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Old 12-24-2008, 11:24 AM   #1
ChiTrader2000
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Default Importing Daily Daily and Tick Data from Tradestation?

Hello,

I am able to import continuous futures contracts' 1 minute bar data from TradeStation using NT's help manual, which is awesome, but I also really want to import tick data and daily data from TradeStation. How can I do this?

Note: For Daily Bars, I am able to sort of simulate daily bar data with 1440 bars, but I would like to use the actual OHLC daily bars per TradeStation.

Perhaps someone out there has a TradeStation strategy like NT's "NTDataDownload", but that creates NT historical data import files for tick and Daily Data instead of 1 minute bar data?

Thanks in advance!

ChiTrader2000
Last edited by ChiTrader2000; 12-24-2008 at 11:26 AM.
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Old 01-11-2009, 08:12 AM   #2
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Hello,

I am still curious if there is a way to get 1) Tick Data and 2) Daily Data into Ninja Trader from TradeStation, as described in my previous post below.

I now have tons of awesome 1 minute bar data for continuous contracts from TradeStation and have tested our NT strategies on it, but my boss wants to know how much the 1 minute bar approximation of individual ticks affects the backtesting results. For that, I will need to do backtests against tick data to hopefully show him that there isnt much difference.

Any ideas on getting Tick Data in from TradeStation?

Thanks in advance!

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Old 01-11-2009, 11:53 AM   #3
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Unfortunately this is not supported. Only 1 minute data is supported as per the link below.
http://www.ninjatrader-support.com/H...ownloader.html
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Old 01-11-2009, 12:23 PM   #4
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Hello NinjaTrader_Jason,

Thanks for the quick reply.

Too bad that it is not yet possible.

You guys have probably already put this on your future enhancements list, but if not, I would love it if you guys would consider making importing Tick Data and Daily Data from TradeStation a feature in a future NT release.

Thanks for considering my request,

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Old 01-11-2009, 12:31 PM   #5
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Hello ChiTrader2000,

I am not stating it is not possible; it is not supported.

As you mentioned, a custom created TS strategy could provide tick or daily data, however I am not sure. You will need to investigate yourself.

I will forward your suggestion to our development team and ask them if they can add this to the list of future considerations for the software.
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Old 01-11-2009, 02:00 PM   #6
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Hello NinjaTrader_Jason,

Thanks for the quick response.

Sounds good. I understand.

If I get desperate for tick data from TradeStation I will try to investigate it myself as you suggested.

Thanks for forwarding my suggestion on to the development team.

Thanks again,

ChiTrader2000
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Old 01-12-2009, 08:22 PM   #7
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Quote:
Originally Posted by ChiTrader2000 View Post
but my boss wants to know how much the 1 minute bar approximation of individual ticks affects the backtesting results. For that, I will need to do backtests against tick data to hopefully show him that there isnt much difference.

Any ideas on getting Tick Data in from TradeStation?
Are you sure you can backtest strategy on tick data even if you could import it?
http://www.ninjatrader-support2.com/...ta+backtesting

Hopefully NT7 will improve on the tick data import and backtest functionality.
http://www.ninjatrader-support2.com/...ta+backtesting
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Old 01-24-2009, 06:35 PM   #8
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Hello thrunner,

Thanks for the information. Based on this information, I will hold off on testing against tick data for now, and maybe will revisit the topic after the new NT release. I have plenty of work to do to make my NT application work with 1 Minute Bars anyway.

Thanks again.

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