Multiple Feed Providers

[skyholder84]

Hi,

I've begun live trading FX on my IB account using an automated strategy.

My FX strategy requires too many historical data requests for IB to handle. Hence, I'm using Barchart (FX Only subscription) to provide my FX strategies with both live and historical data. (This of course, results in differences between model P&L and actual P&L since the model assumes Barchart prices, but I'm really getting filled on IB prices. Given the long term nature of my FX trades, I can live with this difference).

However, I now wish to trade futures as well. Using a short term momentum strategy. Given its less intensive historical data needs , I intend to use both IB's live and historical data as the primary data feed for my futures strategy.

My problem lies in how I can use barchart historical and live data to trade FX, and IB historical and live data to trade futures. I can't figure out how to do this!

Having read the multiple connections guide thoroughly, I would instinctively connect Barchart first, and IB second. This would allow my FX strategies to pick up price data off the Barchart connection. I believed that the futures strategies would then attempt to extract futures data from Barchart, fail (I didn't subscribe for futures prices with Barchart), then extract the proper futures data from the IB connection. Connecting IB first obviously wouldn't work, since the IB connection would provide both strategies with data, crashing and burning within seconds from the historical data limitation.

However, when Ninjatrader fails to load the proper futures data from Barchart, it appears to simply surrender without trying to retrieve data from the IB connection. It show an error message about a lack of data permissions.

Is this supposed to happen? Is there a way I can trade futures off IB data and FX off Barchart data? Subscribing to more instruments on Barchart is an unnecessarily expensive solution. Not to mention incomplete, because it doesn't provide data for some instruments which I trade (eg: SGX Nikkei).


Thanks!

[NinjaTrader_Austin]

skyholder84, I will have someone get back to you on Monday with a solid answer to this. In the meantime, you can take a look at Kinetick and see if it would fit all of your data feed needs from one provider.

[skyholder84]

Hi Austin,

Kinetick does not offer HKFE data, and from Singapore, I need just the SGX Nikkei data (which comes free with IB), thus paying $48 per month for one contract on Kinetick is too expensive.

I would prefer my futures strategy to work with IB price feeds, given that (1) these trades are short term day trades which can't accomodate too large a discrepancy between actual P&L and Model P&L (2) IB's historical data is sufficient for the Futures strategy's purposes.

Thanks for the suggestion! I hope your team can find an answer. It would be harsh to have to purchase a new server and NT license just to run a second strategy.

Cheers,
Skyholder84

[NinjaTrader_Jason]

Hello Skyholder84,

Unfortunately the following applies when using multiple connections.

Only when the first connection does not support a certain instrument type (future, stock, forex, index), NinjaTrader will retrieve data from the 2nd connection.

Since all instrument types are supported by BarChart, unfortunately it will not try to load futures data from IB.

I understand that the help guide does not properly reflects this information in the multiple connections page. It will be changed to reflect information more accurately.

[skyholder84]

Any chance of this being fixed in future versions? I'm sure I'm not the only one being affected by this problem. Hope a problem can be found!

An alternative solution to my historical data limitation problem

One way I have considered around my problem is to discontinue my Barchart subscription and use only IB. I would then take one weekend and slowly download an entire year's worth of minute-by-minute FX data from the IB servers.

If my understanding of NT is correct, then loading my strategy at the start of the new week with 100+ days of minute-by-minute data per FX pair will not result in a flood of historical data requests to IB, since the historical data already exists within my computer's database. If there are gaps, NT will only request any data required to fill the gaps.

Is this correct? Will NT load the bulk of the data from my database? Or will NT ignore the database and make 50 historical data requests to IB (per FX pair) when I load my strategy with 100 days of historical data?

Hope someone can help!

[NinjaTrader_Jason]

I will forward your suggestion to development to put it on the list of future considerations.

Yes, you are correct in your assumption. Please see the link below under 'When does NinjaTrader load historical data?' for more information how NinjaTrader loads data.

http://www.ninjatrader.com/support/helpGuides/nt7/historical_data.htm