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Is a custom program required for this ? (Ratio instruments and Multiple data sources)


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Is a custom program required for this ? (Ratio instruments and Multiple data sources)

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  #1 (permalink)
California
 
 
Posts: 40 since Dec 2010
Thanks: 14 given, 3 received

Hi All - am wondering whether a custom program is required for NT7 to do 2 separate things:

1 - construct a 'ratio' chart - eg Dow/Gold ratio. So that any two instruments that are already in the instrument manager can effectively be combined to form a third custom symbol. Ideally similar to the way that Stockcharts.com works - in their case by typing in $INDU:$GOLD. This would be suitable for market analysis and alerting, rather than automated trading IME. I can see one problem with EOD data sources is that the candlesticks would be inaccurate due to time differences in the trading sessions between the two instruments, and because the high/low in each bar will not occur at the same time in each instrument, but it might be good enough for jazz as they say ? So if you wanted to see the KOSPI in Mexican Pesos for some strange reason in the analysis window/dashboard and see a chart for it which will work with all the standard and ideally custom indicators, you could.

2 - data download manager integration with NT7. Currently there is a limitation in using 2 data connections simultaneously - you cannot select one connection for a particular instrument, so unless one connection has everything needed, then you are pretty much stuffed as far as I can tell. NT apparently want to add the feature but don't know when. Is there a workaround by using one of the downloader programs like Amiquote or MLDownloader or ?????? to combine all the data into one database and then write a routine for NT7 to see this database as an external data source rather than as a file for import ? This second requirement might also be a way to solve the first if the download manager had the ability to create the ratio data.

Hope this is clear and would appreciate some feedback from those that have gone down this route (or tried !) and who know the insides of NT7 pretty well.

Thanks !!!

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  #3 (permalink)
Market Wizard
Berlin, Europe
 
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Fat Tails's Avatar
 
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There is no direct way to create a ratio chart, so you need to use an indicator.

The indicator will collect values from two different data series and calculate a ratio. The best ratio indicator, which I have found so far has been published by kdoren on the NinjaTrader forum. Here is the link.

Links and Downloads Manager - NinjaTrader Support Forum

You can apply it to a chart and the ratio will be displayed as a line. If you look for a candle chart for the ratio, this can also be construed, but would require some additional work. As a proxy I have applied the HeikenAshi2 indicator to the ratio indicator, as shown in the chart below.

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  #4 (permalink)
Oslo, Norway
 
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Lornz's Avatar
 
Posts: 1,198 since Apr 2010

IRT/Market Delta has a built-in function for ratios/spreads/pairs, but, as with Ninjatrader, you can't trade them.

For that you need CQG or X_Trader. If you want to go automated, check out TickIt (now owned by TT)...

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  #5 (permalink)
California
 
 
Posts: 40 since Dec 2010
Thanks: 14 given, 3 received

Thanks a lot ! I am going to try that ratio indicator on NT7 and see how it flies. The other part of my question is related to how to work out a way of getting multiple data sources in to NT7, so I can select one connection for one instrument and another connection for another instrument. Is there any way of doing this - ie is a custom program necessary ?/has been done ?

The specific thing I want to do straight away however is to get Yahoo forex data into NT7. For example their symbol XAGEUR - whilst the ratio indicator will be great for the ratios where there is no data available, for those where some sources have the data, the ratio indicator is a workaround, and I would much prefer getting the data in the form that is best. So it may be that if an automated downloader application is part of the multiple data source solution, it might well allow me to download Yahoo forex for example and solve both in one go.

Otherwise do any of you know if there is any other way to bypass the limitation on downloading Yahoo forex data ?

My ideal is an automated download manager than can handle (automatically not like MLDownloader it seems AFAIK) any instrument type - eg stocks commodities forex and even funds ? (and then set NT7 to treat that store as an external data source for connection) It would be great to be able to have everything in one data store and then all sorts of correlation analysis will be possible .........

Thanks !!!

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  #6 (permalink)
Market Wizard
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Fat Tails's Avatar
 
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It is easier and cheaper to pay for a decent data feed than to code downloaders or try to connect NinjaTrader to several data sources.

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  #7 (permalink)
California
 
 
Posts: 40 since Dec 2010
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@ Fat Tails - Yes, very true - it seems better to get everything in one really good data source, but I think it might be possible (although will defer to those with greater experience) that there are other advantages to combining data sources - e.g I have not yet seen a data source with commodities in different currencies for example and would prefer to handle these just like any other instrument. Even eSignal does not have them although it has a facility in its charting package to allow you to chart ratios. Adding custom data points for correlation analysis will also be a byproduct. Just my hunch, hence the questions.

Maybe its easier as you say to use standard data and then as Lornz says try the other packages if NT is not up to the job. i.e. cheaper not to reinvent the wheel

BTW I tried that ratio indicator - cool - works as described. thanks Fat Tails and Lornz - I now have something that handles immediate requirement and will think about the other stuff later on

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  #8 (permalink)
California
 
 
Posts: 40 since Dec 2010
Thanks: 14 given, 3 received

On NT7 with Kinetick as the data feed, you can actually get the data for XAGEUR, XAGGBP and XAGCHF. To enter the symbol in the IM for Kinetick, just mimic the format for XAUUSD, and you have it. This does not work for all currencies - eg JPY.

But what is there on EUR and GBP looks OK to me (at the time of looking anyway) and it's much better to use the actual data source because then NT7 treats it like any other symbol and you can use the market analyzer etc. As always YMMV.

The ratio indicator is really cool as well for unusual ratio charts. Thanks to all for the input.


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