I am not sure how to properly credit the original authors of the following code. How can I fix the "KNOWN ISSUE" described as "Throws errors: "Error on Calling 'OnStateChange' method: Object reference not set to an instance of an object.""? I have removed some of the code to fit the character limit here.
Here is the code, which is intended to Save OHLC values to a text or csv file:
Here is the code, which is intended to Save OHLC values to a text or csv file:
Code:
#region Versioning and Usage Notes
/// ExportData8: Exports time-stamped OHLCV data of the selected instrument(s) to a text/csv file in Ninja Trader 8
// (C) By the following authors in Change Log. License granted only under GNU GENERAL PUBLIC LICENSE (Latest Version)
// NOTE: Make sure that historical data exists first. To do so, connect to your Data Source and then
// Go to Tools -> Historical Data,
// then click Load tab,
// then under Download section, select Instrument(s), Intervals, Start/End Dates, Data Type,
// then click Download
// Change Log:
// 30 January 2010 ver 1.0 Released by MXASJ.
// ...
// 23 February 2017 ver 4.3 MURTY ROMPALLI: Fixed non-working default properties, Added NOSEC formats
// TO DO: Remove date/time formats and datetime separater and add input fields such as MM/dd/yyyy, separater, HH:MM etc
// KNOWN PROBLEMS:
// Throws errors: "Error on calling OnStateChange method: Object reference not set to an instance of an object
#endregion
using System;
using System.Collections.Generic;
using System.ComponentModel;
using System.ComponentModel.DataAnnotations;
using System.Linq;
using System.Text;
using System.Threading.Tasks;
using System.Windows.Input;
using System.Windows.Media;
using System.Xml.Serialization;
using NinjaTrader.Cbi;
using NinjaTrader.Gui;
using NinjaTrader.Gui.Chart;
using NinjaTrader.Gui.SuperDom;
using NinjaTrader.Gui.Tools;
using NinjaTrader.Data;
using NinjaTrader.NinjaScript;
using NinjaTrader.Core.FloatingPoint;
using NinjaTrader.NinjaScript.Indicators;
using NinjaTrader.NinjaScript.DrawingTools;
using System.IO; //For StreamWriter
using System.Windows.Forms; //For the pop up warning
//This namespace holds Strategies in this folder and is required. Do not change it.
namespace NinjaTrader.NinjaScript.Strategies
{
public class ExportData8 : Strategy
{
#region Variables
private string dest;
private bool pathException = false;
private System.IO.StreamWriter sw;
private char dataSeparator = ',';
#endregion
protected override void OnStateChange()
{
if (State == State.SetDefaults)
{
Description = @"Strategy to Export data";
Name = "ExportData8";
Calculate = Calculate.OnBarClose;
IsExitOnSessionCloseStrategy = true;
ExitOnSessionCloseSeconds = 30;
/*
EntriesPerDirection = 1;
EntryHandling = EntryHandling.AllEntries;
IsFillLimitOnTouch = false;
MaximumBarsLookBack = MaximumBarsLookBack.TwoHundredFiftySix;
OrderFillResolution = OrderFillResolution.Standard;
Slippage = 0;
StartBehavior = StartBehavior.WaitUntilFlat;
TimeInForce = TimeInForce.Gtc;
TraceOrders = false;
RealtimeErrorHandling = RealtimeErrorHandling.StopCancelClose;
StopTargetHandling = StopTargetHandling.PerEntryExecution;
BarsRequiredToTrade = 20;
// Disable this property for performance gains in Strategy Analyzer optimizations
// See the Help Guide for additional information
*/
path = @"C:\Data"; // Path where file(s) will be written
useDefaultFilename = true; // Use default file name
filename = @"<Default>"; // Default: Instrument_BarType_Periodicity.fileExtn
fileExtension = ExtType.csv; // Enum for File Extension
dateTimeFormat = MyDateTime.USTimeFormatNOSEC; // Enum for DateTime output
delimiter = SepType.comma; // Enum for data delimiter
splitDateTime = true; // Splits DateTime into Date and Time fields
firstRowIsColumnName = true; // Set for standard DateTime OHLC formats. Matlab, R, and CustomCode will be incorrect
}
else if (State == State.DataLoaded)
{
if (useDefaultFilename == true || filename == "<Default>")
switch(Instrument.MasterInstrument.InstrumentType)
{
case InstrumentType.Stock:
case InstrumentType.Forex:
dest = @"\" + Instrument.MasterInstrument.Name + "_" + BarsPeriod.Value + "_" + BarsPeriod.BarsPeriodType + "." + fileExtension;
break;
case InstrumentType.Future:
dest = @"\" + Instrument.FullName + "_" + BarsPeriod.Value + "_" + BarsPeriod.BarsPeriodType + "." + fileExtension;
dest = dest.Replace(' ','_'); // Replaces illegal filename characters in Futures names
dest = dest.Replace('-','_'); // Replaces illegal filename characters in Futures names
break;
case InstrumentType.Index:
dest = @"\" + Instrument.MasterInstrument.Name + "_" + BarsPeriod.Value + "_" + BarsPeriod.BarsPeriodType + "." + fileExtension;
dest = dest.Replace('^','i'); // Replaces illegal filename characters in Index names
break;
default:
MessageBox.Show("Unsupported Type: " + Instrument.MasterInstrument.InstrumentType, "Warning", MessageBoxButtons.OK, MessageBoxIcon.Stop);
SetState(State.Terminated);
return;
}
else
dest = @"\" + filename + "." + fileExtension;
dest = path + dest;
switch(delimiter)
{
case SepType.tab:
dataSeparator = '\t';
break;
case SepType.comma:
dataSeparator = ',';
break;
case SepType.semicolon:
dataSeparator = ';';
break;
case SepType.space:
dataSeparator = ' ';
break;
}
// NOTE: If file at 'path' doesn't exist it will create the file. If it does exist, it will append the file.
try
{
sw = File.AppendText(dest);
}
catch (Exception e)
{
Print(DateTime.Now + " Exception caught in path and file variables");
Print("Path " + dest + " is invalid");
Print("Please check your path and file name and try again");
Print ("Exception Details: " + e.ToString());
MessageBox.Show("Invalid Path/Filename, Exception: " + e.ToString(), "Warning", MessageBoxButtons.OK, MessageBoxIcon.Stop);
sw.Close();
pathException = true;
sw.Dispose(); //Not sure if this is necessary here.
SetState(State.Terminated);
}
Print("Writing to file: " + dest);
//FirstRowIsColumnName logic
if (firstRowIsColumnName && dateTimeFormat != MyDateTime.CustomCode)
{
if (splitDateTime)
sw.WriteLine("Date" + dataSeparator + "Time" + dataSeparator + "Open" + dataSeparator + "High" + dataSeparator + "Low" + dataSeparator + "Close" + dataSeparator + "Volume");
else
sw.WriteLine("DateTime" + dataSeparator + "Open" + dataSeparator + "High" + dataSeparator + "Low" + dataSeparator + "Close" + dataSeparator + "Volume");
}
Print(DateTime.Now + " Running Export Data [Disable to close the file and allow access by other programs]");
}
else if (State == State.Terminated)
{
sw.Close();
Print(DateTime.Now + " Terminating ExportData on " + Instrument.FullName + " " + BarsPeriod.Value + " " + BarsPeriod.BarsPeriodType + " Data");
if (pathException)
Print("Path exception!");
else
Print("File written to: " + dest);
sw.Dispose();
}
}
protected override void OnBarUpdate()
{
// This is the output of all lines. The output format is: DateTime Open High Low Close Volume
// If you wanted to output indicator data you could add that to string "data" as well, for example
// the line below would output DateTime Close EMA(14):
// string data = (Time[0] + dataSeparator + Close[0] + dataSeparator + EMA(14)[0]);
// The case CustomCode below is set up specifically for this.
string data = string.Empty;
switch(dateTimeFormat)
{
case MyDateTime.USTimeFormatNOSEC:
data = Time[0].ToString("MM/dd/yyyy HH:mm") + dataSeparator + Open[0] + dataSeparator + High[0] + dataSeparator + Low[0] + dataSeparator + Close[0] + dataSeparator + Volume[0];
break;
case MyDateTime.USTimeFormat:
data = Time[0].ToString("MM/dd/yyyy HH:mm:ss") + dataSeparator + Open[0] + dataSeparator + High[0] + dataSeparator + Low[0] + dataSeparator + Close[0] + dataSeparator + Volume[0];
break;
}
if (splitDateTime == true)
//Replace the space in DateTime with the DataSeparator
data = data.Replace(' ',dataSeparator);
sw.WriteLine(data);
}
public enum ExtType
{
txt,
csv,
}
public enum MyDateTime
{
USTimeFormatNOSEC,
USTimeFormat,
EUTimeFormatNOSEC,
EUTimeFormat,
ISO8601Basic,
ISO8601Extended,
ISO8601BasicT,
ISO8601ExtendedT,
Matlab,
R,
CustomCode,
}
public enum SepType
{
comma,
semicolon,
tab,
space,
}
#region Properties
[Display(Name="Path", GroupName="Output File Properties", Description="Path name for the text file output. NOTE: If the file exists data will be appended to it.")]
public string path { get; set; }
[Display(Name="File Extension", GroupName="Output File Properties", Description="Output file extension. Currently supports txt and csv.")]
public ExtType fileExtension { get; set; }
[Display(Name="Filename", GroupName="Output File Properties", Description="If UseDefaultFileName is FALSE, the file name for the text file output. NOTE: If the file exists data will be appended to it.")]
public string filename { get; set; }
[Display(Name="Use Default Filename", GroupName="Output File Properties", Description="Use Default Filename? True/False. Default Filename is Instrument_Bars Type_Periodicity.")]
public bool useDefaultFilename { get; set; }
[Display(Name="Delimiter", GroupName="Output Data Format", Description="Column delimiter. Default is a comma.")]
public SepType delimiter { get; set; }
[Display(Name="DateTime Format", GroupName="Output Data Format", Description="DateTime Output. Various options are listed. CustomCode can be used if you need to output indicator values. It is currently coded to output Close and EMA(14).")]
public MyDateTime dateTimeFormat { get; set; }
[Display(Name="Split DateTime", GroupName="Output Data Format", Description="Splits Date and Time into two fields.")]
public bool splitDateTime { get; set; }
[Display(Name="First Row is Header", GroupName="Output Data Format", Description="If TRUE, first row of output is column names for standard DateTime OHLCV formats. CustomCode will ignore this setting.")]
public bool firstRowIsColumnName { get; set; }
#endregion
}
}
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