S&P Historical tick data WITH VOLUME

[skynetman]

Guys i'm going mad to find some quality historical tick data for S&P500 and start backtesting.
I checked barchart service at anfutures.com but they say that

"Beginning November 1st, 2007 CME Group has changed format of the Time and Sales historical data that is available from their archive. From that date ANFutures has no volume data in the historical trade records and provides data products with zero figure in the VOLUME field only."

So they are useless to me.
Has anyone tried tickdata.com, tickdatamarket.com or regisdata.co.uk?

I need only last couple of years, but with volume value.
Better if they have NT compatible file format.....

[NinjaTrader_Ben]

Hello,

I'll let some other traders respond. We are not a data provider as you probably know.

These are the data providers we support:
http://www.ninjatrader-support.com/H...ricalData.html

And here is some format information that may be useful:
http://www.ninjatrader-support.com/H...V6/Import.html

[skynetman]

You are an historical data provider? Really? I can't find any link on NT site.....

[NinjaTrader_Ben]

Hello,

Sorry about that. I changed my post. That was a typo.

[rrv1980]

Originally Posted by NinjaTrader_Ben

Hello,

Sorry about that. I changed my post. That was a typo.

umm..
i m not sure if this will help reply yur q.
you can download your data from the opentick site..

but if u wanna d/l tick data then it will be a major pain to download each and every contract.. and then merge it...

i tried it .. and its just too much to download and takes heck of time.. and i dont have patience to merge the stuff..

so i ordered from tickdata.com .. that takes care of download issue.. and also in their tool you can merge stuff.. (which i am just trying )

but they dont have the output which ninja is expecting ";" delimited.. theyjust have comma delimited (to see solution to that issue i searched the forum and found your post)....


right now i am trying to convert the textfile using simple textpad replacement of , to ; and hopefully it will work(just worked ) ...

but tickdata costs 90$ a year data on one symbol.. and then there is some limit of minimum $ purchase..

hope this info helps..

[NinjaTrader_Ben]

Hello,

I'm I haven't tried this, and I do not know what your data looks like so I can say if it will work for sure, but try using the Find then Replace All feature in Word and/or excel to replace the commas with semi-colons.

[Jugador]

Originally Posted by rrv1980

umm..
so i ordered from tickdata.com .. but they dont have the output which ninja is expecting ";" delimited.. theyjust have comma delimited

right now i am trying to convert the textfile using simple textpad replacement of , to ; and hopefully it will work(just worked ) ...

Hi...did you ever get the Tickdata to import, and if so, how? I was able to change all the comma's to semicolon's using "find and replace" in excel.

But...seems NT has a space (no semicolon) between date and time. But, after fixing that manually, then I get a "timestamp" error. Any help appreciated. Thanks

[NinjaTrader_Ben]

Hello,

Post a handful of lines from your data so we can verify what it looks like.

It needs to look like this:
http://www.ninjatrader-support.com/H...V6/Import.html

[Jugador]

Originally Posted by NinjaTrader_Ben

Hello,

Post a handful of lines from your data so we can verify what it looks like.

Thanks for asking Ben...while I was preparing a screenshot for you I decided to try deleting the "top row" of the text file and try that. Bingo! That was the problem. Dated imported successfully! On the screenie, the left side wouldn't load, but the right one did. Thanks!

[NinjaTrader_Ben]

Hello,

Glad it worked!

[coolraz]

I am also trying to import tickdata.com tick files into NT.

The output from the tickdata file manager is very close to what NT wants

20060208,151456,1267.75,12

and I know NT wants

20060208 151456;1267.75;12

But I dunno how to make that conversion b/c just for 1 week of tickdata there is is like 32,000 lines so obviously I can't make that space by myself manually!! (I can certainly replace the , by ; with "find and replace" but even that takes a lot of time on 32k lines, and I'll need to do this for a year's worth of data...)

Is there some "strategy" or code or something with NT that I can create that will allow me to do this?

Or, is there any plans for NT to be able to specify what each CSV value is (like OpenQuant does, where it loads a line of your csv/txt and then you can say it's in format date,time,price,volume and from then NT will read the rest of the file correcltly (in other words, is there any way to make NT's historical data reading more flexible??)

Thanks!!

[NinjaTrader_Bertrand]

Hi coolraz,

Thanks for the ideas, I will forward them to development.

You can take a look at Steamreader / Steamwriter for data manipulations from NinjaScript -

http://www.ninjatrader-support2.com/...ead.php?t=3476

http://www.ninjatrader-support2.com/...ead.php?t=3475

Or setup some macro in Excel to do this for you, if you have muliple files to rearrange...

[coolraz]

Thanks for the quick reply!

I just have a quick question as to how to use steamreader. It seems it's an indicator so I am not sure how to actually "run it". I can only seem to be able to select it for use on a chart or strategy tester, but that means on data that's already imported. How do I tell it the file that I want to convert to NT readable file and the output file?

sorry if this a newbie question, I am just transferring to NT and haven't mastered it all yet! : )

Thanks for your help!

[NinjaTrader_Bertrand]

Hi coolraz, if I'm not mistaken, you should be able to use the MyDocuments > NinjaTrader 6.5 folder for your textfiles. You will just need to change the Steamreader code to fit the naming of your files....expand the Variables() section of the code to see the path setting.

[Jugador]

Originally Posted by coolraz

But I dunno how to make that conversion b/c just for 1 week of tickdata there is is like 32,000 lines so obviously I can't make that space by myself manually!! Thanks!!

Hi...I only needed 30 minute bars, so fixing the "space" problem manually wasn't that big a deal for me. But, if you need all ticks, you might check into this program, if you can't figure out the ninjascript thing. If you're like me, I'm still looking for that "any" key. QCollector Expert. It's free if you're not gonna download data, so I'm assuming it'll work for data you've already acquired?