Total newbie seeking help on TA indicators

[skyholder84]

Hi, I'm very new to NT, and I would very much appreciate some help in setting up some standard technical indicators.

I'm not sure how Ninjatrader works, but if I am right, Ninjatrader takes live market data feeds and calculates real-time technical indicator values (eg: such as the 8 period MA, 200 period MA, RSI, MACD etc).

However, before I can even start to calculate these values, I will need historical data which can go back as far as 200 days (for a 200 day MA), and if the only data input that goes into is live market data, I would not be able to calculate TA indicator values until I wait 200 days for the SQL file to update itself with 200 days worth of live market data.

Thus, at the very beginning, there has to be a bridging method for me to link up historical data and live/real time data in a data series so as to (a) obtain the current 200 period SMA value (which I need historical data to obtain), and (b) continuously add live market data values to the historical price data series and recalculate the new 200SMA values in real time.

Are there any tutorials or guides on how I can (1) download historical price data (from interactive brokers), (2) include it as part of a file which Ninjatrader uses to calculate TA values, (3) have the file continuously updating itself with live market data and (4) have Ninjatrader recalculating TA values based on the dynamically updating file (which could update as often as every tick)?

Please advise me. Thanks!

[NinjaTrader_Austin]

Skyholder, like I mentioned in your other post, the "bridging method" is totally automatic and transparent to the user. You just have to create an account connection to IB, connect up (File -> Connect -> the connection you created), create a chart you want to view (File -> New -> Chart), and all the appropriate historical data will be downloaded and the new ticks will start streaming in as well.

Then to view the 200 SMA, you just have to right-click in the chart, select indicators, and add the SMA indicator with the period set to 200.

Please let us know if you have any other questions.

[skyholder84]

Thanks for the answer! My software engineer was wondering how things would work from an SQL perspective, and he thought we'd have to download lists of time-stamped minute-by-minute data one weekend night before our first trade, then link the SQL database up with live data upon the market open of our first trading day. Thanks for clarifying this!

Could I clarify what sort of file the data will be stored in? Also, one indicator which I use in my strategies is the Fibonacci retracement indicator, which Ninjatrader does not appear to have. Please confirm if the Fibonacci retracement indicator is available as part of a class library?

Many thanks for your help!

[NinjaTrader_Austin]

skyholder, the data will be stored in a NinjaTrader specific data file. It is possible to export the data though to text files for further manipulation if you wish.

It is also possible to use Fibonacci retracements - here is the help guide entry for drawing fib retracements.

[skyholder84]

Could you advise me on how the "Draw" method works? I'm seeking to develop an automated trading system with Fibonacci retracement levels as one of the key indicators. As such, a visual representation of the levels will not be helpful, as the strategy would need to compare price against numerical Fibonacci values. Can this be done? Thanks!

[skyholder84]

Could you clarify if NT calculates TA values based on Historical Data files? Ie: if I want to calculate an 8 period SMA using 1 minute bars, I would have to make new historical data requests at every 1 minute interval. Is this true?


Also, I would also like to know how NT calculates TA Indicator values over several timeframes. For example, if I want to calculate the 8 period SMA for 3 different timeframes on EURUSD (5 min, 10min, 1 hour), do I need to make 3 different historical data requests for the same security? Or can all these values be calculated intelligently from the 1 min historical data file alone?

Thanks for your patience!

[NinjaTrader_Austin]

skyholder, the draw method simply places a fib retracement on the chart (if you are using a chart) or it will draw the retracement in "memory" if you are running the strategy through the strategy tab. Unfortunately it is not possible to access the specifics, but you can definitely manually calculate the values from the low and high price.

When opening a new chart, NinjaTrader will make the appropriate historical data requests and then put that information on the chart and your indicators will update accordingly. Then the data starts streaming in and your TA values will update automatically without any new historical data requests because they aren't needed.

If you have three different MAs, they will all be calculated from the same 1 minute data.

If you haven't done so already, please open up a chart and observe this behavior. It becomes much clearer after actually watching the historical request (indicated in the bottom right corner of Control Center) and then watching the data come in on your chart.

[skyholder84]

Hey Austin, thanks for the quick replies you have made to both my questions in the two threads I posted in. If I understand you correctly, the Fib indicator is only available under the Draw method, which does not allow me to access the Fib retracement levels for the purposes of automated strategies. As such, the Fib indicator draw function is currently useful to manual traders, and not to systems traders. As such, to use the Fibonacci indicator as part of Ninjatrader's automated strategy building platform, i'd need to create a custom indicator, am I right?

Is the Fib retracement the only indicator whose calculated values are not available for the use of automated strategies? I'm a big fan of pivots, and it would put a huge chink in my strategy development if NT does not automatically provide something like a data array of pivot levels for all 50 tickers, which my system can screen for price proximity.

I now understand how charting works on a manual basis. However, I was wondering how it would work with an automated trading strategy. With an automated trading strategy which scans a universe of 50 securities, I would not be interested in charts, but the numerical values of the indicators themselves. These values would be compared against the ticker price in deciding whether or not to enter a trade, making visual representation and charting irrelevant. Would I still need to bring up a chart for the strategy to run properly though?

Also, could you confirm that to calculate all the various indicator values over multiple timeframes (ie 8 period SMA over - 5min, 10 min, 30 min, 60 min periods), all I need is a single historical data request (as long as the tick/bar data dates back far enough)? Thanks!

[NinjaTrader_Austin]

Skyholder, yes, it does sound like you'll have to create a custom indicator to access the fibonacci values.

Pivots, on the other hand, are accessible because they come from an indicator's calculations.

You do not need to bring up a chart to run a strategy on it - you can run the strategy directly through the strategy tab, which essentially emulates a chart for the strategy to run on, but it is invisible to the user.

Lastly, you are correct on the historical data requests. As long as the single request spans all of the necessary data, the indicator will run fine without additional requests.

Please let us know if you have any other questions.

[MKTTHOTS]

Can you clarify this further Austin? For example, lets say you are running a Pivot strategy where on a 1 minute bar, so long as the High of the last 5 bars crosses above the R1 Pivot, you enter a short position. Imagine that you then wanted to the strategy to filter trades further by going with the general trend. To do this, I would want to have a Condition that ONLY enters new Short positions if the 200 DAILY SMA is sloping downward. To do this in my script, I would need both 1min data for the Pivot entries and Daily data for the 200 SMA. How would I do this. Do you have sample code? Thanks alot. MT

[NinjaTrader_Bertrand]

MT, there are 2 ways to get this done, either simulate the 200 day SMA from intraday data (use larger Period to achieve about the same averaging window) or you add the daily series to the strategy to create a MultiSeries strategy - the general concept of it is outlined here - http://www.ninjatrader-support.com/H...struments.html

Sample codes are installed per default with NT, for example please check into the SampleMultiTimeFrame / SampleMultiInstrument for the MultiSeries framework used in demo strategies.