Market Replay - Getting historic data?

[dedek]

is there any other source where can I get the whole past year in NT using replay ? I tried http://ninja.korthrun.net/ but it is not enough for me. Iam looking for mini er2 market. Obviously, not looking for a free source.

[NinjaTrader_Ben]

I am not aware of any source, perhaps some fellow traders know of a source or two.

[lukaskuta]

Download link not functional

Hi,
does anyone has a link to NTMdatafeeder v1.2?

The link from VITAMIN C is not functional.
I downloaded version 1.0, but it makes error and close the apllication.
I got win XP, SP3.
And after running the datafeeder,what have I to set in NT?

Thank you very much and sorry for my confused english.

Regards
Lukas

[paulchow2k]

Try this

http://www.ninjatrader-support2.com/vb/showthread.php?t=6147

http://www.driveway.com/q4y1s3w4k3

Hi,
does anyone has a link to NTMdatafeeder v1.2?

The link from VITAMIN C is not functional.
I downloaded version 1.0, but it makes error and close the apllication.
I got win XP, SP3.
And after running the datafeeder,what have I to set in NT?

Thank you very much and sorry for my confused english.

Regards
Lukas

[paulchow2k]

OK, I think i've got this figured out...

I've got lots of Australia Historical tick data for any securities that I can call up into excel via http://www.paritech.com.au/support/p...atures/dde.asp

Here are the steps I've layout:

1. export data into .txt format from excel.
2. save as the format as required by Ninjatrader [http://www.ninjatrader-support.com/H...e.html?Import]
3. Use ANF Data Converter to convert Tick into Minute & Daily Data. [As stated below by VC, NT6.5 stores data separately]. 3 Separate file: 1 x Tick file, 1 x Minute File, 1 x Daily File
4. Import All 3 formats into ninjatrader file format [http://www.ninjatrader-support.com/v...ad.php?t=6170]
5. Launch NTDataFeeder [http://www.ninjatrader-support2.com/...708#post33708] and follow the instructions as per readme.txt file

That's it in a nutshell I think. Not sure if I've missed any steps.

comments?

regards

Paul

Hi Toyogo,

1) Your second format is not supported because it is not NinjaTrader export format. For the first format, 1 bid and 1 ask will be submitted for every tick.
If u want to have a better control of bid and ask data, u may use eSignal playback file format. The file format is like below, Q is bid/ask data, T is trade data.

Q,080205,085915,2.7,2.71,34464,1000,SES ,SES
Q,080205,090001,2.7,2.71,34464,11000,SES ,SES
Q,080205,090001,2.7,2.71,34464,1000,SES ,SES
T,080205,090001,2.71,10000,SES
Q,080205,090003,2.7,2.71,53464,1000,SES ,SES
T,080205,090004,2.71,1000,SES
Q,080205,090004,2.7,2.72,53464,18000,SES ,SES

2) If you checked "Ignore Timing", timing data in the file will be ignored. Else if you uncheck it and select "1x" for the speed, the application will try wait according to the duration between the tick data before submitting the data.

3) NinjaTrader builds min and hour charts from min data, weekly charts from daily data.

4) Yes, if u have 1 minute data, then NT will builds 5 min, 10 min etc from it. For weekly charts u'll need daily data.

5) No, NinjaTrader stores Tick data, min and daily data seperately, u do not need to delete tick data to get minute data.

Btw, in case u r interested, I've release NTDataFeeder v1.2, u may download it from

http://www.driveway.com/k2g4t5j5a3

Note: Feeding min and daily data still doesn't work correctly as NT ignored the timestamp that the app is submitting

Regards,
VC

[BigDog008]

anyone having issues with the timestamps?

I've loaded a tick file for ES 3-09... i'm getting the ticks, but the time stamps are completly off... its simply time stamping by the system clock on the pc rather than the time stamps in the tick file...

[NinjaTrader_Kyle]

Hello BigDog008,

Thank you for your post.

What datafeed are you connecting to? Only some data feeds go with native timestamps on their data.

[BigDog008]

Hello BigDog008,

Thank you for your post.

What datafeed are you connecting to? Only some data feeds go with native timestamps on their data.

Kyle, I use ZenFire for my regular data feed, I was referring to the NTDataFeeder that was posted by Vitamin C... if I could get working timestamps... it would be the holy grail for me...


do you know of any way to tell Ninja Trader to ignore the system clock and use the time stamps from the DataFeeder?

[Gains]

Paul,
Thanks for reposting this program. I am trying to download it now but the driveway link you gave is not working... for now at least.

It takes me to the download page but clicking the download button results in a 500 error.
I'll keep trying in case it is just temporarily down.

Thanks alot for sharing this again!
I will compare notes with you when I get it downloaded and running.

Gains

Try this

http://www.ninjatrader-support2.com/vb/showthread.php?t=6147

http://www.driveway.com/q4y1s3w4k3

[paulchow2k]

Gains,
I've just tried it an got it working so you might want to either try another browser or another pc with another internet connection. Your service provider might be blocking it.

Paul

Paul,
Thanks for reposting this program. I am trying to download it now but the driveway link you gave is not working... for now at least.

It takes me to the download page but clicking the download button results in a 500 error.
I'll keep trying in case it is just temporarily down.

Thanks alot for sharing this again!
I will compare notes with you when I get it downloaded and running.

Gains

[Gains]

Paul,

I have tried three different browsers and two different PCs which have different Net providers and still get the same error.

It is okay though. :-)
I found that "ctrlbrk" posted a zshare link yesterday that worked for me.
Here is that post.


>From a guy named VitaminC, here is the old archived thread:
>http://www.ninjatrader-support2.com/...ead.php?t=6147

>This thread also has a lot more useful info in it, and is ACTIVE, thanks to paulchow2k:
>http://www.ninjatrader-support2.com/...ead.php?t=6412

>Tried to attach v1.2 to this post, but once again the forum has ridiculously low file size
>limits so can't.

>You may download it from
>http://www.zshare.net/download/56724326eb3f9a1c/

>Mike

I agree with Mike (ctrlbrk) about the ridiculous file size limits on our posts here on the Ninja forum.
Perhaps we could take up a collection to get $100 to buy Ninja Support a 1TB hard drive.
;-)

So thanks Paul and Mike for providing this file again to the forum.
Just in case anyone else is having troubles downloading like I did here is another link you can try.

http://cid-932131a6fe9eb638.skydrive.live.com/browse.aspx/Ninja%20Trader%20Related

Now one more thought... NT7 might render this entire issue mute. Hopefully NT7 will allow for the Market Replay function to simply replay standard historical tick data.
If this happens then this small program will not be needed anymore.

I fear what will happen is that they won't "fix" and update Market Replay in NT7 and that this program will also not work with NT7.
So does anyone have the source code for this just in case?

Gains

[paulchow2k]

Paul,
It is okay though. :-)
I found that "ctrlbrk" posted a zshare link yesterday that worked for me.


I agree with Mike (ctrlbrk) about the ridiculous file size limits on our posts here on the Ninja forum.
Perhaps we could take up a collection to get $100 to buy Ninja Support a 1TB hard drive.
;-)


Now one more thought... NT7 might render this entire issue mute. Hopefully NT7 will allow for the Market Replay function to simply replay standard historical tick data.
If this happens then this small program will not be needed anymore.

I fear what will happen is that they won't "fix" and update Market Replay in NT7 and that this program will also not work with NT7.
So does anyone have the source code for this just in case?

Gains

Hey Gains,
I won't worry about NT7. I used to work in that industry so Vaporware is the term. Besides it takes months/years to get something running stable & new rewrite. Assuming the jump in version numbers means anything similar to Microsoft. Just look at Vista.

NT 6.5 is the best we have so far especially for tick data playback regardless of all it's flaws. It's like looking at a playboy pet of the year in a magazine and actually checking her out in person! Without the airbrush, the actual person has plenty of flaws.

But I'm glad we've got a work around so far to keep the sims going and developing us into better traders. Is that the aim? Well it's mine anyway. So by the time NT7 comes out, I'm hopefully 1000 times better as a trader than I'm now. Gives me something to aim for...

Paul

[BigDog008]

does anyone have issues with the timestamps using this tool to do market replay?

[Gains]

My initial observations of the NTDataFeeder

I found it simple enough to get running and it is definitely feeding data to the charts. I want to thank VitaminC for coding this for us and Ninja for giving us the External Data Connection DLL and COM API. A tool like this is definitely needed but I don't think this one is going to make the grade for me... unless I am using it wrong. If so maybe someone can help me out.

does anyone have issues with the timestamps using this tool to do market replay?

Well BigDog008, I do have some time stamp issues are they the same as yours?
I have a data file for AUDUSD that starts here...

20070102 013414 0.7944 1

1 - I have found if I “feed” this TICK data to a TICK chart the chart bars are labeled with the current system time. Ninja does this even though the original date and time of the tick is in the data file.

Now here is where it gets really weird.
2 - If I feed this same TICK data file to a MINUTE chart Ninja is labeling it as 1/29/2007 !! Where is it finding 1/29? It is very odd.
As I write this the Feeder shows me I am well over 24 hours into the data file now...

20070105 140428 0.7789 1

but Ninja is still showing as 1/29/2007. I guess it will until the data file actually passes 1/29.

3 - If I feed a MINUTE data file into a MINUTE chart Ninja keeps the date synchronized but the minutes are still a mystery. In one day of bars on a 1 minute chart I typically get 156 bars drawn or minutes. Given there are 1440 minutes in a day Ninja is using about 9 minutes of data (9 lines) to draw a one minute bar. Even though the data file is in minute format with OHLC prices like this...

20070212 175700 0.7719 0.7719 0.7718 0.7718 2

Why are the 1440 bars reduced to 156 in a day? Interesting.

I am baffled so far. Unless I am misusing the software this must be something NTDataFeeder is doing wrong but unless VitaminC comes back to us there is nothing we can do about that.
I am going to be exploring the External Data Connector API to try to figure this out but with my coding skills don't expect me to produce anything better than NTDataFeeder anytime soon! ;-)

But right away I do see this in the API help.

int BidPlayback(string instrument, double price, int size, string timestamp)
Sets the bid price and size for the specified instrument for use when synchronizing NinjaTrader playback with an external application playback. A return value of 0 indicates success and -1 indicates an error. The timeStamp parameter format is "yyyyMMddhhmmss".

Since timestamp is a parameter I would think the data file timestamps are intended to be used.

So to me it seems that the NTDataFeeder can be used as a simulator but if your intent is to realistically replay historical data "as it actually happened" then this tool is not for you. I guess there is good reason that some serious coders that hang around this forum use NeoTicker as their data server. I have to think though that this can be coded fairly easily so that we do not need to buy Neo.

I'll keep poking around and if I figure out how to get better results I will post.
Gains

[BigDog008]

Gains I'm having that exact issue... NT is time stamping based off of system time rather than off of the tick data file....