bad market data YM

[manihag]

hi, when backtesting strategies on YM (CQG data feed) there are whole weeks of data missing on my end. therefore results are pretty much useless. have reloaded historical data, but strategy analyzer shows the same results everytime... how can i fix this? thanks.

[NinjaTrader_CalH]

Hello Manihag,

Thank you for your post.

What dates seem to be affected by the missing data?

What contract are you using to run the test on?

[manihag]

hi cal,

almost every other day is "empty". the biggest whole is between beginning of july '13 until mid-sptember '13 where only two days show data. something similar again between march and april '14. i'm using YM 12-14.

[NinjaTrader_CalH]

Manihag,

Please check your Merge Policy, Tools -> Options -> Data Tab, What is this set to?

What time interval are you using for the backtest? Minute, Day, Tick?

[manihag]

merge back-adjusted and renko

[NinjaTrader_CalH]

Manihag,

It appears that the Historical Data Servers only go back to June for Tick data, which is what Renko is built from, which is expected for Tick data

You would not be able to fill in this data with the data feed.

You would need to find a historical data provider that would have this data available back that far in Tick form.

[manihag]

there are still missing/empty dates from june to now too...
plus, the problem does not exist on other instruments. i can backtest CL for example as far as 2012 successfully...

[NinjaTrader_CalH]

Manihag,

What days are missing from the most recent time?

Do you see or not see the data in, Tools -> Historical Data Manager... -> Edit Tab, for the times in the strategy analyzer?

[manihag]

oh i think i see now what confused the strategy analyzer. the mixture of tick and minute-data in one backtest...

is there a way of downloading more tick data (via the historical data manager for example) to use it for a larger backtest? or does the strategy backtester always use the rather limited data from my cqg-connection?

thanks for your help anyway!

[NinjaTrader_CalH]

Manihag,

The Strategy Analyzer only uses data available from the local PC for faster processing, however, when connected, NinjaTrader will send a download request to get the data for the specified time frame from the Strategy Analyzer, if the data does exist on the server.