Just subscribed to VXN from IQ Feed; having issues downloading historical data..!

[rasdaka]

Hi,

I've subscribed to IQ feed for VXN. Also to Rithmic for Futures data. Connected to both now.

However, while trying to download historical data it's stating the data is not available. IQ feed tech support says it should be there...

Please help!!!

Thanks.

[NinjaTrader_Zachary]

Hello rasdaka,

Thank you for your inquiry.

VXN is not a symbol that comes with NinjaTrader by default so it must be added. You can use the search at the link below to locate IQFeed's VXN symbol mapping;

https://ws1.dtn.com/IQ/Search/#

Should you wish to add this instrument to the NinjaTrader database that is not located in the preloaded lists, please follow these steps:

• Navigate to the Control Center > Tools > Instruments window.
• Left-click on the ‘add’ button that appears near the lower right-hand corner of the Instruments window.
• Enter instrument-specific symbol mapping, exchanges, and other information on the Instrument editor that appears. This information will largely depend on your broker or data feed provider’s specific settings regarding the instrument in question.
  • In this case, in master instrument will be VXN
  • The instrument type will be Index
  • The exchange is CBOE
  • The symbol map appears to be: VXN.XO
• Left-click the OK button once each field has been filled out with correct information.

The new instrument has now been created in your database. Once properly created, the instrument will have the symbol ^VXN. Should you wish to add this instrument to an instrument list:

• Navigate to the Control Center > Tools > Instruments Lists window.
• Left-click to select the instrument list that you wish to add this instrument to in the left panel, then left-click on the ‘add’ button at the bottom of the right-hand panel.
• Type the name and (if applicable) front month of your instrument in the search field that appears. Press the Enter button on your keyboard to confirm this change.
• Left-click the OK button to close the Instrument Lists window.

Your new instrument is now added to the instrument list of your choice.

[rasdaka]

NinjaTrader_Zachary, Yes, I've load ^VXN on instruments and on Instruments List. as indicated. Live data is flowing. On IQ Feed's Time and Sales window I can see 7 days of data available (to 1/4/23)

When I try to download on Tools > histrorical data > get Market data> it's not downloading 1/9/23, say!

[rasdaka]

I get a message saying "There's no market data available for the instrument / date" for ^VXN for 1/9/23. which is not correct, because I can see that data is available till 1/4/23

[NinjaTrader_Zachary]

Hello rasdaka,

Thank you for your inquiry.

Historical data and market replay data are NOT the same thing. ^VXN data wouldn't be available from the Market Replay servers, so you wouldn't be able to use the Get Market Replay data utility. The data on the market replay server is out own and we only provide futures data for the most common futures. I can verify that historical data for 1/9/2023 is indeed avaialble from IQFeed if you open the instrument on a chart or use the 'Download' utility to download the historical data. Information about downloading historical data may be found at the link below;

https://ninjatrader.com/support/helpGuides/nt8/download.htm

[rasdaka]

As a last resort I've downloaded tick data for VXN as a comma delimited CSV file. how do I load that into NT8 for Playback purposes. (Last resort only!)

[rasdaka]

Ok. how do I turn historical data into Market Replay data?

[NinjaTrader_Zachary]

Hello rasdaka,

Thank you for your reply.

You can't turn historical data into Market Replay data. You can either use the 'Historical' function of the replay controller or you can record real-time data as market replay. To use the 'Historical' function of the Playback Connection, you would first download historical tick data from your provider. Then disconnect, and reconnect to the Playback Connection. After connecting to the Playback Connection, you would select the 'Historical' option on the Playback Controller, rather than the 'Market Replay' option.

However, if you'd like to have actual Market Replay data rather than replaying historical tick data, you would first need to record real-time data as market replay data yourself by connecting to your provider and having the instrument active in a data receiving window. You may read about this process at the link below;

https://ninjatrader.com/support/helpGuides/nt8/index.html?set_up12.htm#HowToRecordLiveMarketData

[rasdaka]

With the 'Historical' option checked, are you able to trade as you would during Market Playback? what's the different in Playback between these two options..?

[NinjaTrader_Zachary]

Hello rasdaka,

Thank you for your inquiry.

Yes, you are still able to trade as you would with standard market replay. The difference between the two is that Market Replay is generally considered to be more granular. Market replay files have the ability to record time stamps down the 100 nanosecond level, which may be considered to be a more accurately reflection of the true market conditions at that time as they happened live.

[rasdaka]

Hi NinjaTrader_Zachary, 2 questions...
1. I see this when I switch to playback..

Please advise as to how to fix it.

2. I can get tick data in the form of a CSV file. How do I convert it to
- a) historical data for NT Playback - historical, and
- b) Market replay data (the *.nrd file) for NT Playback - market replay.

Thank you!

RK

[NinjaTrader_Zachary]

Hello RK,

Thank you for your reply.

1. First and foremost, if you are wanting to use VXN for playback, you will need to also go into the Instrument manager and add VXN.XO as the Symbol Map next to Playback Connection. This will ensure that the error that you receiving will no longer appear. Once you do that, you can then use the historical mode on the Playback Controller to replay historical data.

2a. If you are trying to import historical tick data rather than get it from your data provider directly, then you would need to following our import guidelines. It would need to be in a .txt file and formatted in a very specific way. You can read about it below;

https://ninjatrader.com/support/help...AndDataFormats

By and large, most people would just refer to get a historical data provider that you can connect to in NinjaTrader so that you can download the tick data easily with our built in download utility instead.

2b. You cannot convert historical data into market replay data manually. They are fundamentally different types of data. The only way to create your own market replay data for ^VXN would be to record it in real-time.

[rasdaka]

Hi NinjaTrader_Zachary,
1. VXN.XO is set up as expected, already. Error is STILL coming up when switching to Playback!


2. I do have a data provide for VXN: IQFeed. Their data comes in a CSV file. this is tick data - still I'm guessing this will only pass for Historical data.

Per your note "most people would just refer to get a historical data provider that you can connect to in NinjaTrader so that you can download the tick data easily with our built in download utility instead", how would I use NT8's capability to download the Market Replay data..?

[NinjaTrader_Zachary]

Hello rasdaka,

Thank you for your reply.

1. Have you actually tried to playback the dates that you've downloaded historical data for? My platform does generate this message at first (because this symbol does not natively exist in NinjaTrader) but once I begin playing the data back using the historical function on the playback controller, it works so long as I am attempting to reply the data during the periods of time that VXN is actually open. It works between the hours of 9:30 AM EST to 4:15 PM EST.

2. Once again, you CANNOT download Market Replay data from our server for this instrument. You can use the record utility to record it yourself, but you would have to actually be connected to IQFeed and have the instrument open in a Windows for the live data to record after enabling the record function before it would be available for replay.

[rasdaka]

Hi NinjaTrader_Zachary,
1. I tried running on Playback despite the error message: I got the market replay data from someone who's been recording it on their machine. For 1/9/23. during Marlet open -9:30 am Eastern on, I expected the data to flow - the indicator to populate - but it did not. NT8 is just not recognizing this data, and doesn't seem to feed it to the indicators on the chart...
2. Yes, I got market replay data from someone who recorded it live.

Open to suggestions!

Thanks

RK