Issues with Historical Data in Charts

[abhayt]

Hi,

I am using IB data feed for NSE India Exchange
I have been facing following issues in charts. Kindly help :

1) I am trying to load historical data for Futures contracts. I added a new Symbol with correct specifications. I can not see more than a month of data(ie. for the time when the contract got listed). While this is no the case for the default future symbol included in Ninjatrader, RELIANCE FUT. Here I see 1 year of data even though I am selecting only JAN series.

2)When I am loading up a stock symbol it is showing max of one year of history, while in TWS I can go back to as much as 3 years. I changed Data Series settings for # of dates from 265 to 1000 but that did not make any difference.

3)In the instrument manager, is there any way to import a list of symbols with all specifications. I mean there are 200 Futures symbols. Creating each one by one would take hell lot of time? Or is there any way to import the symbol list from TWS?

4)Contract specification might change. I see a field - Point Value, which might be different for different months. Is it something that Ninjatrader can pick up from TWS directly, if unspecified? For eg NSE adjusts size of contracts depending on stocks value keeping the value of contract INR 200000. They increase number of shares if the stock loses value or decrease the number of shares if the stock gains value. So if I have a Future symbol defined and NSE adjusts the number of shares in the new contract. Then what will happen?

5) In the daily charts I want to indicator values to be calculated for the latest bar as well. Right now EMAs MACD are being calculated till a day before the current date. I want live EMAs for the current bar as well.

[NinjaTrader_PatrickH]

Hello abhayt,

Thank you for your post.

1. Here you would need to change the Merge Policy set in NinjaTrader. You can do this by going to Tools > Options > Data > Merge Policy > change to MergeBackAdjusted or MergeNonBackAdjusted. For information on Merge Policies please visit the following link: http://www.ninjatrader.com/support/h...rical_data.htm
2. NinjaTrader will only display the amount of data that is received from the API client for TWS.
3. There is a method to import a list of Stock symbols, but not Futures symbols. To do this go to File > Utilities > Import Stock Symbol List.
   Other wise please follow these instructions to manually import an instrument into NinjaTrader:
   NinjaTrader comes pre-loaded with the most commonly traded instruments however, you may find the need to add an additional instrument. Please follow the instructions below to add an instrument in the Instrument Manager.
   • From the NinjaTrader Control Center window select the menu Tools > Instrument Manager
   • Press the "New" button
   • Enter in instrument specific information and select the appropriate exchange (add Default exchange for equities in addition to the actual exchange)
   • Fill in any relevant information under the "Misc" tab such as symbol mapping for your target connectivity provider
   • Press the "OK" button
4. NinjaTrader does not take it's point value or rollover date from TWS. This must be set manually within the Instrument Manager.
5. Please right click in your chart > select Indicators > change the CalculateOnBarClose setting to False for each indicator you wish to calculate on the incoming tick rather than the close of the bar > OK.

Please let me know if I may be of further assistance.

[abhayt]

Thanks for your prompt reply.

As I note that I can not have more than 1yr of history through IB. What are my options? I want to run strategy testing on atleast 3 years of data and Kinetick does not provide NSE data.

2) Suppose I import eod data into Ninja Trader and use it in conjunction with IB data. I mean can I club IB 1 year of historical data with historical data that I have so that I hav a good 3 years of historical data all together?

3) I have created my own instrument list in the Manager but Charts and DOM are only picking up the Default List in the drop down menu. How can I change those to reflect my preferred list.

Thanks

[NinjaTrader_PatrickH]

Hello abhayt,

Thank you for your response.

1. If you have access to historical data you can import it into NinjaTrader if you wish via the Historical Data Manager (Tools > Historical Data Manager > Import). For information on importing historical data into NinjaTrader please visit the following link: http://www.ninjatrader.com/support/h.../importing.htm
2. This will depend, are they the same data type? i.e. Day, Minute or Tick?
   If they are the same data type then yes you will be able to "couple" them together. For information on How Bars Are Built and the Underlying Data Type for each Bar Type please visit the following link: http://www.ninjatrader.com/support/h..._are_built.htm
3. You cannot use any other instrument list in the drop down menu of the Order Entry windows (SuperDOM, Chart Trader, etc.) except for the Default Instrument List. You can however add instruments or remove them from your Default Instrument List with the instructions below:
   • From the NinjaTrader Control Center window select the menu Tools > Instrument Manager
   • Select the instrument list you wish to add the instrument to via the "Instrument lists" drop down list in the upper left hand corner
   • Select the exchange (Default recommend for equities) as this will route orders to your broker smart routing system
   • Select the appropriate expiration date if this is a futures instrument
   • Press the "<" button to add the instrument to the list

Please let me know if you have any questions.

[abhayt]

I understand.

1)One last thing. I am looking at my options to get historical data. Esignal seems to offer NSE data. So I can use Esignal as my data source and IB as my brokerage to place orders right?

2)Esignal has futures symbols which are different than what IB would have. Like the Esignal provides a generic front month future for eg RELIANCE-I , and RELIANCE-II and RELIANCE-III for other months. Now if use these in the instrumnt manager and to setup my symbols, will Ninjatrader know that it has to send order for RELIANCE JAN future if I click RELIANCE-I ? ie mapping [ I am not very sure about the symbols in Esignal("-I" suffix etc) as I am not a subscriber but I know they are different than IBs symbols ]

3)If yes than do i need to keep mapping RELIANCE-I to the correct months as roll over happens or it happens automatically?

[NinjaTrader_PatrickH]

Hello abhayt,

Thank you for your post.

1. You can connect to Esignal first and then Interactive Brokers, and select your Interactive Brokers Account to route orders to through your order entry window. For information on multiple connections in NinjaTrader please visit the following link: http://www.ninjatrader.com/support/h...onnections.htm
2. & 3. NinjaTrader will require the use of a contract month and it will not automatically rollover. The Symbol Mapping should not need any changes in NinjaTrader.
   Please follow the instructions below to rollover the expiration date of a futures contracts.
   • From within the NinjaTrader Control Center window select the menu Tools > Instrument Manager
   • Highlight the contract you wish to rollover in the left side of the Instrument Manager window
   • Press the ">" button (the instrument will disappear from the list)
   • Press the "<" button and the instrument should re-appear with the front month expiration date
   • http://www.ninjatrader.com/support/h...es_contrac.htm

.
Please let me know if you have any questions.

[abhayt]

I follow the reply to point 1 and the roll over procedure in point 3.

I do not understand how Ninja Trader will know that it has to place a buy/sell order for Reliance Jan 2013 future when I have selected RELIANCE-I selected in SuperDom and place a mkt order there? How come no mapping is required when IB wont recognize RELIANCE-I as a valid symbol ?

[NinjaTrader_PatrickH]

Hello abhayt,

Thank you for your response.

I am unclear on what you are asking here. The RELIANCE instrument is pre-configured in NinjaTrader. You cannot submit an order to one instrument and have the order go to another without altering the symbol mapping. Are you trying to submit to one contract month in NinjaTrader but have the order go to another in Interactive Broker?

[abhayt]

Hi,

I am not sending orders by mix matching symbols. My concern is Esignal defines first month contract as RELIANCE-I, second as RELIANCE-II and so on. Now If I load up RELIANCE-I in Chart Trader and place an order. How will IB know that the order is for RELIANCE Jan contract(which is front month currently). IB does not know RELIANCE-I as a valid symbol.

Secondly , I am thinking of using IB data feed for intraday data as that is my brokerage too and Esignal for historical eod/intraday data. Now suppose I choose IB as my primary data feed and Esignal as secondary and then select to load up a chart with 3 years of data will Ninjatrader be smart enough to pull in data from Esignal only( as IB API does not provide data past 1 year)??

[NinjaTrader_PatrickH]

Hello abhayt,

Thank you for your response on this matter.

If you are receiving data from ESignal, will it be for the RELIANCE instrument in NinjaTrader? Or do you plan on setting up a new instrument for RELIANCE-I?

If it is the first item then there is no need to change anything in NinjaTrader as the symbol mapping is pre-loaded and correct in NinjaTrader. If you are using a special instrument in ESignal then you will most likely need to set this instrument up in NinjaTrader for Interactive Brokers and ESignal.

For your second item, NinjaTrader will not look to ESignal in that example. However, what you can do is connect to Interactive Brokers first and then ESignal second, before doing this you will need to go to Tools > Account Connections > select your Interactive Brokers connection > Change > Next > select 'Disabled, I will use another connection for historical data' under Historical Data > Next > Next > Finish.
This will allow NinjaTrader to pull intra-day data from Interactive Brokers and if you connect to ESignal second NinjaTrader will pull historical data from ESignal.

Please review the information at the following link for multiple connections to understand this matter further: http://www.ninjatrader.com/support/h...onnections.htm

Please let me know if I may be of further assistance.

[kyaboltitu]

Hi,

I am using IB data feed for NSE India Exchange
I have been facing following issues in charts. Kindly help :

1) I am trying to load historical data for Futures contracts. I added a new Symbol with correct specifications. I can not see more than a month of data(ie. for the time when the contract got listed). While this is no the case for the default future symbol included in Ninjatrader, RELIANCE FUT. Here I see 1 year of data even though I am selecting only JAN series.

2)When I am loading up a stock symbol it is showing max of one year of history, while in TWS I can go back to as much as 3 years. I changed Data Series settings for # of dates from 265 to 1000 but that did not make any difference.

3)In the instrument manager, is there any way to import a list of symbols with all specifications. I mean there are 200 Futures symbols. Creating each one by one would take hell lot of time? Or is there any way to import the symbol list from TWS?

4)Contract specification might change. I see a field - Point Value, which might be different for different months. Is it something that Ninjatrader can pick up from TWS directly, if unspecified? For eg NSE adjusts size of contracts depending on stocks value keeping the value of contract INR 200000. They increase number of shares if the stock loses value or decrease the number of shares if the stock gains value. So if I have a Future symbol defined and NSE adjusts the number of shares in the new contract. Then what will happen?

5) In the daily charts I want to indicator values to be calculated for the latest bar as well. Right now EMAs MACD are being calculated till a day before the current date. I want live EMAs for the current bar as well.

Hi Abhay,

Iam also looking for a solution to this problem. Currently for example Reliance for Feb series is shown as RELIANCE G3-NSF. But Iam not able to set the data correctly.

Do let me know if you get an idea for the above problem.

Thanks in advance.

[abhayt]

Hello abhayt,

Thank you for your post.
[LIST=1][*]Here you would need to change the Merge Policy set in NinjaTrader. You can do this by going to Tools > Options > Data > Merge Policy > change to MergeBackAdjusted or MergeNonBackAdjusted. For information on Merge Policies please visit the following link: http://www.ninjatrader.com/support/h...rical_data.htm

Hi tried both these options. But nothing worked.
Things are fine for RELIANCE future, which is a sample symbol included in Ninjatrader. But all other futures symbols only showing data for the time period they were listed.

Kindly help !

[NinjaTrader_PatrickH]

Hello abhayt,

Thank you for your response.

Do you receive historical data for these instruments in the eSignal platform?

I look forward to your response.

[abhayt]

I am using Interactive Brokers datafeed. IB only provides data for these futures from the time they got listed. But then that goes for RELIANCE as well right?

For Reliance front month futures I am able to pull in 1 year worth of data. I want similar thing for other symbols as well. I am using same setting for everything so why only RELIANCE is working?

[NinjaTrader_PatrickH]

Hello abhayt,

Thank you for your response.

Are you viewing tick based intervals (Renko, Range, etc.)?

Interactive Brokers does not supply historical tick data in NinjaTrader. For information on the data provided by your connectivity provider please visit the following link: http://www.ninjatrader.com/support/h...rical_data.htm