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Market Replay Data
Updated: Views / Replies:48,020 / 128
Created: by Big Mike Attachments:8

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Market Replay Data

  #31 (permalink)
Just starting out...
NC
 
Futures Experience: None
Platform: Ninjatrader
 
Posts: 3 since Jul 2009
Thanks: 0 given, 0 received

Thanks for all the data! Awesome that someone has organized somewhere to download this. Would anyone happen to have Oct 2008 ES? Thanks again!

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  #32 (permalink)
Elite Member
london uk
 
Futures Experience: Beginner
Platform: NinjaTrader
Broker/Data: Zen-Fire
Favorite Futures: Stocks
 
tellytub's Avatar
 
Posts: 409 since Jun 2009
Thanks: 333 given, 118 received

Thanks Big Mike

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  #33 (permalink)
Site Administrator
Manta, Ecuador
 
Futures Experience: Advanced
Platform: My own custom solution
Favorite Futures: E-mini ES S&P 500
 
Big Mike's Avatar
 
Posts: 45,884 since Jun 2009
Thanks: 29,109 given, 81,702 received


Welcome. I'm uploading July 2009 now.

Also, I am merging this "thank you" thread into the main Market Replay thread:
https://futures.io/general-discussion/81-market-replay-data-3.html

Mike

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Need help?
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  #34 (permalink)
Site Administrator
Manta, Ecuador
 
Futures Experience: Advanced
Platform: My own custom solution
Favorite Futures: E-mini ES S&P 500
 
Big Mike's Avatar
 
Posts: 45,884 since Jun 2009
Thanks: 29,109 given, 81,702 received

July 2009 is up for 6E, CL, ES, FDAX, FESX, NQ, TF, YM, ZB, ZN:

https://futures.io/free_downloads/ninjatrader/misc/103-download.html?view

The CL data is only partial.

If anyone knows PowerShell for Windows well enough to write me a custom script to create a ninja/db/data directory structure for each individual instrument so I can batch-archive them, let me know. I tried WinRAR and PowerArchiver, neither let me use a archive filemask when creating archives (ie: to only archive ES files, then next archive only archive ZN, etc).

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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The following 4 users say Thank You to Big Mike for this post:
 
  #35 (permalink)
Administrator: Retired Backtester
 Vendor: speedytradingservers.com 
Rennes France
 
Futures Experience: Advanced
Platform: NinjaTrader
Broker/Data: IB/Kinetick
Favorite Futures: Futures
 
sam028's Avatar
 
Posts: 3,319 since Jun 2009
Thanks: 3,529 given, 3,930 received

Great, many backtesters will like this !!!

Instead of Powershell, why not using Cygwin, and a Bash script ? It's done in 10 lines of code and 5 minutes...

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The following user says Thank You to sam028 for this post:
 
  #36 (permalink)
Site Administrator
Manta, Ecuador
 
Futures Experience: Advanced
Platform: My own custom solution
Favorite Futures: E-mini ES S&P 500
 
Big Mike's Avatar
 
Posts: 45,884 since Jun 2009
Thanks: 29,109 given, 81,702 received


sam028 View Post
Great, many backtesters will like this !!!

Instead of Powershell, why not using Cygwin, and a Bash script ? It's done in 10 lines of code and 5 minutes...

Thanks that is a good idea I had not considered/wasn't aware of.

Cygwin Information and Installation

Maybe you can help provide the bash script? Ideally, make command line option the desired instrument and date range to pull out of the directory structure and copy to a temp location so I can use a compressor. Sure it could just tar it directly, but I'd rather use 7zip or rar and unless you want to go through the trouble of adding that complexity to the bash script.... if it would just maintain the directory structure and copy only the desired instruments (ES *.*, CL *.*, etc) from the desired folder date range (20090701 - 20090731) etc, we'd be in great shape.

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.

Reply With Quote
 
  #37 (permalink)
Elite Member
Portugal
 
Futures Experience: Intermediate
Platform: NinjaTrader
Broker/Data: Zen-Fire
Favorite Futures: ES,6E
 
pedroxp's Avatar
 
Posts: 45 since Jun 2009
Thanks: 60 given, 35 received

thanks Mike, very usefull

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  #38 (permalink)
Elite Member
Le Mans
 
Futures Experience: Beginner
Platform: NinjaTrader, MetaTrader
Favorite Futures: ES, forex
 
Posts: 4 since Aug 2009
Thanks: 3 given, 0 received

Big Mike rocks! Awesome idea - thank you very much

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  #39 (permalink)
Administrator: Retired Backtester
 Vendor: speedytradingservers.com 
Rennes France
 
Futures Experience: Advanced
Platform: NinjaTrader
Broker/Data: IB/Kinetick
Favorite Futures: Futures
 
sam028's Avatar
 
Posts: 3,319 since Jun 2009
Thanks: 3,529 given, 3,930 received

A bash script like this should work:
 
Code
                            
#!/usr/bin/bash
CONTRACT=$1
YEARMONTH
=$2
DESTINATION
=/cygdrive/c/temp

if [ $# -ne 2 ]
then
        
echo "Usage:   $0 <contract> <yearmonth>"
        
echo "Example: $0 ES 200907"
        
exit -1
fi
mkdir 
-p $DESTINATION
cd 
~/"NinjaTrader 6.5/db/data"
tar cvzf $DESTINATION/$CONTRACT-$YEARMONTH.gz ./$YEARMONTH??/$CONTRACT
That is for one contract and one month, so for archiving multiple contracts (if script above is named bck.sh):
 
Code
                            
for i in ES YM TF
do
   ./
bck.sh $i 200908
done 

Big Mike View Post
Thanks that is a good idea I had not considered/wasn't aware of.

Cygwin Information and Installation

Maybe you can help provide the bash script? Ideally, make command line option the desired instrument and date range to pull out of the directory structure and copy to a temp location so I can use a compressor. Sure it could just tar it directly, but I'd rather use 7zip or rar and unless you want to go through the trouble of adding that complexity to the bash script.... if it would just maintain the directory structure and copy only the desired instruments (ES *.*, CL *.*, etc) from the desired folder date range (20090701 - 20090731) etc, we'd be in great shape.

Mike



Last edited by sam028; August 24th, 2009 at 02:01 PM.
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The following 2 users say Thank You to sam028 for this post:
 
  #40 (permalink)
Site Administrator
Manta, Ecuador
 
Futures Experience: Advanced
Platform: My own custom solution
Favorite Futures: E-mini ES S&P 500
 
Big Mike's Avatar
 
Posts: 45,884 since Jun 2009
Thanks: 29,109 given, 81,702 received



sam028 View Post
A bash script like this should work:
 
Code
                            
#!/usr/bin/bash
CONTRACT=$1
YEARMONTH
=$2
DESTINATION
=/cygdrive/c/temp

if [ $# -ne 2 ]
then
        
echo "Usage:   $0 <contract> <yearmonth>"
        
echo "Example: $0 ES 200907"
        
exit -1
fi
mkdir 
-p $DESTINATION
cd 
~/"NinjaTrader 6.5/db/data"
tar cvzf $DESTINATION/$CONTRACT-$YEARMONTH.gz ./$YEARMONTH??/$CONTRACT
That is for one contract and one month, so for archiving multiple contracts (if script above is named bck.sh):
 
Code
                            
for i in ES YM TF
do
   ./
bck.sh $i 200908
done 

Awesome Sam. I'll install cygwin and test this out between now and end of August when I need to do this again I'm sure everyone will much prefer being able to download only the instruments they are interested in.

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.


Last edited by sam028; August 24th, 2009 at 02:11 PM. Reason: remove whitespace
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