Using data

[Renejm]

Hi support, in my strategy I use the Add function to add a second dataset. I use the PeriodType.Day for adding the daily dataset in order to be able to use the previous day info such as open, high, low and close.

If I look at the historical data in the Historical Data Manager I can view tick, minute and daily data. If I use the dataset with PeriodType.Day which data will be used? Is it the daily data or is it build up from the tick and/or minute data?

If used from the daily data, when will this data be created at realtime, is the daily data automatically created at the end of the session break or only when downloading historical data?


Kind regards,
Rene

[NinjaTrader_PatrickH]

Hello Rene,

Thank you for your post.

Daily data will be used for PeriodType.Day. Most providers supply historical Daily data, so the data would not be built up from tick or minute.

If you data provider supports real-time data for the instrument you are using, the Daily data will be updated on each price change. Historical bars (previous days) will be downloaded from the provider.

For information on Historical Data and the data provided by your provider please visit the following link: http://www.ninjatrader.com/support/h...rical_data.htm

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

[Renejm]

Hi Patrick,
Thanks for the reply. Unfortunately it seems that it is not working the way you described. I use IB for realtime data. If I connect and open a graph for ES 06-15, the tick data is received. If I look in the Historical datamanager under edit for the symbol ES 06-15, under tick each tick is store, under minute each minute s stored, but under day no data is stored for the current day. So the statement that daily data will be stored on each price change is not true.

Does this imply that daily data will only be created by downloading historical data and enable the option 'Day' for downloading data?
If I run a strategy continiuosly and want to use the add function with Period.Type is Daily what will happen if the Daily data is not available? Will the strategy not run correctly? Or will it use composed data of the minute data for creating the daily data?
How could this issue be solved if I want to run it continiously with daily data?

Kind regards,
Rene

[NinjaTrader_PatrickH]

Hello Renejm,

As you stated, each tick is stored, each minute is stored. A day bar closes at the end of the day. During the day when the bar is still forming, that data is stored in memory and is not technically a historical bar in your database at that time. So yes, each price change is stored for the Daily bar - that does not mean it is in the Historical Data Manager when you use the option to save chart data as historical. Each data provider generally provides Daily data from their server and some providers provide this for free (Google, Yahoo, Kinetick EOD), so there is no need to store each incoming price change (otherwise known as a tick) to the Daily bar. Daily bars are downloaded at the end of the day in most cases.

If you are running anything on the current day, be it a strategy or chart, the current Daily bar will be built from the data provided by the data provider for the current day bar. If your data is not available, including real-time and historical, the strategy would not run and the chart would be blank.

If you would like to visually see how this works, open a 1 Day chart and view the current day build.