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External Data Feed for daily data

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    External Data Feed for daily data

    Hello,

    I have a strategy that runs on custom daily instrument data and was looking for ways to automate this process instead of having to manually import this custom data on a daily basis.

    Using the ATI I was able to push my custom data to NT and consequently update the chart using the LastPlayBack function. I am actually pushing each day 4 values for the OHLC using the same timestamp to construct the daily bar (not sure if there is a better way to do this). This would automatically trigger the bar update event and the strategy would run for the day.

    That being said, I am having problems persisting/saving all the pushed data. I noticed that unless there is a strategy running, this data would not persist on the chart, i.e. if I close and reload the chart, all the pushed data would be gone. However, if I have a running strategy on the same instrument, closing and reloading a chart will still show all the pushed data. I checked the historical data and there was nothing there. Any idea where NT is saving this data?

    On the other hand, if I close NT, all pushed data is lost.
    I tried enabling the option "Save chart data as historical" but it's saving data under minute and tick data while I actually need daily data.

    Any help would be appreciated.

    Thanks

    #2
    silacitrader, welcome to our forums - your understanding here are unfortunately correct. The historical custom daily data you seek would need to be imported from your external source into NT's database, it would be the same for other connectivity options as well - we would only offer building this data from manually nimported tick / minute data. While your strategy script is running the received data would be held in an internal cache, however it's not converted to historical data in this case. I will note this item on our product enhancement lists to consider expanding supported ways in a future platform update.
    BertrandNinjaTrader Customer Service

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      #3
      Bertrand, thank you for your answer.
      Unfortunately it looks like I'm out of luck. Although the custom data I mentioned is nothing but the eod Dubai index (DFMGI) I can't seem to find a way to feed it to NinjaTrader (other than manual import). Maybe you might have an idea around this?

      Using LastPLayback and enabling the option "Save chart data as historical" is saving historical data under minutes. Maybe an overloaded LastPlayback function with a daily timestamp would be a good consideration for future updates.

      Again, thanks for your help

      Comment


        #4
        silacitrader, I have saved your helpful suggestion in our product enhancement listings so it could be considered going forward.

        For the current moment I would unfortunately not have any workaround in mind working directly with daily bars.
        BertrandNinjaTrader Customer Service

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          #5
          Bertrand, thanks again. Here's what I did as a workaround.
          I disabled the calculate on bar close and sending the OHLC sequentially to construct the daily bar
          I'm also sending the first 3 data, ie OHL with volume = 1 and checking the volume on bar update. Whenever Volume[0]<=3 (the value of 3 is used because volume is added with every data that is sent) I return. The last feed of the close is sent with the correct volume -3 and the strategy is therefore run once on the constructed daily bar.

          It's not pretty but it works.

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