I just found this interesting technology, called Trading Utilities .NET (TuNet), that allows one to code in C# (.NET) for TradeStation! Pretty interesting.
One of the big draws for me as an algorithmic developer with a software development background to NinjaTrader was its use of a modern programming language like C#. However, I'm on the verge of abandoning it as its just hindering me too much lately. And today may be my breaking point with NinjaTrader and my trust level with it. I decided I wanted to do some in depth study of the Flash Crash (May 6th, 2010) with a TF chart with my own Renko bar implementation (which relies on tick-by-tick unfiltered data). Baah! The historical tick-by-tick data stored on NinjaTrader's servers is just rubbish for that day. I'm getting huge holes of missing data and I cannot properly study that day for TF at least with NinjaTrader's historical tick data requests (despite the historical minute chart looking okay and showing the huge vertical V spike in trading that day). NinjaTrader's historical data has just been barely usable for me throughout and now I just don't trust it anymore at all.
I formerly used TradeStation with EasyLanguage (before moving to NinjaTrader) years back but I just don't like coding in EasyLanguage when compared to C# - I'm a big fan of Visual Studio 2010 Ultimate with its code completion, unit testing framework, etc. So this is an interesting option to me now knowing that I can stick with C# and move back to the TradeStation platform if I so choose. Hmmmm...would be really interesting if MultiCharts would have similar capability - have C# bridge tool like this .
If any others know of different ways to code in C# for TradeStation and/or MultiCharts (or a different platform which allows for C# and has a trusted tick by tick data history that goes back at least a year), I'm all ears!
Note: I'm aware of TickData.com as 3rd party historical data provider (have used their service before). Unfortunately, they only provide "filtered" historical tick-by-tick data. They have no product/service for "unfiltered" historical tick-by-tick data. If any knows of a data provider which does provide "unfiltered" historical tick-by-tick data, then that would help alleviate my concerns currently with NinjaTrader by bypassing their historical tick data outright.
The following user says Thank You to jdfagan for this post:
Until they have a more recent update than greater than one year ago (October 2009) on their What's New page, I don't think I'll consider them too seriously since TradeStation is now version 9 and their latest test is 3 versions back at 8.6:
Hi Mike what did you end up settling on? It's almost 2014 and I'm curious what platforms you are using now for good clean data and .NET support. I'm a long time C# .NET developer and I'm looking for exactly the same. Right now I'm vetting MultiCharts.NET and their MCFX data feed. Any experience working with these tools / data? If not any suggestions on where to find clean data and good .NET support? Thanks in advance.
This requires some programming background with .NET but there is a way. I documented building a bridge between TS and a custom C# program running in a separate process that can maintain state across calls from TS. You can check it out here: