NexusFi: Find Your Edge


Home Menu

 





COT indicator Ninja Trader?


Discussion in NinjaTrader

Updated
      Top Posters
    1. looks_one aventeren with 16 posts (10 thanks)
    2. looks_two Big Mike with 5 posts (2 thanks)
    3. looks_3 Harvard with 4 posts (4 thanks)
    4. looks_4 Aragorn with 2 posts (0 thanks)
      Best Posters
    1. looks_one gomi with 3 thanks per post
    2. looks_two Harvard with 1 thanks per post
    3. looks_3 aventeren with 0.6 thanks per post
    4. looks_4 Big Mike with 0.4 thanks per post
    1. trending_up 24,597 views
    2. thumb_up 22 thanks given
    3. group 16 followers
    1. forum 40 posts
    2. attach_file 2 attachments




 
Search this Thread

COT indicator Ninja Trader?

  #11 (permalink)
 
aventeren's Avatar
 aventeren 
Bellingham, WA USA
 
Experience: Beginner
Platform: NT
Broker: Mirus (Broker), Continuum (Data), Dorman (Clearing)
Trading: Futures
Posts: 202 since Mar 2013
Thanks Given: 428
Thanks Received: 202


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.



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...

Reply With Quote

Can you help answer these questions
from other members on NexusFi?
ZombieSqueeze
Platforms and Indicators
Better Renko Gaps
The Elite Circle
Exit Strategy
NinjaTrader
Futures True Range Report
The Elite Circle
The space time continuum and the dynamics of a financial …
Emini and Emicro Index
 
Best Threads (Most Thanked)
in the last 7 days on NexusFi
Get funded firms 2023/2024 - Any recommendations or word …
61 thanks
Funded Trader platforms
39 thanks
NexusFi site changelog and issues/problem reporting
26 thanks
The Program
18 thanks
GFIs1 1 DAX trade per day journal
18 thanks
  #12 (permalink)
 
aventeren's Avatar
 aventeren 
Bellingham, WA USA
 
Experience: Beginner
Platform: NT
Broker: Mirus (Broker), Continuum (Data), Dorman (Clearing)
Trading: Futures
Posts: 202 since Mar 2013
Thanks Given: 428
Thanks Received: 202

...I just looked at the Quandl stuff in more detail. Holy balls they have a TON of futures historical data!

Reply With Quote
  #13 (permalink)
 tmenje 
Frankfurt am Main Germany
 
Experience: Advanced
Platform: NinjaTrader, MTPredictor
Broker: Ninjatrader brokerage/continuum
Trading: e-minis,fdax
Posts: 11 since Aug 2010
Thanks Given: 6
Thanks Received: 11



Leo123 View Post
Which is the best COT (Commitments of Traders) indicator for Ninja Trader?

I´m using this one

COT Report

Reply With Quote
  #14 (permalink)
 
aventeren's Avatar
 aventeren 
Bellingham, WA USA
 
Experience: Beginner
Platform: NT
Broker: Mirus (Broker), Continuum (Data), Dorman (Clearing)
Trading: Futures
Posts: 202 since Mar 2013
Thanks Given: 428
Thanks Received: 202

@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

Reply With Quote
  #15 (permalink)
 
aventeren's Avatar
 aventeren 
Bellingham, WA USA
 
Experience: Beginner
Platform: NT
Broker: Mirus (Broker), Continuum (Data), Dorman (Clearing)
Trading: Futures
Posts: 202 since Mar 2013
Thanks Given: 428
Thanks Received: 202


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.



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: https://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: https://www.quandl.com/api/v1/datasets/CFTC/GC_F_L_ALL.csv?trim_start=1986-01-15&trim_end=2014-08-26&auth_token=CKXfNt-eC7DhzMaxHXxJ&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

Reply With Quote
  #16 (permalink)
 
Big Mike's Avatar
 Big Mike 
Manta, Ecuador
Site Administrator
Developer
Swing Trader
 
Experience: Advanced
Platform: Custom solution
Broker: IBKR
Trading: Stocks & Futures
Frequency: Every few days
Duration: Weeks
Posts: 50,396 since Jun 2009
Thanks Given: 33,172
Thanks Received: 101,536


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

We're here to help: just ask the community or contact our Help Desk

Quick Links: Change your Username or Register as a Vendor
Searching for trading reviews? Review this list
Lifetime Elite Membership: Sign-up for only $149 USD
Exclusive money saving offers from our Site Sponsors: Browse Offers
Report problems with the site: Using the NexusFi changelog thread
Follow me on Twitter Visit my NexusFi Trade Journal Reply With Quote
  #17 (permalink)
 
aventeren's Avatar
 aventeren 
Bellingham, WA USA
 
Experience: Beginner
Platform: NT
Broker: Mirus (Broker), Continuum (Data), Dorman (Clearing)
Trading: Futures
Posts: 202 since Mar 2013
Thanks Given: 428
Thanks Received: 202


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: https://www.quandl.com/api/v1/datasets/CFTC/GC_F_L_ALL.csv?trim_start=1986-01-15&trim_end=2014-08-26&auth_token=CKXfNt-eC7DhzMaxHXxJ&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.

Reply With Quote
  #18 (permalink)
 
Big Mike's Avatar
 Big Mike 
Manta, Ecuador
Site Administrator
Developer
Swing Trader
 
Experience: Advanced
Platform: Custom solution
Broker: IBKR
Trading: Stocks & Futures
Frequency: Every few days
Duration: Weeks
Posts: 50,396 since Jun 2009
Thanks Given: 33,172
Thanks Received: 101,536


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

We're here to help: just ask the community or contact our Help Desk

Quick Links: Change your Username or Register as a Vendor
Searching for trading reviews? Review this list
Lifetime Elite Membership: Sign-up for only $149 USD
Exclusive money saving offers from our Site Sponsors: Browse Offers
Report problems with the site: Using the NexusFi changelog thread
Follow me on Twitter Visit my NexusFi Trade Journal Reply With Quote
  #19 (permalink)
 
Nicolas11's Avatar
 Nicolas11 
near Paris, France
 
Experience: Beginner
Platform: -
Trading: -
Posts: 1,071 since Aug 2011
Thanks Given: 2,232
Thanks Received: 1,769

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

Visit my NexusFi Trade Journal Reply With Quote
  #20 (permalink)
 
aventeren's Avatar
 aventeren 
Bellingham, WA USA
 
Experience: Beginner
Platform: NT
Broker: Mirus (Broker), Continuum (Data), Dorman (Clearing)
Trading: Futures
Posts: 202 since Mar 2013
Thanks Given: 428
Thanks Received: 202


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.

Reply With Quote
Thanked by:




Last Updated on March 24, 2019


© 2024 NexusFi™, s.a., All Rights Reserved.
Av Ricardo J. Alfaro, Century Tower, Panama City, Panama, Ph: +507 833-9432 (Panama and Intl), +1 888-312-3001 (USA and Canada)
All information is for educational use only and is not investment advice. There is a substantial risk of loss in trading commodity futures, stocks, options and foreign exchange products. Past performance is not indicative of future results.
About Us - Contact Us - Site Rules, Acceptable Use, and Terms and Conditions - Privacy Policy - Downloads - Top
no new posts