Very limited volume data for ES

[pandyav]

Hello,
I am using AMP-CQG as my data provider and needed ES volume data to test an automated strategy. I was able to see data going back to Sept 2012 just a week ago but now it is loading data only starting from Sept 2013.

Is there a way for me to get the volume data for ES going back to at least the start of 2011? Also, does anyone know how much of volume data CQG provides going back to what month and year in the past?

Thanks!

[NinjaTrader_Kyle]

Hello,

Thank you for contacting us.

Are you asking about the bar type volume or volume associated with, for example, minute data?

[pandyav]

Kyle,
Thank you for the quick response. I am referring to bar type volume. I want to have ES volume data going back to 2011 so that I can create 5000 volume bar chart and also use the data for back testing.

Any idea how I can accomplish this?

Thanks!

[NinjaTrader_Kyle]

Hello,

Thank you for clarifying.

At this time, NinjaTrader data servers are able to offer data in this interval only as far back as Sept 2013 as you outlined. In order to access additional data, you would need to find another data source which offered additional tick based data. I would recommend that you check in to data with BarChart, eSignal and IQ Feed in this instance.

[pandyav]

But I was able to use it until yesterday. Why would it disappear suddenly? I am using CQG as data provider and I was able to backtest my strategies until yesterday going back to at least Sept 2012. And suddenly the data is gone.

Is there a way for me to re-install something or re-download the data from CQG.

Again, very much appreciate your help in advance.

[pandyav]

Btw, when I start NT, it gives the following message in the Log window.

CQG.ADapter.SubscribeMarketDataReolve: F.US.EP.F00 could not be resolved.

Has this anything to do with the problem I am experiencing. I had the data until yesterday.

[NinjaTrader_Kyle]

Hello,

Perhaps the data was saved on your local PC until recently? Not knowing exactly what changes you've made it's hard to say why you cannot access additional data at this point however I can confirm that what you are currently able to load is the extent of the data which is available at the NinjaTrader data servers. You are currently accessing all data which is available to download.

[pandyav]

What about CQG? Can't they provide historical data? I have a live trading account with them and life time license of NT, so can't NT download additional data from their servers.

Also, what should I check with Barchart, Esignal or IQFeed?

[NinjaTrader_Kyle]

Hello,

1.) CQG offers real-time data only. All historical data with this connection is provided through NinjaTrader servers.

2.) You would need to look in to opening an account with these providers and ask whether they would be able to provide you with the full 3 years of tick data which you mentioned that you wish to access.

[pandyav]

So usually it is tick data that has volume attached to it, is that correct?

[NinjaTrader_Kyle]

Hello,

That is correct, when it comes to the volume bar type, tick data is used when constructing bars.

[pandyav]

Kyle,
What if I were to open an account with NT brokerage, will it give Tick data going back to 2011?

Thanks!

[NinjaTrader_RyanL]

Hello pandyav,


Thank you for the follow up.


NinjaTrader Brokerage and AMP Futures both provide the same amount of historical tick data.