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problem importing Emini S&P 500 tick data

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    problem importing Emini S&P 500 tick data

    Hi,

    I am trying to import historical emini s&p 500 tick data into NT, with zilch success. This is the error message from the log:
    • 26/08/2007 6:26:05 PM|3|4|Unable to import file 'C:\.......\NinjaTrader 6\db\import\ES 12-06.txt'. Instrument is not supported by repository.
    I did not show the complete path in the above message.

    I have made several attempts already, all with the same error.

    Here are the first seven records in the ES 12-06.txt file:

    20061011 063012;1356.75;3
    20061011 063013;1356.75;2
    20061011 063044;1356.75;59
    20061011 063116;1356.75;2
    20061011 063124;1356.75;1
    20061011 063206;1356.75;1
    20061011 063206;1356.75;2


    The starting time is 063012; the last entry in the file is for:
    20061011 164012. There are 40,027 records in the file, all dated 20061011.

    Before I imported the data, I set up the ES 12-06 as an instrument using the instrument manager.

    What exactly is NT complaining about?

    How can I check that the new instrument was set up correctly, and if not, the reason NT rejected it.


    TIA

    #2
    Will look into and report back to you.
    RayNinjaTrader Customer Service

    Comment


      #3
      Originally posted by NinjaTrader_Ray View Post
      Will look into and report back to you.
      Ray,

      I am ok now. I didn't complete the instrument set up.

      Thanks

      Comment


        #4
        Thanks for letting me know.
        RayNinjaTrader Customer Service

        Comment


          #5
          SAme Trouble

          I'm having the same trouble. I'm trying to import from Tradestation. I've imported stock symbols with no problem so I'm familiar with the procedure but I can't seem to get tick data to import. I've added both $TICK and $TRIN to the symbol dropdown list. I've loaded the NTDataDownload and NTExternalFeed strategies into the windows on Tradestation. The files ($TICK.txt amd $TRIN.txt) are created in the import directory but when I go to import I get the error: "Unable to import file'C:\Documents and Settings\.... Instrument is not supported". Why is NT rejecting these files?
          tnx
          Mark

          Comment


            #6
            Try

            ^TICK.txt and ^TRIN.txt and see if this works.
            RayNinjaTrader Customer Service

            Comment


              #7
              problem importing Emini S&P 500 tick data - again!

              Originally posted by NinjaTrader_Ray View Post
              Thanks for letting me know.
              Ray,

              Looks like I am not completely out of the woods with this import business. So now I have imported tick data and set that up as the ES 12-06 in the list of instruments/products. I can actually export this and get a file that matches the import file.

              But getting NT to use the imported data is another matter. I connect to the simulated data feed at start up, point NT to the ES 12-06 product, and everything looks good, charts and all. The data that comes up however is not what I imported. I established that by dumping the prices in OnBarUpdate, and comparing that to my imported file.

              What did I miss? Could it be that there was an old ES 12-06 in the Sim data feed and that's what NT is using? I didn't check that before importing the tick data. Should I be connecting to Sim Feed or to something else?

              TIA

              Comment


                #8
                The data you export by Tools->Historical data->Export will match the data you imported by Tools->Historical data->Import.

                You could verify on a fresh DB (just temporarily rename your DB file <my documents>/NinjaTrader6/db/NinjaTrader.mdb).
                DierkNinjaTrader Customer Service

                Comment


                  #9
                  Originally posted by NinjaTrader_Dierk View Post
                  The data you export by Tools->Historical data->Export will match the data you imported by Tools->Historical data->Import.

                  You could verify on a fresh DB (just temporarily rename your DB file <my documents>/NinjaTrader6/db/NinjaTrader.mdb).
                  Thanks for replying to my post.

                  My problem is not so much with the verification of the imported data. Rather it's getting NT to use it. I have created the ES 12-06 instrument/product for the data I imported into NT. When I start up NT and try to connect NT to ES 12-06, it runs, but the data being displayed in the control center is not the data I imported.

                  I am thinking that there are other ES 12-06 data in NT, but if I export that, what I get is what I have imported.

                  Plus there aren't enough buttons in the control center to identify a specific date within a given instrument, unlike in the chart set up.

                  If I want to be sure that the instrument I created contains only the data I imported, how do I go about doing that?

                  TIA

                  Comment


                    #10
                    Please proceed as per my suggestions below and you'll see how it works.

                    Also: after importing into a fresh DB the data pull up a chart to verify it's there as expected.
                    DierkNinjaTrader Customer Service

                    Comment


                      #11
                      Originally posted by NinjaTrader_Dierk View Post
                      Please proceed as per my suggestions below and you'll see how it works.

                      Also: after importing into a fresh DB the data pull up a chart to verify it's there as expected.
                      Dierk,

                      It's clear to me now that I was expecting Sim feed to behave differently from what NT was designed to do. 1) I cannot backtest even with historical data, 2) the prices are driven from a parameter in the Sim feed, rather than from the data itself.

                      Is it safe to assume that NT is simply using the historical data as events to generate a stream of trades? If so,
                      • Will the generated stream mimic the time and price movements of the historical data?
                      • If I specify a starting price equal to the first price in the historical data, will I get the same set of prices in the generated stream?
                      • Is the first historical trade record always the starting point for the generated stream.
                      Thank you very much for your help.

                      Comment


                        #12
                        Not sure I follow. Backtest is driven by historical data.
                        DierkNinjaTrader Customer Service

                        Comment


                          #13
                          Originally posted by NinjaTrader_Dierk View Post
                          Not sure I follow. Backtest is driven by historical data.
                          The question you raised was wonderful, Dierk. My problem was that I was having some difficulty getting NT to use the historical data I imported; leading me to conclude that NT overrides the date in the imported data to that of the current date. Which it does, but as I found out after you raised your question, NT can be set up to honor the dates in the historical data as well.

                          So things are looking better. Thanks. I do have a few questions still with NT's use of historical data, but I will try to see if I can get the answers myself first. That, or come up with the wrong conclusions again.

                          I will keep you posted.

                          Comment

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