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    Historic Data source

    Hi there,

    I have difficulty in getting longer historic data for backtesting. I currently use IB for data source to backtest my strategies with some futures like GC, SI, CL, ES, etc., however, IB seems only provide about 2 years historic data, How can I get more and longer historic data? Is there any format issues?

    and the backtest results for very similiar contracts like GC and YG (they are both for Gold products, but from different exchange) are quite different. data difference reasons? Hopefully get help.

    #2
    Hello,

    Most data providers will limit to about 2-years of historical data, however you should check with the data providers to be sure.

    If you need more historical data, you can purchase and import that data from various suppliers. They will need to either be in a txt file or MetaStock file type.

    We do not have any recommended vendors for obtaining this data.

    Please see our Help Guide article on Importing Data for more information:

    http://www.ninjatrader.com/support/h...?importing.htm

    While YG and GC are very similar, they are traded at different exchanges and will have different OHLC and Volume prices during the same time period, which will result in different signals being processed.
    MatthewNinjaTrader Product Management

    Comment


      #3
      Error on importing historical data

      I have data which is in .txt format and is in the tick data format prescribed by NT. However, when I try to import it using Historical data manager, I get an error "There was an error importing data. Please check log".

      Checked the message and I get an error Unable to import data ES-03-03. Instrument is not support. Does this mean I need to add ES-0303 as an instrument? Is it not adequate to have say ES 12-11?

      I tried adding ES 03-03, but could not figure out how to add it

      Comment


        #4
        Hello,

        Can you please clarify what the name of the file is you're trying to import? The correct format should be ES 12-11.Last.txt
        MatthewNinjaTrader Product Management

        Comment


          #5
          Importing Historical Data

          Originally posted by NinjaTrader_Matthew View Post
          Hello,

          Can you please clarify what the name of the file is you're trying to import? The correct format should be ES 12-11.Last.txt
          The file name was ES 03-03.txt. I tried changing it to ES 03-03.Last.txt. It still did not work. I get the error "unable to import file .... Instrument is not supported.

          Comment


            #6
            Hello,

            ES 03-03 likely does not exist in your instrument manager.

            This is a known limitation that will be fixed in a future release.


            The contract dates only go so far back and are based on your local PC clock. To get past dates, you must set your PC clock back to that year and restart NinjaTrader.


            After you have set your clock back, you can add this instrument to your default instrument list. Once added, shut down NinjaTrader and set your PC clock to the current date/time settings.


            You should then be able to access this old expiry from your default instrument list.
            MatthewNinjaTrader Product Management

            Comment


              #7
              Importing Historical Data

              The work around Worked very well. Thanks a lot

              Comment


                #8
                Similar Problem with Historical Data

                Matthew,

                Thought I would piggyback onto this thread as I have similar problem with historical data. I have imported a text file named ES 12-11.Last.txt into Ninjatrader with data going back to March of this year.

                I am able to see March data in edit tab of the Historical Data Manager, but when run a backtest, nothing executes earlier than 18-Jul-11 of this year. The only clue I can come up with is this is about when I started using Ninjatrader.

                Thanks

                Comment


                  #9
                  Gennaker,

                  I am happy to assist you.

                  What sort of strategy are you using? You could attempt to use the continuous contract instead of ES 12-11 if your data provider offers this. The continuous contract has expiry ##-## and can be added in the instrument manager.

                  Please let me know if I may assist further.
                  Adam P.NinjaTrader Customer Service

                  Comment


                    #10
                    That fixed it

                    Thank you Adam P. It is executing back through all the dates now.

                    Comment


                      #11
                      Historical data problem

                      Hello,

                      I have emailed it also to the helpdesk.
                      I have the following (frustating) problem. I use the FDAX with minutes.
                      At this moment it is the 12-11. Connecting with IB Works fine for two years of data.
                      I can do a fine backtest. etc.

                      Now I have bought Fdax data from 1/1/2006 till half 2009. I have changed the format and the file is ok now.

                      It is possible to read all the data with the historical data manager. It is merged with the 12-11 FDAX future. I can see this if I do edit in the Historical datamanager. Also I can see nice charts from 1/1/2006 till now.

                      But the big problem is the following. If I run the Strategy analyzer it refuses to analyze the data from 1/1/2006 tll whatever time. After a second the analyzer give back results all 0.

                      Hope somebody can help me.
                      Regards
                      Niels
                      Last edited by leontien; 11-25-2011, 01:57 AM.

                      Comment


                        #12
                        Niels, let's continue to work together on the ticket you had already open on the issue.
                        BertrandNinjaTrader Customer Service

                        Comment


                          #13
                          Hi Matthew
                          I have data for an Index which is not in the instrument list of NT 7. How can I create new custom instrument and how to import data for it. (I have data in text file in NT format).
                          Thanks

                          Comment


                            #14
                            usct01,

                            I am happy to assist you.

                            What instrument are you attempting to add? Its possible you could make a custom new instrument and receive data for it.

                            Please let me know if I may assist further.
                            Adam P.NinjaTrader Customer Service

                            Comment


                              #15
                              Originally posted by NinjaTrader_AdamP View Post
                              usct01,

                              I am happy to assist you.

                              What instrument are you attempting to add? Its possible you could make a custom new instrument and receive data for it.

                              Please let me know if I may assist further.
                              Hi Matthew
                              I have data for Nifty futures (rollover contract for few months). I want to name the instrument as "NiftyFutRO" etc. (this data is not readily available on yahoo/kinetick/google etc.)
                              Also I have 1 min data, which I want to use for backtesting.
                              Please tell me the process to create instrument and load data for it from text file.
                              Let me know if I need to provide anymore details.
                              Thanks

                              Comment

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