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COT indicator Ninja Trader?
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COT indicator Ninja Trader?

  #11 (permalink)
Patient Discipline
Bellingham, WA USA
 
Futures Experience: Beginner
Platform: NT
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Big Mike View Post
If you want to explore using R, it's quite simple with their library. You can then export as CSV and import into NinjaTrader.

https://futures.io/vendors-product-reviews/29501-quandl-www-quandl-com.html

Mike

Yeah, Quandl is impressive.

Do they have historical futures pricing--and if so, is it tick, minute, hour, day, week, month, year or what? I did a cursory search, but I wasn't able to find any.

If I was able to find some, maybe I would add this data to the relevant tick/data sharing threads, i.e., ES, CL, GC, ZW, ZC, etc.

...and R...oh R...I've avoided going down that rabbit hole just yet. Perhaps in the future...

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  #12 (permalink)
Patient Discipline
Bellingham, WA USA
 
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...I just looked at the Quandl stuff in more detail. Holy balls they have a TON of futures historical data!

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  #13 (permalink)
Elite Member
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Leo123 View Post
Which is the best COT (Commitments of Traders) indicator for Ninja Trader?

Im using this one

COT Report

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  #14 (permalink)
Patient Discipline
Bellingham, WA USA
 
Futures Experience: Beginner
Platform: NT
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Posts: 202 since Mar 2013
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@Big Mike--

I started down the R rabbit hole this weekend. What are the 2 or 3 most important R libraries that you're using and that I should learn? My goal here is to build a COT solution for futures.io (formerly BMT) users that will be free so we don't have to pay for an indicator that is based on free data.

Side note, R is super intuitive.

Thanks,

Aventeren

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  #15 (permalink)
Patient Discipline
Bellingham, WA USA
 
Futures Experience: Beginner
Platform: NT
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Posts: 202 since Mar 2013
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Big Mike View Post
If you want to explore using R, it's quite simple with their library. You can then export as CSV and import into NinjaTrader.

https://futures.io/vendors-product-reviews/29501-quandl-www-quandl-com.html

Mike

Mike, would you be willing to provide me with one example of how you would pull the COT data for a given contract into R and then output that data as a CSV file using R? If I can get the CSV files, I can then build a NT indicator to use StreamReader to read the CSV data.

For example, the GC COT Legacy data here: http://www.quandl.com/CFTC/GC_F_L_ALL-Commitment-of-Traders-Gold-Futures-Only-Legacy-Format. I then clicked under the "Export Data" "CSV" and copied the link into a browser: http://www.quandl.com/api/v1/datasets/CFTC/GC_F_L_ALL.csv?trim_start=1986-01-15&...zMaxHXxJ&collapse=weekly.

Just like we have various tick sharing threads, we could then have a COT thread whereby new data is uploaded each week for various markets--which I will take on as soon as I can cobble this all together (i.e., Quandl to R, R to CSV, CSV to NT indicator/plot).

Thanks,

Aventeren


Last edited by aventeren; September 2nd, 2014 at 01:21 PM.
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  #16 (permalink)
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aventeren View Post
Mike, would you be willing to provide me with one example of how you would pull the COT data for a given contract into R and then output that data as a CSV file using R? If I can get the CSV files, I can then build a NT indicator to use StreamReader to read the CSV data.

For example, how would one use R to pull all available COT data for CL and then output that data as a CSV file to a given location? The Quandl code for GC is CFTC/MW_FO_ALL.

Just like we have various tick sharing threads, we could then have a COT thread whereby new data is uploaded each week for various markets--which I will take on as soon as I can cobble this all together (i.e., Quandl to R, R to CSV, CSV to NT indicator/plot).

Thanks,

Aventeren

I've not used Quandl before, but I am sure it's easy. You might bypass using R for this though, and just make the WebRequest in C# from NinjaScript. I would imagine it's just going to return a CSV data set from quandl. Maybe @Nicolas11 can confirm, I believe he has used Quandl before.

Mike

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  #17 (permalink)
Patient Discipline
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Big Mike View Post
I've not used Quandl before, but I am sure it's easy. You might bypass using R for this though, and just make the WebRequest in C# from NinjaScript. I would imagine it's just going to return a CSV data set from quandl. Maybe @Nicolas11 can confirm, I believe he has used Quandl before.

Mike

A web request is my preferred route, but I don't have any examples to hack. Do you know of any NT web request indicators that I could use as a foundation to build this upon?

Man I feel like I'm close...I have the data...I just need to get it into NT.

I did figure out how to use R to pull the COT data--as well as just downloading the CSV file from Quandl. For instance, here is the legacy COT data for GC: http://www.quandl.com/api/v1/datasets/CFTC/GC_F_L_ALL.csv?trim_start=1986-01-15&...zMaxHXxJ&collapse=weekly. Now I just need to figure out how to get access this data in NT, at which point I can build lists or an array to plot the data within NT.

Thanks for your help. My hope is that this exercise will benefit more folks than just myself.

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  #18 (permalink)
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aventeren View Post
Do you know of any NT web request indicators that I could use as a foundation to build this upon?

c# - how to read a csv file from a url? - Stack Overflow

Just look for WebRequest examples, and parsing a CSV is common.

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.
5) Where to start as a trader? Watch this webinar and read this thread for hundreds of questions and answers.
6)
Help using the forum? Watch this video to learn general tips on using the site.

If you want
to support our community, become an Elite Member.

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  #19 (permalink)
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Hi,

I cannot really help.
The only things I have done in that thread is:
- read Quandl from R and store as CSV,
- Web request from Java

Nicolas

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  #20 (permalink)
Patient Discipline
Bellingham, WA USA
 
Futures Experience: Beginner
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Posts: 202 since Mar 2013
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Update:

So I've successfully grabbed the legacy COT data from Quandl and decoded into into string lists.

Next up: Convert list string elements to ints, assign to plots, plot.

I'm going to initially focus on 1 or 2 instruments but my plan is for the indicator to work for a number of instruments.

Thanks for the hint towards web pulls...that was key.

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