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Historical Data beyond what Ninja has?
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Historical Data beyond what Ninja has?

  #1 (permalink)
Elite Member
Kirkland, WA/United States
 
Futures Experience: Intermediate
Platform: NinjaTrader
Broker/Data: Optimus/Vision/Rithmic
Favorite Futures: Futures
 
LightWeight's Avatar
 
Posts: 138 since Jul 2012
Thanks: 138 given, 42 received

Historical Data beyond what Ninja has?

I'm curious if anyone knows where (or if) I can find historical price data beyond what Ninja offers. For example, Ninja has historical data for CL back to 2008, but not beyond that point, and I'd like to go back farther if possible. I'm looking to do backtesting/optimization as far back as possible using minute bar increments (1 minute and higher), so I need a source of data using that bar type and that can be imported/used with NinjaTrader. Not concerned about having to pay for it if that's the case, just that it is accurate and plays well with Ninja. Anyone know where I can find it?

Think big, think positive, never show any sign of weakness. Always go for the throat. Buy low, sell high. Fear? That's the other guy's problem. In this building, it's either kill or be killed. You make no friends in the pits and you take no prisoners. One minute you're up half a million in soybeans and the next, boom, your kids don't go to college and they've repossessed your Bentley. Are you with me?
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  #2 (permalink)
Market Wizard
virginia
 
Futures Experience: Intermediate
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https://www.quandl.com/OFDP/FUTURE_CL1-NYMEX-Crude-Oil-Futures-Continuous-Contract-1-CL1-Front-Month

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  #3 (permalink)
Elite Member
Kirkland, WA/United States
 
Futures Experience: Intermediate
Platform: NinjaTrader
Broker/Data: Optimus/Vision/Rithmic
Favorite Futures: Futures
 
LightWeight's Avatar
 
Posts: 138 since Jul 2012
Thanks: 138 given, 42 received




I can't even tell if that's what I'm looking for, or how to incorporate that into Ninja. In fact it looks like 5 day is the smallest increment offered going back historically.

Think big, think positive, never show any sign of weakness. Always go for the throat. Buy low, sell high. Fear? That's the other guy's problem. In this building, it's either kill or be killed. You make no friends in the pits and you take no prisoners. One minute you're up half a million in soybeans and the next, boom, your kids don't go to college and they've repossessed your Bentley. Are you with me?
Reply With Quote
 
  #4 (permalink)
Elite Member
Kirkland, WA/United States
 
Futures Experience: Intermediate
Platform: NinjaTrader
Broker/Data: Optimus/Vision/Rithmic
Favorite Futures: Futures
 
LightWeight's Avatar
 
Posts: 138 since Jul 2012
Thanks: 138 given, 42 received

Is anyone familiar with this company?

Ninjatrader Native Historical Data & Market Replay Data for Futures, Forexs & Stocks : Continuous Intraday Tick, Minute, Day, Volume, Bid, Ask, Last, Level I & Level II High Frequency Trading Data

They say they have futures data going back 45 years available for download, and for NinjaTrader. It looks like it might be in continuous contract format though, which I thought I read was not ideal to run historical optimization runs on.

Think big, think positive, never show any sign of weakness. Always go for the throat. Buy low, sell high. Fear? That's the other guy's problem. In this building, it's either kill or be killed. You make no friends in the pits and you take no prisoners. One minute you're up half a million in soybeans and the next, boom, your kids don't go to college and they've repossessed your Bentley. Are you with me?
Reply With Quote
 
  #5 (permalink)
Elite Member
Cleveland Ohio/United States
 
Futures Experience: Advanced
Platform: Tradestation
Broker/Data: various
Favorite Futures: futures
 
Posts: 2,386 since Jul 2012
Thanks: 1,138 given, 4,384 received


LightWeight View Post
Is anyone familiar with this company?

Ninjatrader Native Historical Data & Market Replay Data for Futures, Forexs & Stocks : Continuous Intraday Tick, Minute, Day, Volume, Bid, Ask, Last, Level I & Level II High Frequency Trading Data

They say they have futures data going back 45 years available for download, and for NinjaTrader. It looks like it might be in continuous contract format though, which I thought I read was not ideal to run historical optimization runs on.

What kind of continuous contract do they offer? There are different methods of creating these datastreams, and each one has some strength and weaknesses.

I use backadjusted continuous contracts, and I am happy with them. But, on some futures, the historical price can actually go negative because of the backadjusting, so you have to be careful with your calculations and testing.

If you have any questions please send me a Private Message or use the futures.io "Ask Me Anything" thread
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