Free real-time error in demo of NinjaTrader (CQG)

[BernieTGN]

Hello,

I usually use NT7 with EOD Kinetick data. Today I have decided to do some tests with the free real-time demo of NinjaTrader and I have realised that real-time data only works with US Index futures, currency futures and commodity futures... but not with european index futures (FESX 12-18, for example).

The message that appears is "CQG.Adapter.SubscribeMarketDataResolve: [instrument code] is not enabled for real-time quotes and trading."

I remember than, the first time I probed this platform, I could make tests with european index futures in real-time.

I would like to know if it is an error with my plattform or if it is a change of policy of NinjaTrader respect european public.

Thank you very much,

[NinjaTrader_EricB]

Hello BernieTGN,

Thank you for your post and use of NinjaTrader.


Glad to assist. This is due to a change with the demos — as of 8.17.18, demos are not enabled with EUREX, ASX, or ICE real-time data.


Our apologies for any inconvenience. Unfortunately there is not another demo available that would offer Eurex data, a subscription via a data provider will be needed. The below link will show all the NinjaTrader-supported data feeds and the market they support.

See "Understanding the Data Supplied by your Connectivity Provider"


https://ninjatrader.com/support/help...y_provider.htm

Let us know if we may assist further.

[BernieTGN]

Hello BernieTGN,

Thank you for your post and use of NinjaTrader.


Glad to assist. This is due to a change with the demos — as of 8.17.18, demos are not enabled with EUREX, ASX, or ICE real-time data.


Our apologies for any inconvenience. Unfortunately there is not another demo available that would offer Eurex data, a subscription via a data provider will be needed. The below link will show all the NinjaTrader-supported data feeds and the market they support.

See "Understanding the Data Supplied by your Connectivity Provider"


https://ninjatrader.com/support/help...y_provider.htm

Let us know if we may assist further.

Hello EricB,

Ok, I understand, but I am worry with the quality of the data even if it is not real-time (FESX future, for example). I am using this data in M5 time frame for backtesting with EXCEL. I have found a lot of days where I miss some bars (to many). For example, if I load data for the 25/07/2016, I have only bars after 20:00. I have the same problem with more than 20 days.

Is there any problem with demo data from NinjaTrader (CQG) or it is my NT7?

Thank you,

[NinjaTrader_PatrickG]

The historical data for all CQG-based connections (live or demo) is provided by our (NinjaTrader's) servers.

The front month at that time was 09-16. I also notice that July 25th 2016 has significantly less data than the dates around it. I can't reproduce when using NinjaTrader 8, so it looks like it's isolated to NinjaTrader 7's historical data servers.

If you provide me with the exact date/times, we may be able to backfill this data. What other days do you notice this?

[BernieTGN]

The historical data for all CQG-based connections (live or demo) is provided by our (NinjaTrader's) servers.

The front month at that time was 09-16. I also notice that July 25th 2016 has significantly less data than the dates around it. I can't reproduce when using NinjaTrader 8, so it looks like it's isolated to NinjaTrader 7's historical data servers.

If you provide me with the exact date/times, we may be able to backfill this data. What other days do you notice this?

Hello PatrickG,

In a period around four years, I miss more than 500 M5 bars. I would haven't realized if I hadn't make the export data to excel. I mean, If I see the chart, I don't see any gap of data in replace of the missed bars, so it is dificult to see the problem and part of the analysis made could be wrong.

Also, I have begun to export ES M5 data for the ES but I have found similar problem. For example, data of 01/09/2014 (dd/mm/yyyy) finishes at 19:00 (central europe time) when it should be at 22:15. I see the same problem in data of 27/11/2014.

Finally, I have stopped any backtest because, in my opinion, it doesn' make any sense. I would prefer to think that I am making a mistake. Having to doubt the data, at least in my case, changes everything. I really woried about that.

By the way, is there any method for NT7 alerts the user if it can't find data for a period?


I really apreciate your customer support,



(The list of the missed bars - attached file- is in the following format: YYYYMMDD HHMMSS)

[NinjaTrader_PatrickG]

You'll need to make sure to consider limited exchange hours due to holidays. November 27th 2014 was a Thanksgiving holiday and the CME had limited hours on that day. September 1st 2014 was Labor day and the CME had limited hours on that day:

https://www.cmegroup.com/tools-information/holiday-calendar.html

You want NinjaTrader to automatically detect and alert you of missing bars? This would not be possible by default, but could be programmed via custom NinjaScript. If you're interested in programming this yourself, please start a new thread in the NinjaScript sub-forums or contact us via email at PlatformSupport[AT]NinjaTrader[DOT]com

[BernieTGN]

You'll need to make sure to consider limited exchange hours due to holidays. November 27th 2014 was a Thanksgiving holiday and the CME had limited hours on that day. September 1st 2014 was Labor day and the CME had limited hours on that day:

https://www.cmegroup.com/tools-information/holiday-calendar.html

You want NinjaTrader to automatically detect and alert you of missing bars? This would not be possible by default, but could be programmed via custom NinjaScript. If you're interested in programming this yourself, please start a new thread in the NinjaScript sub-forums or contact us via email at PlatformSupport[AT]NinjaTrader[DOT]com

Hello PatrickG,

Thanks, I recieved good info from PatrickH to start programming on NinjaScript. This will be my first little project.

I have exported the ES data and I agree with you. The data is much better tha FESX. I missed only two M5 bars in four years (20150824 153000 and 20160211 160000). Thank you for the link to CME calendar.

Nevertheless, I think your observation doesn't apply to the most of the examples in the FESX. Do you agree? May I understand there are differences between NinjaTrader 7's and NinjaTrader 8's historial data serves for some product?

Thanks a lot,

[NinjaTrader_PatrickG]

I agree that there is data missing on July 25th 2016. This has been reported to the data team. if you come across other dates, please list them specifically with date and range of bars missing.

Keep in mind that since NinjaTrader 7 and its data servers are no longer the flagship model of NinjaTrader (these issues do not appear in NinjaTrader 8's servers), they may not be backfilled as we focus on NinjaTrader 8 items.

[BernieTGN]

I agree that there is data missing on July 25th 2016. This has been reported to the data team. if you come across other dates, please list them specifically with date and range of bars missing.

Keep in mind that since NinjaTrader 7 and its data servers are no longer the flagship model of NinjaTrader (these issues do not appear in NinjaTrader 8's servers), they may not be backfilled as we focus on NinjaTrader 8 items.

Hello PatrickG,

Other dates are listed in the file attached in post #5.

Ok, I see I will have to move to NT8... Is there any guide? Will I have to start from scratch (charts, templates, workspaces, etc...)?

Thank you,

[NinjaTrader_PatrickG]

...Also, I have begun to export ES M5 data for the ES but I have found similar problem. For example, data of 01/09/2014 (dd/mm/yyyy) finishes at 19:00 (central europe time) when it should be at 22:15. I see the same problem in data of 27/11/2014....

The above is quoted from post #5. I inferred from your mention of ES only in this statement that you were referring to ES only. Are you saying that there is data missing for these dates for EUREX instruments like FESX?

The most comprehensive guide and answers to common questions in found in the NinjaTrader 8 FAQ page

[BernieTGN]

The above is quoted from post #5. I inferred from your mention of ES only in this statement that you were referring to ES only. Are you saying that there is data missing for these dates for EUREX instruments like FESX?

The most comprehensive guide and answers to common questions in found in the NinjaTrader 8 FAQ page

Thanks for the link, PatrickG.

Yes, I was referring to FESX (from the previous post). Data in the attached file is about FESX, no ES.

[NinjaTrader_PatrickG]

I've looked specifically into FDAX 09-14 on September 1 2014. I am seeing that it appears as if the instrument was just very thinly traded near the end of that day. Here is an example from NinjaTrader 8 (but I see the same in NinjaTrader 7:

https://www.screencast.com/t/TE4cqszqT

There are several spots on this day where there was seemingly no volume and therefore no data which is resulting in 'missing' minute bars. Can you confirm from an outside source that there was in fact data between 15:03 and 15:11 on that date? Please provide a link to the resource you use.

[BernieTGN]

I've looked specifically into FDAX 09-14 on September 1 2014. I am seeing that it appears as if the instrument was just very thinly traded near the end of that day. Here is an example from NinjaTrader 8 (but I see the same in NinjaTrader 7:

https://www.screencast.com/t/TE4cqszqT

There are several spots on this day where there was seemingly no volume and therefore no data which is resulting in 'missing' minute bars. Can you confirm from an outside source that there was in fact data between 15:03 and 15:11 on that date? Please provide a link to the resource you use.

Hello PatrickG,

I don't trade FDAX because I know it is a thin market.That's the reason why I prefer to trade FESX (data attached). I think it would be difficult to find periods for more than five minutes (I am exporting five minute bars) without any trade in the FESX . Do you agree? Anyway, If you want me to check any specific FESX bar, I'll do it.

[NinjaTrader_PatrickG]

I see the same issue (but with smaller gaps) in FESX 09-14 on Sept. 1 2014 when checking using our historical data and Kinetick's historical data. For example, I notice a few gaps of a minute or two between 14:30 and 15:30 eastern US time:

https://www.screencast.com/t/dwjYNIX8T

I suspect that if you're judging 'missing' data by total bars compared to another date, than this will explain the minor fluctuations. I do not believe data is missing - there simply wasn't any trading for brief periods of time.

[BernieTGN]

I see the same issue (but with smaller gaps) in FESX 09-14 on Sept. 1 2014 when checking using our historical data and Kinetick's historical data. For example, I notice a few gaps of a minute or two between 14:30 and 15:30 eastern US time:

https://www.screencast.com/t/dwjYNIX8T

I suspect that if you're judging 'missing' data by total bars compared to another date, than this will explain the minor fluctuations. I do not believe data is missing - there simply wasn't any trading for brief periods of time.

Hello Patrick,

Periods of a minute o two (even three or four minutes) without trades don't cause an "empty" five minute bar. I am working all the time with M5 bars, so that can't be the reason for days I miss one o two bars. Period without trades should be longer (at least five minutes) and I think it is complicated to find something like that for the FESX. May be I'm wrong.

There are longer periods without data, as you migh see on 16/03/2016 (non holiday). My first M5 bar in the chart (FESX) is at 09:25AM, when the session begins at 8:00 AM.

Anyway, I don't want to struggle with this. That sounds strange for me, but it is not my bussines if historical data server for NinjaTrader 7 is good o not. If I have any doubt with the data for some product I will check with other data resource.

Thanks,