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Working between two different data providers

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    Working between two different data providers

    Hi there, My main data provider is continuum. Unfortunately I use a lot of daily and weekly charts and since continuum does not provide daily/weekly data I have the work around of connecting to Kinitech - End of Day (free) to get this data.

    1. Lets say I connect to Kinitech and open a weekly chart of the FDAX, I then change the data series to daily data (so now Kinitech has downloaded both daily and weekly fdax data).
    2. I then disconnect from Kinitech and in the same chart I edit the data series to be a 15 minute FDAX chart. Of course now continuum goes ahead and downloads this minute data for me
    3. If I then toggle the chart back to either "weekly" or "daily"....

    Q1. Is NT clever enough not to have Continuum go and download the data once again as it already has it?

    Q2. What happens tomorrow when I am only connected to Continnum - - is NT clever enough to know that it cannot try download daily/weekly data whilst connect to Continuum?

    Thanks,
    Michelle
    Last edited by michellepace; 10-17-2016, 09:47 PM. Reason: More appropriate title

    #2
    There are a couple things I would like to clarify about your statements.

    The statements below are assuming you are using NinjaTrader 7 and you have not disabled historical data in your Continuum connection.

    Continuum connections use NinjaTrader historical data servers. NinjaTrader historical data servers do in fact provide daily data. Daily data, no matter your data provider, is used to build weekly charts in NinjaTrader.

    The Continuum historical daily data is only recorded during the RTH session. Kinetick records daily historical data during the ETH session and also provides the exchange's settlement prices.

    Because of this, to get a Continuum daily chart to match a Kinetick daily chart, you would need to use a 1440 minute chart as this data is recorded in ETH and would closely match the Kinetick ETH data. It gets slightly more involved with a weekly chart (custom session template), however, you can use a 7200-minute chart to accomplish the same.

    Let me now address your questions directly:
    1. As long as no new data is requested (increasing days to load, for example) then the data should be pulled from the local cache. No daily historical data would be downloaded from Continuum. Real-time daily data restricted by the RTH hours would stream to your platform.
    2. Real-time data would continue to stream from Continuum, so you would eventually run into the RTH vs. ETH discrepancy I mentioned above

    Connection order is important in NinjaTrader. Please visit this link for detailed information:

    http://ninjatrader.com/support/helpG...onnections.htm

    If you are placing only live trades, you could simply connect to Kinetick end-of-day first and then Continuum second so all daily data is always provided by Kinetick, and intra-day from Continuum. However, this would not work with sim trading.
    Patrick G.NinjaTrader Customer Service

    Comment


      #3
      Hi Patrick, thank you ever so much for such a comprehensive reply. It is really useful to have an understanding rather than simply a yes/no reply. Thank you .

      Originally posted by NinjaTrader_PatrickG View Post
      The statements below are assuming you are using NinjaTrader 7 and you have not disabled historical data in your Continuum connection
      Correct

      Originally posted by NinjaTrader_PatrickG View Post
      ....
      The Continuum historical daily data is only recorded during the RTH session. Kinetick records daily historical data during the ETH session and also provides the exchange's settlement prices.

      Because of this, to get a Continuum daily chart to match a Kinetick daily chart, you would need to use a 1440 minute chart as this data is recorded in ETH and would closely match the Kinetick ETH data. It gets slightly more involved with a weekly chart (custom session template), however, you can use a 7200-minute chart to accomplish the same.
      I'll take your word for it since your logic and explanation is so clear. However i did email platform support in the interim and received a different reply:

      Unfortunately this work around would not apply to weekly charts. To load Daily and Weekly data I would suggest disconnecting from NinjaTrader Continuum then connect to Kinetick End of Day (Free) first which will provide Daily data then connect to NinjaTrader Continuum second which will provide real time, Minute and Tick data.

      After making this connection change please right click within your chart and select "Reload All Historical Data".

      Comment


        #4
        Originally posted by michellepace View Post
        I'll take your word for it since your logic and explanation is so clear. However i did email platform support in the interim and received a different reply:

        Unfortunately this work around would not apply to weekly charts. To load Daily and Weekly data I would suggest disconnecting from NinjaTrader Continuum then connect to Kinetick End of Day (Free) first which will provide Daily data then connect to NinjaTrader Continuum second which will provide real time, Minute and Tick data.

        After making this connection change please right click within your chart and select "Reload All Historical Data".
        I suppose it's two ways to accomplish the same thing. It would really depend on your preferred method. The weekly charts would take a little more manual work as you would need to use a custom session template, however, it is certainly possible.

        Could you provide the ticket number which you wrote in with so I can follow up from that side?
        Patrick G.NinjaTrader Customer Service

        Comment


          #5
          Originally posted by NinjaTrader_PatrickG View Post
          Could you provide the ticket number which you wrote in with so I can follow up from that side?
          Sure: {1586987}

          Comment


            #6
            chart data prior to 2009

            How do I get data on a chart for a longer time frame than from 2009? I can't seem to get any chart to back further than that. I have tried monthly, weekly, yearly and no luck

            Comment


              #7
              Originally posted by ajntrade View Post
              How do I get data on a chart for a longer time frame than from 2009? I can't seem to get any chart to back further than that. I have tried monthly, weekly, yearly and no luck
              Historical data from NinjaTrader's historical data servers is available for most popular instruments as follows:
              • Tick data: deleted after 366 days
              • Minute data: virtually never deleted, goes back to 2006
              • Daily data: virtually never deleted, goes back to 2009

              If you would like more historical data, you would need a historical data provider which supplied more historical data.
              Patrick G.NinjaTrader Customer Service

              Comment


                #8
                Maybe you could explain the options for a historical data provider ?

                Comment


                  #9
                  Hello ajntrade,

                  The supported data provider are Kinetick, IQFeed and BarCharts.

                  https://kinetick.com/Subscribe

                  IQFeed.net/ninjatrader

                  With Kinetick, at a minimum, and for all instruments Kinetick offers:

                  180 calendar days of historical Tick data (for building tick based charts, such as range and volume)
                  2 years of historical Minute data
                  10 years of historical Daily data
                  Commonly traded symbols will typically have even more extensive historical minute and daily data available.
                  Christopher S.NinjaTrader Customer Service

                  Comment


                    #10
                    Originally posted by NinjaTrader_PatrickG View Post
                    Because of this, to get a Continuum daily chart to match a Kinetick daily chart, you would need to use a 1440 minute chart as this data is recorded in ETH and would closely match the Kinetick ETH data. It gets slightly more involved with a weekly chart (custom session template), however, you can use a 7200-minute chart to accomplish the same.
                    Hi Patrick,

                    I've followed your advice however my weekly chart (7200min) looks exactly the same as the daily chart (1440min). I tried two different futures contracts, and also re-loaded all historical data - the result is the same. If however I drop down to a lower timeframe - like 240minute, the chart does display correctly.

                    I use a simple chart template, A_Default.xml, which I have also zipped and attached even though it contains nothing out of the ordinary.

                    Can you please tell me what I am doing incorrectly?
                    Attached Files
                    Last edited by michellepace; 10-17-2016, 09:45 PM.

                    Comment


                      #11
                      I would expect this if you did not create a custom session template. As I mentioned in my previous messages, you will need to create a custom session template to use the 7200m chart correctly.

                      The following is a basic example. You may need to create a slightly different template based on the trading hours of the market you're viewing:
                      • Control Center > Session Manager > New > Name your template
                      • Set up a session which is 5 days in total length. Here is an example: http://screencast.com/t/0ykltr7k7
                      • OK

                      Apply this template to your 7200m chart (don't forget to adjust the days to load to something appropriate for a weekly chart). You should now get a weekly minute-based chart.

                      Here is a link with more information on the Session Manager:

                      http://ninjatrader.com/support/helpG...on_manager.htm
                      Patrick G.NinjaTrader Customer Service

                      Comment


                        #12
                        Originally posted by NinjaTrader_PatrickG View Post
                        The following is a basic example. You may need to create a slightly different template based on the trading hours of the market you're viewing:
                        Apply this template to your 7200m chart (don't forget to adjust the days to load to something appropriate for a weekly chart). You should now get a weekly minute-based chart.
                        Hi Patrick, thank-you for your continued patience. I've followed the steps you outlined however my weekly candles all seem to start on a Friday. I would expect them to start on a Sunday since the NQ opens on a Sunday at 18:00. Having said that I saw the NQ closes on a Friday at 17:00.

                        SO I thought this would be an easy fix by changing the Session template to END on Friday at 17:00 (in place of 18:00) and then decreasing the number of minutes on my chart by 1 hour (7200 - 60 = 7140)... unfortunately this didn't work as the weekly candles still started on a Friday as shown by the attached picture.

                        Could you please tell me exactly what settings to use so that I can see the NQ on a weekly chart? (thanks again)
                        Attached Files

                        Comment


                          #13
                          Bars in NinjaTrader are time stamped with their closing time. This session's ending time is in the afternoon on Friday, so I would expect these bars to be time stamped on Friday. These bars are not starting on Friday, but ending on Friday as you've configured in your session template.

                          When using true weekly bars, it just labels it by week/year. Because we are using intraday data to build these weekly bars, it is going to print you the closing time and date of the bar as the time stamp.

                          The bottom line here is that you've setup your weekly session template correctly. The bar is showing you data from within the time frame configured in your session template. The time stamp of the bar indicates the closing time of the bar.
                          Patrick G.NinjaTrader Customer Service

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