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NinjaTrader - Importing text file tick data
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NinjaTrader - Importing text file tick data

  #1 (permalink)
 Vendor: diversifyportfolio.com 
PTA, Gauteng
 
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DarkPoolTrading's Avatar
 
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NinjaTrader - Importing text file tick data

Hi All,

Im getting confused with the various options involved when importing historical data into NinjaTrader. There is an instrument which I would like to backtest which is not provided by my data feed. So I have obtained 10 years worth of historical tick data for this instrument which is in text files (one text file for each expiry going back 10 years).

My confusion now lies in all the various options around continuous data, merging data, back adjusting data, offsets etc. How should I be importing this tick data?

I initially just thought that I would save each file with the instrument name, along with the relevant expiry, and simply import it. But reading through the Ninjatrader help file is now confusing me with all the other options I need to take into account.

Much appreciated!

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  #3 (permalink)
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If you check recent Download area files, a user has shared in NT Backup Archive format a lot of data. It might be "easiest" to deal with this way.

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  #4 (permalink)
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Thanks Mike,

Ill check out the downloads section.

However the data that i've got is for the ALSI index future (South African futures exchange). So I doubt this data will be available anywhere else, especially not in an easy to work with NT format.

No worries though, I should be able to figure it out this weekend. Was just hoping someone could offer some advice on the various settings when importing large amounts of multi year / expiry 'raw' data.

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  #5 (permalink)
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DarkPoolTrading View Post
Thanks Mike,

Ill check out the downloads section.

However the data that i've got is for the ALSI index future (South African futures exchange). So I doubt this data will be available anywhere else, especially not in an easy to work with NT format.

No worries though, I should be able to figure it out this weekend. Was just hoping someone could offer some advice on the various settings when importing large amounts of multi year / expiry 'raw' data.

If your only concern is historical data, you can import it all at once.

If you want it to co-exist with future real-time data, then my understanding is you need to separate it by file with each file being a unique contract expiration, so that NT can make a continuous contract out of it and backadjust the data.

You might ask @Fat Tails if @NinjaTrader does not respond directly.

Mike

Due to time constraints, please do not PM me if your question can be resolved or answered on the forum.

Need help?
1) Stop changing things. No new indicators, charts, or methods. Be consistent with what is in front of you first.
2) Start a journal and post to it daily with the trades you made to show your strengths and weaknesses.
3) Set goals for yourself to reach daily. Make them about how you trade, not how much money you make.
4) Accept responsibility for your actions. Stop looking elsewhere to explain away poor performance.
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  #6 (permalink)
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DarkPoolTrading View Post
Hi All,

Im getting confused with the various options involved when importing historical data into NinjaTrader. There is an instrument which I would like to backtest which is not provided by my data feed. So I have obtained 10 years worth of historical tick data for this instrument which is in text files (one text file for each expiry going back 10 years).

My confusion now lies in all the various options around continuous data, merging data, back adjusting data, offsets etc. How should I be importing this tick data?

I initially just thought that I would save each file with the instrument name, along with the relevant expiry, and simply import it. But reading through the Ninjatrader help file is now confusing me with all the other options I need to take into account.

Much appreciated!


Just import the single data files and store the data for each contract in the historical data base.

The options to display data as "DoNotMerge", "MergeBackAdjusted", "MergeNonBackAdjusted" are only for displaying the data on the chart. Those options do not affect the way the single contracts are stored in the historical data base.

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  #7 (permalink)
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Ok thanks FatTails, ill just go ahead and import each file with the relevant expiry date. I was concerned that the way I import it will affect my back tests. But it doesn't sound like it.

thanks for all the replies.

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  #8 (permalink)
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DarkPoolTrading View Post
Ok thanks FatTails, ill just go ahead and import each file with the relevant expiry date. I was concerned that the way I import it will affect my back tests. But it doesn't sound like it.

thanks for all the replies.

For a backtest you should set NinjaTader to "MergeBackAdjusted", as this eliminates the rollover gaps.

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