Importing historical tick data..

[ag987654321]

I have some very high frequency tick data from the CME/CBOT in CSV format.
Is there a process that I can import into NT for back-testing?

[NinjaTrader_Jason]

Please see the following link for instructions to import historical tick data.

http://www.ninjatrader-support.com/HelpGuideV6/Import.html

Make sure the data is in the correct format.

[dowtrader]

[FONT='Calibri','sans-serif']Hi,[/FONT]
I have purchased and imported historical data (in the correct format) into Ninja Trader from a text file (.txt) dating from 1999 for the continuous YM mini Dow ($5) contract. The historical data does not appear in the standard charts – only historical data provided from my barchart.com connection is shown. However, the full historical data does appear in the Strategy Analyser chart but the statistic results from any backtesting only covers the historical data up to the date provided by barchart.com i.e. whether I backtest from 1st Jan 2002 to 25th Jan 2009 or baktest from 1st Jan 2008 to 25th Jan 2009 I get the same backtesting statistic results.

[FONT='Calibri','sans-serif']Yes, I have tried without being connected to BarChart but the effect is the same. I have read the article [/FONT][FONT='Verdana','sans-serif']“When does NinjaTrader Load Historical Data” [/FONT][FONT='Calibri','sans-serif']– is it case that whenever Ninja Trader detects it has to reload data, does this mean Ninja Trader will delete/remove all of the historical data from 1997 -2008 that I imported from a text file? If so why does the full historical data (1997 – 2009) appear in the Strategy Analyser chart but not the other standard charts and [/FONT]statistic results from any backtesting only covers the historical data up to the date provided by barchart.com i.e. whether I backtest from 1st Jan 2002 to 25th Jan 2009 or backtest from 1st Jan 2008 to 25th Jan 2009 I get the same backtesting statistic results? Please help.

[NinjaTrader_Jason]

Hello dowtrader,

Could you please tell me the name of the text file you imported.


Create a YM ##-## instrument in the Instrument Manager and add it to your instrument list.

http://www.ninjatrader-support.com/HelpGuideV6/AddRemoveFromList.html

Name the historical data text file, YM ##-##.txt.

Import it into NinjaTrader.

Check if the imported historical data is displayed upon opening a YM ##-## chart.

[dowtrader]

The File is called YM 03-09.TXT. Like I said, I can see the historical data in the strategy analyser chart but not in any other chart. Again, even though I can see the historical data in the strategy analyser chart when I backtest, the actual backtest results only cover data upto April 2008 even though I set it to test upto 1997. I can see data dates from 1997 to 2009 on the strategy analyser chart but no entry/ exit signals and no execution/trades prior to April 2008. I think this started to happen when I added the following two lines to my strategy but I'm not sure how this could possibly affect historical data:

Add(PeriodType.Day, 1); // BarsInProgress == 5 and is in the Initialize() method

dcmlDailyATRvalue = (decimal)(ATR(BarsArray[5],3)[1]; // in a seperate method

The Primary bar is 5min chart.

[NinjaTrader_Bertrand]

Hi dowtrader, which type of data did you import? Was it also daily data? If not, then NinjaTrader will check for which period it has the full data needed (min and daily), so this may be what you see here.

[dowtrader]

I imported tick data but at the time of importing I was prompted with the message: " NinjaTrader can construct minute bars based on the imported tick data. Do you wish to generate minute bars?". I replied Yes to this prompt so I assume that I have imported minute bar data. If so, does this mean I cannot access Daily bars beyond the date of historical data provided by my BarChart connection despite having imported historical data from 1997 to 2008 from a text file? In that case would I have to use
Add(PeriodType.Minute, 1440) instead of
Add(PeriodType.Day, 1).

Thanks in advance.

[dowtrader]

I imported tick data but at the time of importing I was prompted with the message: " NinjaTrader can construct minute bars based on the imported tick data. Do you wish to generate minute bars?". I replied Yes to this prompt so I assume that I have imported minute bar data. If so,

1) does this mean I cannot access Daily bars beyond the date of historical data provided by my BarChart connection despite having imported historical data from 1997 to 2008 from a text file?

2) Or is there some other limit on the use of daily bars?

3) In that case would I have to use
Add(PeriodType.Minute, 1440) instead of
Add(PeriodType.Day, 1).

Thanks in advance.

[NinjaTrader_Bertrand]

Hi dowtrader, you are correct as there are no daily bars from your imported data then present. So please try using the 1440 min as a substitute.

[dowtrader]

I assumed that Ninja Trader would have constructed Daily bars out of the imported Minute bar historical data. Anyway now I have used

Add(PeriodType.Minute, 1440)

instead of

Add(PeriodType.Day, 1).

and now the back testing works as expected. Thanks for your support - much appreciated.

[dowtrader]

However I still have the problem that the historical data does not appear in the standard charts – only historical data provided from my barchart.com connection is shown and not the imported historical data dating from 1997 to 2008 even in Minute bar charts. I have format the data series in a new chart.

[NinjaTrader_Bertrand]

Under which symbol did you import the data? Was it a continuous one (##-##)

[dowtrader]

I imported the data under the YM 03-09 symbol using a text file called YM 03-09.txt.

[NinjaTrader_Bertrand]

Please try importing the data under YM ##-## and see if that works.

[dowtrader]

Hi,

1) Ok I tried that and I can now see the historical data in my standard charts when I disconnect from barchart.com but when I attempt to back test my strategy using YM ##-## I got the error message attached and Ninja Trader crashed. (I haven't come across the ##-## format, is there more can read about this?).

2) Also, can I merge YM ##-## with YM 03-09 so that I can use YM 03-09 and my barchart.com connection? I use barchart.com for my connection so will this be affected in anyway?

3) When I tried to back test my strategy using YM ##-## I got the error message attached.

Thanks in advance.
dow trader, London. UK.