Historical data sources for NT

[sirius]

Hi

Can anyone update where historical data, in particular for ES futures can be obtained for NT as I'm using Zen-Fire and they don't provide it, nor do NT.

Thanks

[NinjaTrader_ChristopherJ]

Hi

Can anyone update where historical data, in particular for ES futures can be obtained for NT as I'm using Zen-Fire and they don't provide it, nor do NT.

Thanks

Hello sirius,

Welcome to the forum and thank you for your post.

When connected to Zen-Fire within NinjaTrader you will have access to historical minute and tick data. Unfortunately you will not have access to historical daily data but you can use a 1440 minute chart to simulate daily bars.

I have provided a link below to the data providers supported by NinjaTrader. This page will go over the types of data they offer as well as the instruments they support.

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

Please let me know if I may be of further assistance.

[sirius]

Hi Chris

I can only access historical data that I captured whilst logged on to Zen-Fire/NT - correct?

Say for example I wanted to have the ES 09-09 data from yesterday but I wasn't logged into NT yesterday - I can't see the historical data.

I'm wanting to know if and where I can get this historical data from?

Thanks

[NinjaTrader_ChristopherJ]

Hi Chris

I can only access historical data that I captured whilst logged on to Zen-Fire/NT - correct?

Say for example I wanted to have the ES 09-09 data from yesterday but I wasn't logged into NT yesterday - I can't see the historical data.

I'm wanting to know if and where I can get this historical data from?

Thanks

Hello sirius,

No, you should be able to receive historical data for 1 year using Zen-Fire/NT.

Please confirm you have enabled Historical Data when creating your connection.

To check this parameter please use the steps I have provided below.

• Disconnect from your connection
• Control Center
• Tools
• Account Connections
• Select your Zen-Fire connection
• Change
• Next
• Historical Data-->Enabled
• Next
• Next
• Finish

Next please reconnect and let me know if you are able to receive historical data.

[sirius]

Hi Christopher

My ZenFire Connection has historical data enabled.

I maybe missign something here - it's a request I've seen on the forums too!

eg I didn't connect to NT yesterday. How can I see what happened for future ES 09-09 for yesterday? Where does the daya come from?

Does Tools -> Historical Data -> Reload supposed to load the missing days data then?

How do I run through the data? I thought it was via the connection "Market Replay Connection"? The only dates shown on this list are for the dates I used NT and connected to Zenfire!

Thanks

[NinjaTrader_ChristopherJ]

Hi Christopher

My ZenFire Connection has historical data enabled.

I maybe missign something here - it's a request I've seen on the forums too!

eg I didn't connect to NT yesterday. How can I see what happened for future ES 09-09 for yesterday? Where does the daya come from?

Does Tools -> Historical Data -> Reload supposed to load the missing days data then?

How do I run through the data? I thought it was via the connection "Market Replay Connection"? The only dates shown on this list are for the dates I used NT and connected to Zenfire!

Thanks

Hello sirius,

The data will load from the NinjaTrader servers when you are connected to your Zen-Fire connection.


Please connect to your Zen-Fire connection within NinjaTrader-->Open a new chart for the ES 09-09-->If no historical data shows on the chart please right mouse click within the chart and let me know if Reload Historical Data is greyed out.


Market Replay will only record data when you are connected to your real time connection for a later replay to practice trading.

Market Replay works if you have recorded market replay data. You can enable the recorded by following the instructions below.

• From the NinjaTrader Control Center window select the menu Tools > Options
• Go to the "Data" tab
• Enable "Run market replay recorder"
• Press the "OK" button
• With the recorder enabled, NinjaTrader will record all level I and level II data while you are connected. This data will then be available to replay at a later date via the menu File > Connect > Market Replay Connection.

I have provided a link below that contains additional information on Market Replay.

http://www.ninjatrader-support.com/HelpGuideV6/Overview14.html

Please let me know if I may be of further assistance.

[sirius]

Hi Christopher

I think I'm confusing historical data with market replay data then!

I want to be able to replay a days market data to backtest and practice my DOM strategies. The only way I can do this is with the days data, which needs to be captured (when I'm logged in) or imported - from what I gathered.

My question therefore should have been more specific to this end...

Correct?

Steve

[NinjaTrader_ChristopherJ]

Hi Christopher

I think I'm confusing historical data with market replay data then!

I want to be able to replay a days market data to backtest and practice my DOM strategies. The only way I can do this is with the days data, which needs to be captured (when I'm logged in) or imported - from what I gathered.

My question therefore should have been more specific to this end...

Correct?

Steve

Hello Steve,

Yes, you are correct in order to record Market Replay data you must be connected to your data provider in order to capture the data for that specific day.

If you recieve Market Replay files from another user they will need to placed in the following folder.

• Documents
• NinjaTrader 6.5
• db Folder
• Data Folder

Please let me know if I may be of further assistance.

[sirius]

Thanks Christopher - hence my topic should be titled
" Market Replay Data Source for NT"
not
"'Historical data sources for NT"

Thanks

Steve

[Ayodeji]

please can some one assist me on how to load data fro zen fire to ninja trader because i'm new in ninjatrafer

[NinjaTrader_ChristopherJ]

I have provided a link below that goes over the steps to create your connection within NinjaTrader:

http://www.ninjatrader.com/ConnectionGuides/Zen-Fire-Connection-Guide.php

After creating your connection please go to File-->Connect and select your connection.

I have also provided a link below to our Help Guide that goes over Creating a Chart.

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

[derekphelps]

How to obtain Replay data for FXCM USDollar Index

I have written a StrongWeak indicator for NinjaTrader. Results are great on back-testing the strategy i'm using with it and I need to get a truer picture of its effectiveness using replay data, but I notice that i am unable to obtain replay data on FXCM's USDOLLAR through the NinjaTrader interface (surprising as FXCM is one of your headline supported brokers). Is there a way to get replay data on USDOLLAR or perhaps USDX in its stead? I have tried DX futures but its a problem coding with the way its broken into contract periods (and cant download replay DX ##-##)
Do you have any other instrument you maintain replay data on i could use as a dollar index proxy?

[coolmoss]

I have written a StrongWeak indicator for NinjaTrader. Results are great on back-testing the strategy i'm using with it and I need to get a truer picture of its effectiveness using replay data, but I notice that i am unable to obtain replay data on FXCM's USDOLLAR through the NinjaTrader interface (surprising as FXCM is one of your headline supported brokers). Is there a way to get replay data on USDOLLAR or perhaps USDX in its stead? I have tried DX futures but its a problem coding with the way its broken into contract periods (and cant download replay DX ##-##)
Do you have any other instrument you maintain replay data on i could use as a dollar index proxy?

Is there some reason you have to do the backtesting via replay? Most usually backtesting is done with historical data, either minute data or tick data, depending on the necessary level of intrabar precision your system requires.

[derekphelps]

Is there some reason you have to do the backtesting via replay? Most usually backtesting is done with historical data, either minute data or tick data, depending on the necessary level of intrabar precision your system requires.

Well...I'll put it like this. I have ran strategy's live for a week while recording both historical data and market replay data from the broker. At the end of that week I have run the same strategy on both the historical backtest data as well as the saved market replay data and i will get (often substantially) 3 different results. Particularly if the strategy is one that generates a lot of trades. Of the 3 results however, the one most closely resembling my live results are the market replay results. My typical development cycle is to use historical backtest to tune my strategy's (for its speed and convenience) and if i like the results, then test them against market replay to get a truer picture of what i can expect when running live. I have strategy's that deliver outstanding results in backtest but fail abysmally if ran live.

[coolmoss]

I spent over a year developing a very complicated algo for a client that ran something like 2 dozen instruments on 3 to 5 tick range charrts. I experienced the same things you describe. It was anything but fun, for me or the client, but probably the most useful time spent was carefully investigating WHY there were differences between playback, historical and real time results. Eventually, every single difference was weeded out, and the process led to a bullet proof strategy. I realize these comments aren't terribly helpful in and of themselves, as I doubt I would have made the effort to sort this out on my own (the client was paying for these answers) but in the end it proved to be an immensely useful exercise.

Just my 2 cents