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back testing volume data...

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    back testing volume data...

    Would anyone PLEASE happen to know where I can get VOLUME HISTORICAL DATA to backtest..

    E-signal only has 90 days worth of HISTORICAL data on VOLUME....

    No one seems to know when I call them, including Cisco...

    If anyone can help, that would be great. I trade off of 3000 volume charts and I want to back test my system for the past 1-3 years..

    Thank you...

    #2
    You would check for commercial data vendor like www.tickdata.com and import their data into NT.
    DierkNinjaTrader Customer Service

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      #3
      I very much appreciate your reply...

      I just talked them. They can supply with tick data up to 5 years back. And they do have all the ticks...However, they don't have VOLUME data.

      I can't believe that it is becoming a challenge to obtain this!

      Would you, or anyone else happen to have any other ideas or know of a good data vendor that can give me that volume data?

      Thanks again...

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        #4
        Sorry, there surely are others out there but this is the only one which came to my mind. I suggest trying google.
        DierkNinjaTrader Customer Service

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          #5
          yeah, I tried google....

          I just talked with Barchart.com, too. He said that the only volume they could provide me would be DAILY volume going back 3 years.... He didn't know if this would help me or not since I told him I was trading off of the 3000 volume charts.

          Maybe he DOES have what I am looking for and just doesn't know it??

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            #6
            Best way get TBT from exchanges, it's for sure the only way to do that, this is not cheap and there is always a big amout of work to do on DB due to spikes and dips exchanges send w/o filtering
            MB

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              #7
              Hmmm
              Doesn't NT form tick/volume/second/range bars from the same data?

              So... if you have a normal 'tick' stream from someone like tick-data .... wouldn't that same data also create volume bars in NT?

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                #8
                >> Doesn't NT form tick/volume/second/range bars from the same data?
                That is correct
                DierkNinjaTrader Customer Service

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