Volume

[LorneCash]

Is it possible to get Volume for DOW and S&P index? I'm connected to the Kinetick Free and the VOL shows up as a value of 1 every day.

[NinjaTrader_JC]

Hello LorneCash,

Index instruments do not have volume data recorded using Kinetick since it is a calculated value.

You may want to use another chart or series with the instrument like "ES 06-14" to be able to get the daily volume for the S&P 500 using Kinetick.

Let me know if that works for you.

[LorneCash]

I don't think that's going to work for me since I'm looking to get that data as far back as possible. I see that I can get Price data back to October of 1928 and I'd really like to have volume data back that far also. Since I know you must be curious I'll let you know that this is for an academic project.

Is there any way that you know of to get that data in a chart? Can I possibly connect the data feed to yahoo or google or something like that or is there any other free data feeds I can setup and try for free?

[NinjaTrader_VinceB]

Hello LorneCash,

Unfortunately we don't know if there's a supported datafeed provider that can do this with that much historical data. You may want to contact eSignal or Barchart, they might have this available. However, their datafeed requires a fee.

Google and Yahoo would have index data as well. We tested the Google connection and they have Index data with Volume going to 1970.

[koganam]

Is it possible to get Volume for DOW and S&P index? I'm connected to the Kinetick Free and the VOL shows up as a value of 1 every day.

Indexes are calculated, not traded directly: they do not have volume, as does nothing that it not a traded instrument.

[LorneCash]

I added a connection to Google but I am only seeing volume data from one day. Is this possibly because I have already downloaded that data and it's not getting fresh data from the provider but instead using data from my local SQLCE database.

I understand that an index is calculated data but it's not being calculated. Also I would think that for historical data it would be easier to just save the pre-calculated number for volume rather than trying to calculate each bar.

I'm guessing this isn't supported, but is there a way for me to modify the data I have saved manually? I opened the NinjaTrader.sdf in SQL Server Management Studio (SSMS) and looked through the tables but I didn't see any daily data. I then looked back to the directory and saw a folder called day with instrument folders that were filled with .ntd files but I can't seem to open them in SSMS or a text editor. I was hoping they were xml but maybe this is the wrong approach alltogether. Can I possibly export the data then modify it and re-import it?

Ideally I would have the Google connection build all the volume data back to 1970 like you said and then I guess I would have to input data manually (or write a program to do it) for earlier data.

[NinjaTrader_JC]

Hello LorneCash,

Volume Bars are based off of Tick data which is not going to be provided by either Google or Yahoo.

What you may do is use the Daily Bars, and then add the VOL indicator on the charts to be able to easily see the volume of the Instrument for that day. Daily bars will have an Open, High, Low, Close, and Volume data associated with it.

As for editing the Data, yes you may do this within NinjaTrader 7. You may Edit data by going to Tools -> Historical Data Manager -> Edit -> Locate the data you would like to remove -> Double mouse click on the particular data -> Change the values -> Press Save.

Now within your chart please right mouse click and select "Reload all Historical Data".

I have provided a link below to our Help Guide that goes over Editing Data:

http://www.ninjatrader.com/support/helpGuides/nt7/editing.htm

[LorneCash]

That works, thank you for your help.

I still don't understand why Kinetick doesn't have volume data for the indexes like yahoo does. I understand that it's a calculated value but from what I've seen that's not how NT7 stores/displays Volume.

[NinjaTrader_JC]

Hello LorneCash,

I will make that suggestion to Kinetick, but my guess would be that since its is a calculated value most would probably consider the volume not important so it is not recorded.

Let us know if we can be of any further assistance.