Historical Data for Backtesting

[Edward Kunafi]

Hello Support,

I need historical futures and forex (Cash market) data for Backtesting my strategy. I am looking at least 3 years.
Does ninja provide such data?
If not which is the recommended historical data vendor for ninja trader platform?
Can this data just be imported or placed at certain ninja directories?

Thanks.

Regards.
Edward K.

[NinjaTrader_Chip]

Hello Edward,

Thank you for your post.

NinjaTrader is not a data provider. You can instead you this link to reference the list of our support data providers & the levels of service they offer:

http://www.ninjatrader-support.com/HelpGuideV6/helpguide.html?HistoricalData

You can also import historical data from an external source into NinjaTrader, just be sure it is in the proper format first. For more information on this feature & steps to complete the import, follow this link to our Help Guide:

http://www.ninjatrader-support.com/HelpGuideV6/helpguide.html?Import

I welcome others to share their thoughts on sources of this historical data question.

[Edward Kunafi]

Historical Data for Backtesting

Hello Chip,

Thanks for the quick response.

Reading the link, it seems the tick format will be the most complete, to be able to contruct other format like range, tick and volume. Please confirm.

Would you be able to advise which data vendor that already have it in ninja expected format ?

I would not want to have to do data format conversion.

Thanks
Edward K.

[NinjaTrader_Chip]

Hello Edward,

At NinjaTrader, we support each of our data providers equally so we are not in a position to recommend one service over another. You could query the particular provider to see how they format their data.

Another option may be to subscribe to a data provider (see my previous post for the link) & then export the data you need. See instructions here:

http://www.ninjatrader-support.com/HelpGuideV6/helpguide.html?Export

This would allow you to build an archive of properly formatted historical data for re-import & therefore use in back testing.

[Edward Kunafi]

Historical Data for Backtesting

Hello Chip,

I have ZenFire & IB. Sometime I saw there is a break in the data because my computer is shutdown, this appears as full bar if I uses Range bar, and appears jump if I uses RangeAlt bars. Reloading does not seems to fill the break properly.

How do I force it to reload and complete the data?

If I do not open chart of an instrument I need previously taking the realtime datafeed, would I still get equivalent historical data (for backtesting purpose) if I now just open it with long enough days back setting?

Since IB does not provide full tick data, I understand I cannot get historical range bar, tick or volume bars.


Thanks.

Regards.
Edward K.

[NinjaTrader_JoshP]

Edward,

When you do a right click on the chart and select Reload Historical Data, it redownloads data from your data provider. Whatever populates from your chart afterwards is the historical data as delivered to us from the data provider. NinjaTrader just displays it exactly as it is.

When you reload the data you do run the risk of getting different looking data than your real-time set. Reloading data pulls from the historical data servers which may not necessarily match real-time servers 100%.

[pespinar]

Hello,

here you have a provider of historical data: http://disktrading.is99.com/disktrading/. They provide tick, minute and daily data ready to import in NT, and it is not quite expensive.

Un saludo,

Pablo

[qewcool]

Hello,

here you have a provider of historical data: http://disktrading.is99.com/disktrading/. They provide tick, minute and daily data ready to import in NT, and it is not quite expensive.

Un saludo,

Pablo

Do you know if this data includes intraday volume data (on 1 min, 5 min bar etc) ? I dont see it specified.

[pespinar]

Yes, you have the volume in the tick data. Quote from the provider: "NinjaTrader tick, minute and daily data is included with all orders. We recommend importing the tick data - it is a slower process, but for several futures symbols intraday volume data is included, too (volume data is not included in the 1min files). When importing tick data, NinjaTrader will ask you to build the 1min resolution for you."

Un saludo,

Pablo

[qewcool]

Thanks Pespinar

Is that a quote on their website (link ?) or a quote from an email ?

[pespinar]

Thanks Pespinar

Is that a quote on their website (link ?) or a quote from an email ?

It is from an email from the provider.

Un saludo,

Pablo

[qewcool]

Hi Pespinar

Do you know if the ninjatrader format that they give works with both NT6.5 and NT7 ?

Also I see they give continuous contract data without price adjustment on roll over dates.

Does it mean that, once imported, the contract is good to be used as is or are any other steps required like any price adjustment on roll over date have to be done manually ?

and how one do those price adjustment manually with NT ? I have been merging contracts for backtesting but those price adjustment are done automatically by NT during the merging process.

can you give any feedback on those 2 points ?

[pespinar]

Hi Pespinar

Do you know if the ninjatrader format that they give works with both NT6.5 and NT7 ?

Also I see they give continuous contract data without price adjustment on roll over dates.

Does it mean that, once imported, the contract is good to be used as is or are any other steps required like any price adjustment on roll over date have to be done manually ?

and how one do those price adjustment manually with NT ? I have been merging contracts for backtesting but those price adjustment are done automatically by NT during the merging process.

can you give any feedback on those 2 points ?

I think the format is the same, in NT6.5 and NT7. I have imported their data in NT6.5 without problems but I haven't tried it in NT7.

Also for the providers:

"Futures data is in continuous format - there is one file per symbol,
named after the currently most active contract and containing data from the
previous contracts for the time they were most active. We do this by always
collecting data for the most active contract in one file and closely
comparing the trading volume to the volume of the forthcoming contract.
When the new contract becomes more active than the current one, we
"rollover" by re-naming the file after the new monthly contract and resuming
data collection for the new one, because it is now most active.

We don't do any price adjustments on the rollover dates, but we do
provide a spreadsheet with the rollover dates so if price adjustments
are required, they can be done on those dates."

I have imported their data over the instruments XXX ##-##, so I had not to make any mergers.

I hope this helps

[qewcool]

I have imported their data over the instruments XXX ##-##, so I had not to make any mergers.

Thats basically how I thought of doing it too saving me from doing all the merging.

Can you check if you have any price gap at contract rollover date due to switching to a new contract ?

Thanks

[kocmodpom]

I have a different issue with the disktrading historical tick data. I was able to upload the split files (10 of them) and they imported all successfully. But I can't seem to generate a tick chart with the data at all.

I resolved the minute data issue by just importing the minute data instead of trying to build from the tick data.

Is there some special trick to be able to use the tick historical data?