Program to convert CQG data for use in NinjaTrader

[bluelou]

Background:
1) NT File Generator is a utility that will convert CQG DataFactory's [cqgdatafactory.com] futures Time & Sales data from comma-delimited format into NinjaTrader's (NT) semi-colon delimited format.
2) The file can be found on the EliteTrader.com website under the following title and URL:

"Program to convert CQG data for use in NinjaTrader"
http://www.elitetrader.com/vb/showthread.php?s=&threadid=136340

3) Usage: I use the program so I can have historical futures tick data for use in backtesting in addition to my live IQFeed tick data. I've found the CQG data to be an excellent match to IQFeed's tick data and it's affordable at $12/contract/month.
4) The .zip file contains the C# .sln file, all source code, and a HowTo file. You will have to compile the code yourself. If you don't have MS Visual Studio you can probably use the free Visual C# 2008 Express Edition.
5) I'm not affiliated w/CQG or any other service provider. I won't be supporting the program.

Best of luck!
Lou

[anachronist]

Interesting. I was thinking of doing something like that for Pinnacle data.

I can easily write something to convert comma-delimited to semicolon-delimited. But there's nothing I can do if my data consists of something other than open, high, low, close, volume. If I have spot closing prices, or number of advancing issues, or declining volume, or open interest, or continuous-contract data for futures, there's no way to read it in properly unless I fake extra columns.

The real solution is for NinjaTrader to have its broken file-import functionality fixed, so it can handle things like Excel comma-delimited .csv files with arbitrary file names, and any number of columns.

The abysmal data-import functionality is NT's biggest flaw, in my opinion. I hoped this would be a top-priority issue for development and release of NT7, but the support team responses so far have seemed non-commital.

-Alex

[bluelou]

anachronist,
No doubt you're right that NT needs to improve this. In a reply to one of my posts they said there would be an improved data import capability in NT7 but I couldn't afford to wait. I actually paid someone $100 to code what I gave away here on the forum. Maybe NT should rebate me :)

-Lou