Exporting tick data across multiple contracts

[alcorr247]

Hi, I am seeking to export tick data from ES across multiple contracts going back a number of years. Is this possible? I know NT8 normalizes data between contracts from what I understand, does data exported from NT8 do this as well?

[NinjaTrader_Jesse]

Hello alcorr247,

If you are using the historical data export tool that will only export data for a single contract at a time. If you wanted to export the data with the merge policy enabled you would need to create an indicator that writes a .csv file of the data on the chart. The chart would need to be on the current contract and then you would set the days to load to the amount of days that you wanted to export and apply the indicator. You can find a sample that writes price data as a .csv ifle here: https://ninjatrader.com/support/help...o_write_to.htm

[alcorr247]

Hi Jesse,

Thanks for the suggestion.

I appear to be having two issues. First, I added that indicator and in the data series configuration set it for 3 years worth of days, but when the chart loaded it only went to march of last year, which is when the current 2024 June contracts began. Perhaps I misunderstand, are my merge settings incorrect? I have mergebackadjusted currently.

Second, I tried that sample script you linked to and it only appears to copy data for each bar of the chart, but I am seeking granular tick data down to each transaction to export. If I understand how the script currently works correctly, this would mean I would have to set my settings to 1 tick bars in order for the indicator to write to this level of granularity. Is my understanding correct?

[Joia_]

Hi, you need to set your chart in 1 tick instead of 1 minute.

Also, ninjatrader only allows you to use one year of tick data if I am not wrong.

[NinjaTrader_Jesse]

Hello alcorr247,

The length of data would depend on your data provider and what they offer. Most providers only provide around a year or less of tick data. If you have imported data from further back you could request a further back date.

For tick data you would need to open a tick chart.

[ClarissaGalloway]

Yes, you can definitely export tick data from ES for multiple contracts over several years. NinjaTrader 8 (NT8) makes sure the data is consistent between contracts, which is super handy. When you export this data from NT8, it should keep that consistency, giving you a clear picture of how prices have moved over time across different contracts. I had to do something similar recently, and I found that being able to export normalized tick data from NT8 really helped with my analysis. Just a heads-up, though: how much historical tick data you can get and how complete it is might depend on where you're getting your data from, so it's a good idea to check with your data provider about any limits or details.

[alcorr247]

Yes, you can definitely export tick data from ES for multiple contracts over several years. NinjaTrader 8 (NT8) makes sure the data is consistent between contracts, which is super handy. When you export this data from NT8, it should keep that consistency, giving you a clear picture of how prices have moved over time across different contracts. I had to do something similar recently, and I found that being able to export normalized tick data from NT8 really helped with my analysis. Just a heads-up, though: how much historical tick data you can get and how complete it is might depend on where you're getting your data from, so it's a good idea to check with your data provider about any limits or details.

How do you export multiple contracts worth of data without using an indicator such as the one recommended higher up in this thread?