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Export Price & Volume Profile/Footprint Data to create a Statistical Analysis Sheet


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Export Price & Volume Profile/Footprint Data to create a Statistical Analysis Sheet

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  #1 (permalink)
Weston Florida USA
 
Experience: Intermediate
Platform: Ninjatrader8, Bookmap
Broker: IB, Rythmic, IQ-feed
Trading: ES
 
Posts: 25 since Jul 2015
Thanks: 12 given, 9 received

Any ideas on how to export Time, Price & Volume data from Ninjatrader 8 or DTN-iQ-feed and or Rithmic data feed in order to compile such a Statistical Data Sheet focused around 6 Areas and 45 data analysis points (ex. below):

1.) Harmonic Rotations
2.) Daily Data
3.) Weekly Data
4.) Overnight ETH Data
5.) Initial Balance
6.) Opening RTH Data

I'm not a programmer nor I'm I looking to join a subscription service to attain these data points but realize there may be some "up front" costs in programming, database creation, spreadsheet design to extract and plug in the statistical formulas as a 1 time fee/cost. I had Linnsoft/Investor RT which had the capability to provide these figures but if there's a way to do this outside of a subscription service I would greatly appreciate any guidance, comments or advice.


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  #2 (permalink)
Los Angeles, CA
 
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The FT-71 video on statistical analysis shows you how he does this, as you process and numbers you are looking to get are very similar.

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  #3 (permalink)
Weston Florida USA
 
Experience: Intermediate
Platform: Ninjatrader8, Bookmap
Broker: IB, Rythmic, IQ-feed
Trading: ES
 
Posts: 25 since Jul 2015
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kingoliver View Post
The FT-71 video on statistical analysis shows you how he does this, as you process and numbers you are looking to get are very similar.

Thank you @kingoliver and that's precisely where I need the help/guidance in 'extracting' the data from Ninjatrader 8 if possible rather than Linnsoft's IRT software (which I no longer subscribe to) which already has the "built-in tools" to build these studies (you can see this at min 19:40 on FT71's video 'Statistical Analysis for a Broader Edge' if it's the same video you referenced).

I'm currently stuck in the extraction/download of the numbers from NT8 and then the transferring to a spreadsheet to allow these statistical studies to be performed just like he did in the video. I may be overlooking something very simple here out of ignorance and therefore the cry for help.

In a nutshell, I need to:

1.) Download the data from NT8 or ??? into a database,
2.) Then build a spreadsheet that can reference this database ???,
3.) Assemble specific formulas ??? to display and fill the datasheet columns (previously posted).

If NT8 had a similar "Session Stats Indicator" as Linnsoft's then problems # 1 & 2 above would be easily be solved...

I'm hoping someone here could shed some insight in doing this with Ninjatrader 8 if possible.

Thanks again.

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  #4 (permalink)
Legendary Urban Samurai
Chicago IL
 
Experience: None
Platform: Ninja, MT4, Matlab
Broker: CQG, AMP, MB, DTN
Trading: E/U, G/U
 
forrestang's Avatar
 
Posts: 1,114 since Jun 2010
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jbmiguel View Post
Thank you @kingoliver and that's precisely where I need the help/guidance in 'extracting' the data from Ninjatrader 8 if possible rather than Linnsoft's IRT software (which I no longer subscribe to) which already has the "built-in tools" to build these studies (you can see this at min 19:40 on FT71's video 'Statistical Analysis for a Broader Edge' if it's the same video you referenced).

I'm currently stuck in the extraction/download of the numbers from NT8 and then the transferring to a spreadsheet to allow these statistical studies to be performed just like he did in the video. I may be overlooking something very simple here out of ignorance and therefore the cry for help.

In a nutshell, I need to:

1.) Download the data from NT8 or ??? into a database,
2.) Then build a spreadsheet that can reference this database ???,
3.) Assemble specific formulas ??? to display and fill the datasheet columns (previously posted).

If NT8 had a similar "Session Stats Indicator" as Linnsoft's then problems # 1 & 2 above would be easily be solved...

I'm hoping someone here could shed some insight in doing this with Ninjatrader 8 if possible.

Thanks again.

I have extracted data from NT MAAAAAAANY times in MANY different formats for many different types of study. I have played with this data in Excel and Matlab.

The important question is how 'turn-key' do you want this to be?

Do you just want to press a button and have it all put into a sheet? Are you willing to set up the data dates on a chart, add an indicator to it, and then copy the info from the NT output window, manually past it into a spreadsheet and THEN do the proper formatting? The former is harder to setup, and comes with its own issues... while the latter is much easier.

Is this something that needs to be done daily, or are you looking for something you'll do occasionally?

From your bullet points above, you might be wanting something to be done automatically, of which I have done, but I'm not an expert and for my needs it was more trouble than worth, so I might not be able to help much in that regard.

The second set of questions... is do you have indicators already that produce all the values you are looking for, and you just need to output those values?

If you want to see an example of the type of data extraction I've done, and the process I was describing with copying from NT... here is an OLD video of me doing it with Taylor Trading(watch the attached 10 min video showing the process):



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  #5 (permalink)
SpeculatorSeth
Salt Lake City, Utah
 
Platform: Jigsaw, NinjaTrader8
 
Posts: 590 since Apr 2016
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The stats suite in the downloads section of this forum provides you everything that you need to determine this kind of information and more:


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  #6 (permalink)
Weston Florida USA
 
Experience: Intermediate
Platform: Ninjatrader8, Bookmap
Broker: IB, Rythmic, IQ-feed
Trading: ES
 
Posts: 25 since Jul 2015
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Thank you @TWDsje I wasn't aware of that indicator suite. I will download and experiment with it over the holidays.

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  #7 (permalink)
Weston Florida USA
 
Experience: Intermediate
Platform: Ninjatrader8, Bookmap
Broker: IB, Rythmic, IQ-feed
Trading: ES
 
Posts: 25 since Jul 2015
Thanks: 12 given, 9 received

Thanks @forrestang with the info & video along with the stat indicator that @TWDsje posted, I'll be busy reviewing your posts over the holidays and see what I come up with. Thank you guys.

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  #8 (permalink)
Atlanta GA
 
Experience: Beginner
Platform: NinjaTrader
Trading: Emini ES
 
Posts: 7 since Sep 2020
Thanks: 99 given, 16 received


jbmiguel View Post
Thank you @kingoliver and that's precisely where I need the help/guidance in 'extracting' the data from Ninjatrader 8 if possible rather than Linnsoft's IRT software (which I no longer subscribe to) which already has the "built-in tools" to build these studies (you can see this at min 19:40 on FT71's video 'Statistical Analysis for a Broader Edge' if it's the same video you referenced).

I'm currently stuck in the extraction/download of the numbers from NT8 and then the transferring to a spreadsheet to allow these statistical studies to be performed just like he did in the video. I may be overlooking something very simple here out of ignorance and therefore the cry for help.

In a nutshell, I need to:

1.) Download the data from NT8 or ??? into a database,
2.) Then build a spreadsheet that can reference this database ???,
3.) Assemble specific formulas ??? to display and fill the datasheet columns (previously posted).

If NT8 had a similar "Session Stats Indicator" as Linnsoft's then problems # 1 & 2 above would be easily be solved...

I'm hoping someone here could shed some insight in doing this with Ninjatrader 8 if possible.

Thanks again.

Several good comments here. I'll try to add value.

I'm a relatively new trader, but a long-time "IT guy". As I dug into it, I looked to use data to develop trading strategies using data driven algorithms. NT 8 does not have turn-key capabilities to work with the data outside NT, but the C# API is powerful with the ability to extend the platform. I decided to use the API to capture the main data stream that I'm already paying for and send it to a local Postgres database (with TimescaleDB as a Docker image).

I now have a working ecosystem pushing tick data into my database. Lots of tech details on making it all work, but it does work and seems to be stable. I'm sure I didn't write the prettiest code, but it works.

From there I have all sorts of ways to organize and analyze the data. Python, R, Excel, and other data visualization tools become possible.

I'm just getting my data analysis systems working the way I want. I hope to use that to scan data doing using various pattern matching and other data analysis techniques. (BTW: several Python libraries exist to help with that and backtesting). I hope to develop signals that I can plug into a strategy for automated trading.

I did make http calls from the NT 8 API to a small web app I wrote. If I'm successful with my data efforts, I might just put a web call in OnBarUpdate() to pull my data points and signals from own app.

So, I'm still building it, but it's powerful and possible to extend.

One note about the data; I'm getting a deeper understanding of the markets and patterns as I study the way the data flows. It's actually forcing me to understand more, which is not a bad thing.

I know I'm going down a path others have walked, not always successfully. It does seem to be worth the effort to learn new skills.

I know this is a bit more than what you asked, but it's top of mind for me and thought I'd share what I'm doing beyond just Excel formulas.

Happy trading...

Tony

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  #9 (permalink)
Italy - Roma
 
Experience: Intermediate
Platform: Ninja + proprietary
Broker: IB
Trading: Index futures, Forex, Stocks
 
jagui's Avatar
 
Posts: 200 since Jul 2010
Thanks: 270 given, 285 received

Good work @FT126.

I did something similar, retrieving data not from the trading platform, but directly using the data provider's API, which should be simpler and more straightforward. In fact I wrote an abstraction layer, to be able to pull data from different data providers. At the moment, I have implemented components to pull data from IB, Degiro, and some crypto exchanges.

I store data into a mysql database and then use a proprietary desktop application to analyze it.

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  #10 (permalink)
Weston Florida USA
 
Experience: Intermediate
Platform: Ninjatrader8, Bookmap
Broker: IB, Rythmic, IQ-feed
Trading: ES
 
Posts: 25 since Jul 2015
Thanks: 12 given, 9 received


Thanks @FT126 and @jagui, I'm currently trying out a program called QCollector and importing directly from IQFeed. The features are limited as far as separating RTH from ETH sessions, etc. but it does download the basic 5 or 6 info columns (date, time, open, hi-lo close, vol.)

I'll dive into the Order flow data download in the next few weeks and post updates.

So far, you gentlemen and other programmers are able to program and achieve far more than what I'm capable of doing, kudos to you guys.

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  #11 (permalink)
Atlanta GA
 
Experience: Beginner
Platform: NinjaTrader
Trading: Emini ES
 
Posts: 7 since Sep 2020
Thanks: 99 given, 16 received


jbmiguel View Post
Thanks @FT126 and @jagui, I'm currently trying out a program called QCollector and importing directly from IQFeed. The features are limited as far as separating RTH from ETH sessions, etc. but it does download the basic 5 or 6 info columns (date, time, open, hi-lo close, vol.)

I'll dive into the Order flow data download in the next few weeks and post updates.

So far, you gentlemen and other programmers are able to program and achieve far more than what I'm capable of doing, kudos to you guys.

I have my Level 1 data capture from NT working. Hope to get the L2 stuff captured this weekend. Still tweaking the code and learning. For example, I noticed that starting my strategy can reload data I've already captured. I need to make a few changes to avoid double entries in my DB.

One weakness I've discovered with the NT8 Kineticks feed is that L2 data only seems to be +/- 10 ticks from last in the order book. That may ultimately drive me to a different feed with a more complete picture. IQ Feed would likely be the next step.

For now, I'm still building, learning, and tweaking. I'm also trying to keep it generic so it's not a big deal to change data providers.

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