Looking for data vendor

[MasterSepp]

Hello,

I'm currently looking for a data vendor/feed to get historical minute data for the Dow Jones Mini Future (YM) and perhaps also the ES. The historical data should be at least 5 years back, better 10 or 20 years. Do you have any experience with special data vendors? I already searched in the web but couldn't find one who convinced me. So I hope you can help me further with your advice.


Regards,

Sepp

[NinjaTrader_RyanO]

Hello MasterSepp,

Thank you for your post.

You would want to look at one of our supported data only providers, such as eSignal, BarChart or IQFeed since they offer that type of historical data using a continuous contract symbol, which is merged data from all previous front months.

I have included information below on how to obtain discounted rates and free trials from the following datafeed providers.

Barchart.com (subscriptions starting at $45/monthly)
https://www.barchart.com/register/realtime/?ID=NJA


IQFeed offers a 7-day free trial for NinjaTrader users.
https://www.iqfeed.net/ninjatrader/index.cfm?displayaction=start&promo=1717496


eSignal promotional rate for NinjaTrader clients:
http://www.ninjatrader.com/webnew/eSignalSpecialNinja08.pdf

[MasterSepp]

Thank you for the informative links. Do you know by accident, if all of these data vendors offer such a long time span? 10 years would be very good. I also often saw that most data vendors only offer YM data up to 2002. Do you know if this is the same with this vendors? If not, I'm going to ask them.

Regards,

Sepp

[NinjaTrader_RyanO]

Hi Sepp,

I'm not sure how far back their continuous contracts go, but, as you mentioned, if you contact them they can give that information.

[MasterSepp]

New topic

I didn't want to open a new thread for this little question, so I post it in this one.

I finally purchased NinjaTrader and choosed Trading Technologies as my broker. As you perhaps know, the combination of TT and NT doesn't support carrying positions overnight. After asking their support, I was told that it works like this: If I enter long today, NinjaTrader will show me tomorrow, that I don't have any long positions, although I have one. If I then want to close the position, NinjaTrader shows me, that I'm short with one position, although I'm flat now. So to get from long to short, I have to manually sell two contracts.
Now to my question: Let's say, I have a strategy, which permanently switches between long and short positions. If I now have a long position and want to get short (long position opened yesterday), normally the command EnterShort(DefaultQuantity); is sufficient. Now I was wondering, if I have to use for new EnterShort(2*DefaultQuantity) to get REAL short with TT, since I have to sell one contract to get flat and another one to get short.
Is my understanding right?

Regards,

Sepp

[NinjaTrader_RyanO]

Hi Sepp,

Your understanding is correct, but for more information on the topic I would encourage you to take a look at the following link.

http://www.ninjatrader-support.com/HelpGuideV6/helpguide.html?StrategyPositionVsAccountPosition

[MasterSepp]

Hi Ryan,

thank you for the link. Now I am a bit confused how to start the strategy. As I mentioned before, I always want to be in the market with one contract. Since it is normally held overnight, I have to manage this with EnterLong/Short(2); But how do I start this strategy? Let's assume, I start the strategy during trading time. Historical data got a long entry for the strategy when starting it. Since I always have to use EnterPosition(2); the virtual position of this strategy would be now 2 long contracts, although I'm flat in reality. Now I buy manually one contract, let alone the difference of one contract between virtuality and reality. Now the next bar (= next session) opens. Now the strategy position is flat, while I'm still long with one contract on my whole account. Now the strategy gets the long exit signals filled. It enters short with EnterShort(2); causing the strategy's position get 2 short contracts, although I'm only 1 short in reality. Now this goes on and on like this. Right?

New example: there is still the same day 1 as before (long position). Now the next session starts. Strategy position is flat, Account position 1 long. Now the long signal gets filled another time, but I only want 1 contract in any direction at the same time on the whole account. How can I cancel now this signal? Otherwise it would enter a second time long, causing 1 long strategy position and 2 long account positions (which I don't want). How can I handle this?

Regards,

Sepp

[NinjaTrader_RyanO]

Hi Sepp,

Regarding your second paragraph, if your account is long one contract at the start then you will submit a short order to get the account to flat prior to starting your flat strategy.

Rather than submitting a long 2 to compensate, I would recommend manually handling the synchronization of the account and strategy at the outset of the trading day, and then let your strategy run as you want throughout the day.

Then do the same thing the following day.

[MasterSepp]

Ryan,

regarding your first point (with 2nd paragraph you meant the first paragraph after Hi Ryan or the last one?): I meant it reverse - my account is flat but the strategy position is long when I start up the strategy.

For your second point: I use the strategy on 720min bar charts. I live in GMT+1 so the bar times go from 5pm to 5am and from 5am to 5pm. That means, that the start of the new session exactly begins on the open of every 2nd new bar (I'm trading the YM and the session begins at 5pm CST). Now I'm not sure, what you mean with handling it manually? When opening a new bar, I still have 1 long position, although NT thinks I'm flat. Therefore there could be a new long signal and then I have 2 long positions. The problem is, that I have to "tell" the strategy that I'm already 1 long. How can I do that?

Regards,

Sepp

[NinjaTrader_RyanO]

Hi Sepp,

Thank you for clarifying, and right now what you are seeking to do would not be supported within the NinjaScript functions. At this point if you want your account and strategy to remain in sync you will want start your strategy when flat, as well as having your account flat.

You could post these questions in the NinjaScript section of the forum to see if other users know of some methods for accomplishing what you are seeking.

Also, with NinjaTrader 7 these types of account and strategy synchronizations will be supported, and there will more methods for achieving your aims.

As for what you seek currently you will have to make sure that your account and strategy align at the outset, or the strategy compensates for account position, but only with the first bar. However, that would change and you would need to be constantly changing the code of the strategy to reflect the changing circumstances of your account and strategy positions.

Again, these are basic suggestions that other users may have ideas for with NinjaTrader 6.5 or you can expect to take full advantage of this type of programming with NinjaTrader 7.

[zark.be]

I have tryed eSignal with Forex, and all i could get was 6months historical data (in 1minute bar).

[NinjaTrader_RyanO]

Hi zark.be,

Thank you for your post.

We appreciate that information, and I took it one step further and tested the eSignal connection for a 1 minute continuous contract and received data about 6 months back, as well.

[MasterSepp]

And barchart wrote, that they only have two (or one? Can't remember right now) years of x-minute data for the YM.
So it looks like I have to get the data from another source. From my understanding, anything would work, as long as I'm getting it in a .txt file? Or does it have some other requirements?

Regards,

Sepp

[NinjaTrader_RyanO]

Hi Sepp,

Your understanding is correct, but besides being a .txt file it would need to be formatted in a particular format as described at the following link.

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

There are groups that offer this data already formatted, but unfortunately I do not know of any right off the top.

Perhaps other users have used one of these services, and know where you can get that information.

[MasterSepp]

One question back to the carrying overnight topic:
I now contacted Interactive Brokers and asked them, if they know if they support the right displaying of carried overnight positions in NT. They told me they don't know it, because they don't know which method NT uses to "save" the overnight position.
Now I wanted to ask you, if you know if IB supports the correct displaying of carried overnight positions (since TT doesn't)? This would be a great help, because then I just would have to change the broker to make the things work again correctly.

Regards,

Sepp