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Download Historical Data

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    Download Historical Data

    I have the following questions about the Historical Data Manager's Download tab:

    1. If I am connected to Kinetick's Free EOD data feed, which offers 10 years of daily data for futures instruments, if I select "GC 12-14" with a start date of 9.15.04 and an end date of 9.15.14, will the downloaded daily data be in the form of a continuous contract (i.e., GC ##-##) or will the data automatically be placed in the correct GC expiry contract per the rollover methodology selected?

    2. Is there a backtesting performance benefit of having data saved locally as opposed from accessing the data from the data server?

    3. Prior to downloading historical data for an instrument that does not already contain an adequate number of expiries in the Instrument Manager (i.e., let's say there is not a GC 12-04 expiry), would I first have to create the correct expiries before downloading the historical data?

    I'm sure this will lead me to other questions.

    Thanks,

    Aventeren

    #2
    Hello Aventeren,

    Thank you for writing in.

    1. This would depend on your Merge Policy setting, but by default NinjaTrader will merge all data under the current front month.

    2. Backtests will always be performed by using historical data that is saved to your computer. If you do not have the data you can connect to a data provider that you will download the data from when it's requested.

    3. Not if you are using the "MergeNonBackAdjusted" or "MergeBackAdjusted" (default) merge policy. It will download the data under the current front month and create files for each of the different contract months.

    Please let me know if I can be of any further assistance.
    Zach S.NinjaTrader Customer Service

    Comment


      #3
      Originally posted by NinjaTrader_ZachS View Post
      Hello Aventeren,

      Thank you for writing in.

      1. This would depend on your Merge Policy setting, but by default NinjaTrader will merge all data under the current front month.

      2. Backtests will always be performed by using historical data that is saved to your computer. If you do not have the data you can connect to a data provider that you will download the data from when it's requested.

      3. Not if you are using the "MergeNonBackAdjusted" or "MergeBackAdjusted" (default) merge policy. It will download the data under the current front month and create files for each of the different contract months.

      Please let me know if I can be of any further assistance.
      Thanks, Zach.

      When you say the "current front month" in items 1 and 3 (above), do you mean the current front month associated with the dates being downloaded, such that as the data progresses from earliest to latest in the import that the data will be automatically imported into the correct then-current front month until the rollover date specified in the Instrument Manager, at which point it will begin importing data to the next oldest contract expiry (i.e., if the data being imported is on 9.15.04 then data would be imported to the ZW 12-04 contract until the next rollover date, at which point the data would start being imported into the ZW 03-05 contract)?

      I have my Merge Policy set to "MergeBackAdjusted".

      Thanks!

      Comment


        #4
        Hello,

        Thank you for your response.

        It will all be under the current front month with merge back adjusted as the merge policy. Thus, you can open a 12-14 chart and view all of this data continually underneath that contract month. The historical data files will save under their appropriate expiry, but will all be merged behind the 12-14 contract when you open a chart.

        Please let me know if I can be of any further assistance.
        Zach S.NinjaTrader Customer Service

        Comment


          #5
          Originally posted by NinjaTrader_ZachS View Post
          Hello,

          Thank you for your response.

          It will all be under the current front month with merge back adjusted as the merge policy. Thus, you can open a 12-14 chart and view all of this data continually underneath that contract month. The historical data files will save under their appropriate expiry, but will all be merged behind the 12-14 contract when you open a chart.

          Please let me know if I can be of any further assistance.
          Given the MergeBackAdjusted setting, I figured that I would be able to see all of the data on the chart's front month (i.e. see all data on a ZW 12-14 chart)...but it was the last piece that I didn't understand about the historical data import: historical data files will save under the appropriate expiry. That was exactly what I was seeking clarity on. Thanks!

          Comment

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