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Using OnMarketData() on Historical data with a recording engine
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Using OnMarketData() on Historical data with a recording engine

  #21 (permalink)
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Hi,

It's here in VIP section


subterfuge View Post
Hi Gom. I've seen a few screenshots of people using 'gomvolumeladder'. I cant seem to find it though. Is it in the ninjatrader thread you linked to in your OP somewhere? thanks


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  #22 (permalink)
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Yes I'm pretty sure this will work. I can post my current ES 0310 if you want to test.



Big Mike View Post
I'm just now having some time to start working with this.

I have a question.

We can use this for backtesting yes? So for instance, if I normally want to do a MarketIfTouch scenario and had to use OnMarketData(), I can now use your method, and provided the recorded data is present on my system, I can recreate the proper events even during a backtest, yes?

If so, I need to setup another VM and start recording a bunch of instruments using GomRecorder... so that in a year I can use this

Mike


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  #23 (permalink)
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Big Mike View Post
I'm just now having some time to start working with this.

I have a question.

We can use this for backtesting yes? So for instance, if I normally want to do a MarketIfTouch scenario and had to use OnMarketData(), I can now use your method, and provided the recorded data is present on my system, I can recreate the proper events even during a backtest, yes?

If so, I need to setup another VM and start recording a bunch of instruments using GomRecorder... so that in a year I can use this

Mike

Gomi,

Is there any reason we could not use replay data to "backfill" some of this? It would be good to be able to do this.

I am also thinking of a slightly different approach but still in the concept/investigation phase so once I get a bit more crystalized I'll post back.

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  #24 (permalink)
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Backfill with market replay works but the recorder won't write data previous to the last date/time written in the file. So it can't fill gaps.

But for that you can
  • convert the file to a human readable format with the file converter (flat format)
  • using large file editor like emeditor, you edit the file and remove the end of the file, until beginning of the gap (remember Time Zone is UTC)
  • populate the file with a market replay
  • reconvert it to binary (if necessary) and reload

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  #25 (permalink)
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gomi View Post
Yes I'm pretty sure this will work. I can post my current ES 0310 if you want to test.

Does this mean we don't absolutely need NT to fix their bid/ask ordering in order to code strategies that use bid/ask data for indicators and filling orders more accurately..... Is it possible we could use COMCD data for this?

Recording all the data and making it available would be a challenge, but perhaps not as insurmountable a challenge as getting NT to change course of their development.

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  #26 (permalink)
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GoldStandard View Post
Does this mean we don't absolutely need NT to fix their bid/ask ordering in order to code strategies that use bid/ask data for indicators and filling orders more accurately..... Is it possible we could use COMCD data for this?

Recording all the data and making it available would be a challenge, but perhaps not as insurmountable a challenge as getting NT to change course of their development.

After some thinking I don't think this will work, because I don't think you can get intrabar fills on historical backtest. It would be logical you are always filled on next bar, so I don't think you can simulate intrabar fills.

Or you could completely monitor trades by yourself without EnterLong() or EnterShort(), outputting PnL in the console. But bye bye fancy stats and optimizer.
Sorry :-(

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  #27 (permalink)
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Hi guys,

Just wanted to mention I updated the package to 1.3 on ninja web site.
Some bug correction, a few upgrades and added a delta momentum indicator

Cheers

Attached Thumbnails
Using OnMarketData() on Historical data with a recording engine-gompackage1.2.png  

Last edited by gomi; March 27th, 2010 at 02:01 PM.
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  #28 (permalink)
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Hi Gomi,

First let me just say thank you for your generosity in sharing your work with everybody in the NT world. I don't know if I can figure out how to use these codes with NT so I can't even imagine how long it took you to build them. I just switched over to NT7 from MT4 and I'm quite surprised at how long it takes to load charts when all I have on them is a few exponential stochastics and bollinger bands, wow, could I do it with a calculator that fast.

I don't think I'm going to risk the rather fragile and seemingly shaky state of the platform at present. It seems she can't take much more already. Adding custom codes sounds like a lot of fun and I'm wishing I could check it out. I did a demo of Market Delta and was quite impressed, is the Gomi CD similar? And why does the recorder need to be on 24/7 if Zen Fire saves tick data already. What does one do if they experience a power or inet outage, as I do on a regular basis?

Many Thanks,




gomi View Post
Hi guys,

Just wanted to mention I updated the package to 1.3 on ninja web site.
Some bug correction, a few upgrades and added a delta momentum indicator

Cheers


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  #29 (permalink)
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Is this thread still going? I have some big areas of missing data in my 6E Gomi Folder. Can't seem to find Ztrader's post about backfilling the GomFolder with the replay function. Can anybody point me in the right direction?

thanks..



dnof View Post
Gomi,

Is there any reason we could not use replay data to "backfill" some of this? It would be good to be able to do this.

I am also thinking of a slightly different approach but still in the concept/investigation phase so once I get a bit more crystalized I'll post back.


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  #30 (permalink)
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Rebuilding Gom date using Replay


Here it is:

https://futures.io/free_downloads/vip_elite_circle/374-download.html?view

Fixed this to show up in a downloads search & added keywords. Thought I did this before the webinar???

R.I.P. Andy Zektzer (ZTR), 1960-2010.
Please visit this thread for more information.
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