Querying Time and Sales Data

[pbailey19]

Got one of those questions that I know is going to get me flamed, but here goes.

Is there any way to query historical data? For example, let's say:
(1) I'd like to see how many times the Daily RSI on a symbol was below X during Q42012,
(2) I'd like to know the maximum trade size from the Time & Sales data for a certain day,
(3) I'd like to query the maximum intraday range for symbol X for 2012.

I've got a full set of Day, Minute, and Tick data for the symbols I'm interested in. I'm familiar with coding; I'm comfortable writing C# code, and I've already written a few simple indicators and strategies. I was wondering if there was a general-purpose tool to use on our historical data - almost like writing SQL queries from a command line?

[coolmoss]

No flame here

To the best of my knowledge, no such tool exists. It's certainly not anything built in to Ninjatrader by default. You'll have to just code up each condition you want to check. You could probably do it all in one indicator, and for each condition you want to grab a stat on, simply carry a variable value along each bar and print the value to the output window.

[NinjaTrader_Bertrand]

pbailey19, welcome to our forums. I'm not aware of such a statistical analysis toolbox made available already either, however with NinjaScript's C# capabilities there would be oppurtunity to extend here.