Data download of an Index

[TangoTX]

I'm wondering if there is a simple way to download "several years" of an index data in a single step (say for example, for minute data). From what I can see, it appears the only way is to download chunks at a time based on the index expiration date. I hope there is a better way that I'm missing. Thanks for the feedback.

[NinjaTrader_PatrickG]

You should be able to download as much data as is provided by your connected data provider either through a chart or through the historical data download tool.

When you say 'index', what do you mean exactly? It sounds like you're referring to futures since you mention 'expiration date'. Are you referring to a futures contract like ES 03-19?

If so, then NinjaTrader should automatically download the relevant front month data as long as the merge policy is set to 'merge back adjusted' (this is the default) within Tools > Options > Market Data. What is your merge policy set to?

[TangoTX]

Patrick, yes I would like to download a few years of the ES for subsequent analysis in Excel. Ideally, I would like to download the data into a single data file. I'm using Ninja as my broker, so the data comes from Ninja Continuum. Thanks in advance for your feedback.

[NinjaTrader_PatrickG]

When you download a year of ES 03-19 using the historical data download tool, you should notice that you have data for all of the relevant months while they were the 'front month' for the last year. Here is a video example of what data I received after downloading daily ES 03-19 data from today back to Jan 1 2018:

https://www.screencast.com/t/3PI30MqwQAQ

NinjaTrader should automatically download the relevant front month data as long as the merge policy is set to 'merge back adjusted' (this is the default) within Tools > Options > Market Data. What is your merge policy set to? Do you not notice that you have relevant data for the last year?

If you wanted the literal data from ES 03-19 instead of the data from multiple months as mentioned above, you would want to change your merge policy to 'Do not merge' before downloading the data.

[TangoTX]

Patrick, I could be wrong, but it looks like I can only get data for "one quarter" at a time using the "export" feature of the Historical Data Load tab - because even when I choose a start date further back, the data downloaded is still for one quarter.

[NinjaTrader_PatrickG]

You're referring to two different tools - the download tool and the export historical data tool. Let's focus on the download tool first.

When you follow the steps in my video, do you see that you have data for several contracts and not just one?

NinjaTrader should automatically download the relevant front month data as long as the merge policy is set to 'merge back adjusted' (this is the default) within Tools > Options > Market Data. What is your merge policy set to?

[TangoTX]

Correct Patrick... that works, but the data you get is broken per day. That does not do what I want, which is to, as I mentioned originally, need to export to excel.

[NinjaTrader_PatrickG]

This is how daily data works in NinjaTrader - if you downloaded daily data, then you have daily data available for export. If you wanted more granular data (minute, tick), you would want to select that when downloading the data.

Also, exporting the data will be literal - if you choose to export ES 03-19, then this is what NinjaTrader will export into .txt format. NinjaTrader does not have the capability to export 'merged' data of multiple contracts. Having the contracts merge together to form a continuous chart of front month data is a feature that is available within the platform only. You'll need to export individual contract months and then manipulate that data as you desire. To learn more about exporting data, please see the link below:

https://ninjatrader.com/support/helpGuides/nt8/en-us/exporting.htm

[TangoTX]

Okay, I understand.... thanks!!!