How to create a database for backtesting? - Traders Hideout | futures io social day trading
futures io futures trading


How to create a database for backtesting?
Updated: Views / Replies:1,575 / 12
Created: by GoldenRatio Attachments:1

Welcome to futures io.

(If you already have an account, login at the top of the page)

futures io is the largest futures trading community on the planet, with over 90,000 members. At futures io, our goal has always been and always will be to create a friendly, positive, forward-thinking community where members can openly share and discuss everything the world of trading has to offer. The community is one of the friendliest you will find on any subject, with members going out of their way to help others. Some of the primary differences between futures io and other trading sites revolve around the standards of our community. Those standards include a code of conduct for our members, as well as extremely high standards that govern which partners we do business with, and which products or services we recommend to our members.

At futures io, our focus is on quality education. No hype, gimmicks, or secret sauce. The truth is: trading is hard. To succeed, you need to surround yourself with the right support system, educational content, and trading mentors Ė all of which you can find on futures io, utilizing our social trading environment.

With futures io, you can find honest trading reviews on brokers, trading rooms, indicator packages, trading strategies, and much more. Our trading review process is highly moderated to ensure that only genuine users are allowed, so you donít need to worry about fake reviews.

We are fundamentally different than most other trading sites:
  • We are here to help. Just let us know what you need.
  • We work extremely hard to keep things positive in our community.
  • We do not tolerate rude behavior, trolling, or vendors advertising in posts.
  • We firmly believe in and encourage sharing. The holy grail is within you, we can help you find it.
  • We expect our members to participate and become a part of the community. Help yourself by helping others.

You'll need to register in order to view the content of the threads and start contributing to our community.  It's free and simple.

-- Big Mike, Site Administrator

Reply
 1  
 
Thread Tools Search this Thread
 

How to create a database for backtesting?

  #11 (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: 46,240 since Jun 2009
Thanks: 29,352 given, 83,232 received


rleplae View Post
I am able to put something on a chart...

I am not able to create a chart from zero (like a basic series/instrument)
Let say i create synthetic data and want that charted in ninjatrader...

What would you recommend ?

Better to let someone that uses NinjaTrader answer.

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
 
  #12 (permalink)
Elite Member
Omer עומר / Israel י
 
Futures Experience: Master
Platform: NinjaTrader, Proprietary,
Broker/Data: Ninjabrokerage/IQfeed + Synthetic datafeed
Favorite Futures: 6A, 6B, 6C, 6E, 6J, 6S, ES, NQ, YM, AEX, CL, NG, ZB, ZN, ZC, ZS, GC
 
rleplae's Avatar
 
Posts: 2,501 since Sep 2013
Thanks: 1,706 given, 3,704 received
Forum Reputation: Legendary


Big Mike View Post
Better to let someone that uses NinjaTrader answer.

Mike

A datafeed connector is a solution....

Reply With Quote
 
  #13 (permalink)
Trading Apprentice
Los Angeles, CA
 
Futures Experience: Advanced
Platform: Interactive Brokers
Favorite Futures: ES, CL, SB, KC, Forex
 
Posts: 14 since Jan 2016
Thanks: 0 given, 5 received


Flat text file-based storage with some clever file naming convention and maybe a directory hierarchy to split contracts by markets and types (i.e. futures from stocks from options, etc...) is a more scalable solution than a traditional DB. Most of the time when you work with historical data (time series) - you don't need to query data, or update /delete records, you just load it up as a sequence of data points, and reading files line-by-line works great. Most languages have support for streaming, so you don't need to load all data into memory at once..

So there is often no need for a SQL-based (or even a non-SQL based) database. Market price data, once obtained and cleaned, is static. You can zip it to save more space, and it's easy to archive. In addition, no DB means one less system to setup, maintain, backup, worry about fail-over, etc... Flat files do not consume CPU power or memory until they are used, unlike a DB engine. You can also easily load comma- or tab- separated files in Excel, or any other tool of your choice.


By the way found a really great tool for getting stocks/futures/options/Forex historical data as csv text files from Interactive Brokers, highly recommend it. You can forget about pacing violation or request/response size limits , it splits large data requests into many smaller once automatically behind the scenes:

Interactive Brokers Historical Data Downloader

Reply With Quote

Reply



futures io > > > How to create a database for backtesting?

Thread Tools Search this Thread
Search this Thread:

Advanced Search



Upcoming Webinars and Events (4:30PM ET unless noted)

Jigsaw Trading: TBA

Elite only

FuturesTrader71: TBA

Elite only

NinjaTrader: TBA

Jan 18

RandBots: TBA

Jan 23

GFF Brokers & CME Group: Futures & Bitcoin

Elite only

Adam Grimes: TBA

Elite only

Ran Aroussi: TBA

Elite only
     

Similar Threads
Thread Thread Starter Forum Replies Last Post
why Backtesting stocks difficult vs backtesting Futures emini_Holy_Grail Traders Hideout 8 July 4th, 2015 03:14 PM
Tick Database Storage MXASJ Platforms and Indicators 40 July 20th, 2012 01:30 PM
Database - A Simple Query ab456 Traders Hideout 1 October 15th, 2011 03:04 PM
Database for NT bomberone1 NinjaTrader Programming 6 April 29th, 2011 10:11 AM
My 2 cents in mysql database iwannatoscript NinjaTrader Programming 5 March 7th, 2010 09:56 AM


All times are GMT -4. The time now is 03:09 PM.

Copyright © 2017 by futures io, s.a., Av Ricardo J. Alfaro, Century Tower, Panama, +507 833-9432, info@futures.io
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.
no new posts
Page generated 2017-12-14 in 0.07 seconds with 26 queries on phoenix via your IP 54.145.16.43