

Kyle, your info is excellent...but my knowledge is not, so I have a further question here.

If one has an eSignal data feed, which includes historical tick data going back (ostensibly) two years, how does one run a Strategy Analyzer on continuous data? Right now I right-click on either the ES 09-09 or the ES 12-09 to run a Strategy Analysis; can I do something/change a setting so that I might be able to run the Analysis on both, or perhaps even further back (i.e. continuous data)?

Same question for just a simple NT chart; how does one load tick data from multiple historical contracts (like, for example, Jun, Sep and Dec 2009) into one chart (again, using eSignal data)? I've tried merging but it only merges Minute data.

[NinjaTrader_Kyle]

Hi hawks67,

Thank you for your post and welcome to the NinjaTrader support forum!

1.) For this, you will want to use the '##-##' expiry of the instrument. This is the expiry used for continuous contracts.

2.) You would use the method I described above here as well. Alternatively you could merge previous contracts in to the current contract. For more information about merging, please see the following link: http://www.ninjatrader-support.com/H...ide.html?Merge

[hawks67]

2.) You would use the method I described above here as well. Alternatively you could merge previous contracts in to the current contract. For more information about merging, please see the following link: http://www.ninjatrader-support.com/H...ide.html?Merge

This is where I am confused; I did that and it says "only minute data was merged". No "day" data and no tick data. Why is this?

[NinjaTrader_Kyle]

Hi hawks67,

Thank you for your reply.

In most cases, this would indicate that neither tick nor daily data had been loaded previously. Since the data did not exist within your database, there would not be anything to merge in these intervals.

[hawks67]

In most cases, this would indicate that neither tick nor daily data had been loaded previously. Since the data did not exist within your database, there would not be anything to merge in these intervals.

That's right, I forgot about that. Now that I've reloaded historical tick data on ES ##-## going back to June 22 (arbitrary date), I've merged the data into the 12-09 contract. Still can't get anything further back than early Sept.

I created a new workspace and opened a new chart on ES ##-##. Formatted the Data Series to go back 300 days. It only shows bars back to 10/8. What am I missing?

[NinjaTrader_Kyle]

Hi hawks67,

Thank you for your reply.

What parameters did you use in the merge?