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Best way to get and use historical tick data

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    Best way to get and use historical tick data

    Hi all,

    First off, with a subscription to NinjaTrader Continuum, how far back historically can I go back in time with tick data?

    Also, what is the best way to get and use this data from the perspective of lowest bandwidth over the internet and highest performance during back testing and optimization?

    I know that using data in memory is probably going to be the fastest, is there a way to load years (20 + years) of tick data from CSV files into the NT database for back testing and optimization?

    I need to be able to use at least 20+ years of historical tick data is this possible at any means, e.g. over the internet, via files or from in memory database?

    Thanks in Advance

    #2
    Hello NeverDownMoney,

    I tested the ES 12-20 by creating a tick chart and requesting 3650 days of data. It loaded data up to July 31st 2017.

    I suggest to request the amount of data you like. If data loads up until a certain day then that's the amount of historical tick data that is available.

    Please see the link below for information on loading historical data that explains the 3 levels of data access. As you mention, if data is in memory it loads the fastest. You could create a chart first that requests the same amount of data as the backtest. Subsequently perform the backtest and it will load data from memory.
    https://ninjatrader.com/support/help...tm#ThePRODUCTN AMEcacheandspeedinguptheloadingofdata

    You can manually import historical data using the instructions at the following link. Please note that data needs to be in a certain format.
    https://ninjatrader.com/support/help...ngImportOption s

    JasonNinjaTrader Customer Service

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      #3
      Thanks Jason but it is not clear if this data that I am requesting is always going to come from the internet or is it possible to download it as a CSV file? The reason I ask is that I opened a chart and asked for tick data going back 20 years (7305 days), it took like forever to download but once it did I launched an automated strategy on it. Now when I go back and look and the trades the chart only goes back to 07/31/2017. Why am I not able to go back in time further?

      Comment


        #4
        Unfortunately there is no historical tick data available before July 31st 2017. When I tested, I loaded the same amount of historical tick data as reported in my first post.

        Please note that loading 3 years of historical tick data will take a while to download.

        However now that all that historical tick data is loaded in NinjaTrader, it won't have to download it from the internet when you request this data in NinjaTrader again. You can view all historical data you have present in NinjaTrader at Control Center-->Tools-->Historical Data. Please see the link below for more information.
        https://ninjatrader.com/support/help...ta_manager.htm


        JasonNinjaTrader Customer Service

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