Market Data Query

[scottreynolds]

Is it possible to query market data such as "query all High Prices by day for the month of March for ES"?

Thank you.

[NinjaTrader_Joydeep]

Hello scottreynolds,
Thanks for your post.

Yes, you can do it. To assist you further may I know:

• From what bars period (daily, minute etc) you are trying to pull the data.
• Are you looking for the highest high value for the month of March, or something else?

Looking forward to assisting you further.

[scottreynolds]

Using March as the example, I would like to be able specify a time range, say, 9am to 10am and then for each trading day in March, retrieve the highest price in that time period for each day. So if there were 22 trading days in March, I would get 22 "highest" prices, one for each day restricted to the time period 9am to 10am.

[NinjaTrader_Joydeep]

Hello scottreynolds,
Thanks for the clarification.

You can find the high low using the following code.

//in variable
double high = 0;
double low = double.MaxValue;

//in OnBarUpdate
if (Time[0].Month == 3)
{
	if(ToTime(Time[0]) >= 90000 && ToTime(Time[0]) <= 100000)
	{
		high = Math.Max(high, High[0];
		low = Math.Min(low, Low[0]);
	}
}

You can store the value in a list, or an array. This is however more of a C# query and beyond what we could support. However you may refer here to know more.

http://www.dotnetperls.com/list

[scottreynolds]

Just to clarify - what you are doing is actually writing a strategy - so then I would need to download all the market replay data myself (say the month of March for some instrument) and then open a connection to Market Reply using a start date of 3/1/2012 and end date of 3/31/2012 and then run the strategy - is that the idea?

[NinjaTrader_Joydeep]

Hello scottreynolds,
Yes, you have to write a NinjaScript code to do it.

You can simply run the code on a chart (make sure data for the month of March is there).