When does NinjaTrader Load Historical Data

[AnotherTrader]

Assuming I have selected TOOLS > OPTIONS > DATA > GENERAL > STORE REAL-TIME BAR DATA, then the help guide has the following:

When does NinjaTrader Load Historical Data

NinjaTrader loads data from your data provider whenever it determines it could potentially not have all the data pertaining to the requested time period.

NinjaTrader will load data when:
1. “Format Data Series” contains the current day
2. “Format Data Series” contains the last day of data available in your database
3. The database contains no data within 3 days of the “From” date

Are these three instances the only three in which NT will re-load historical intraday data from the data provider?

In a situation where none of the above apply (e.g. say, “Format Data Series” contains neither the current day nor the last day of data available in my database, AND the database contains data within 3 days of the “From” date), but where “Format Data Series” covers a period when NT might have been switched off for a couple of hours during a trading session (so that there is a gap of several bars in the middle of the period), will NT reload the missing historical intraday bars if these are available from the data provider?

Thanks

[NinjaTrader_Vincent]

Hi,

Yes, they should be loaded if it is provided to us.

[AnotherTrader]

Many thanks, Vincent.

Does the example situation I have described above fit within one of the three instances listed earlier in this post? I can’t see how it might, so if it does I would be grateful if you could explain how.

If it does not fit within one of these three instances, is there a more complete list of the instances in which NinjaTrader will re-load data?

Thanks.

[NinjaTrader_Vincent]

It is different, but during the reload it will load all data provided to us. So the missing data should show up after.

[AnotherTrader]

So even if I have selected TOOLS > OPTIONS > DATA > GENERAL > STORE REAL-TIME BAR DATA, connecting to my data provider will always overwrite recorded real-time data????

[NinjaTrader_Vincent]

If the data is the same it will not be influenced.

What is it that you're after?

[AnotherTrader]

Hi, Vincent

My objective is to use NT to create over time a historical database of the US equity price/volume data received in real-time from eSignal (for the 100 or so instruments that I follow).

I use eSignal as my primary data feed. The data eSignal provides in real-time is not the same as the historical data available from eSignal after the fact; eSignal consolidates additional data sources into its historical data which were not available for its real-time data feed. As I trade using the “real-time type” eSignal data, I want also to be able to backtest/optimize with the “real-time type” eSignal data (rather than with the “historical-type” eSignal data). Therefore, I need over time to create a database of this data by recording it with NT.

Therefore, I need to determine which procedures to follow to create the database outlined above.

... This is where I am coming from.

The core session (as you know) for US equities is between 09h30 – 16h00 EST. In a simple world, I would just select TOOLS > OPTIONS > DATA > GENERAL > STORE REAL-TIME BAR DATA, and leave NT running between these times. However, the reality is that I will occasionally (and frustratingly!) experience losses of internet connectivity; this will lead to gaps in the real-time PV data recorded.


Therefore, I need to know what will happen if, after the daily trading session is over, I subsequently connect up eSignal.

• Will it download historical data just to fill in the missing “gaps”?
• Or will the effect of connecting eSignal be to overwrite all the recorded “real-time type” data with the freshly downloaded “historical type” eSignal data (since they will be materially different).

This is why I was trying to understand the "rules" as outlined in the NT help guide relating to when NT downloads historical data.

Thanks


[I may have another related question once I have understood your answer to the above. But I’ll save that for later so as not to muddy the discussion more than necessary!]

[NinjaTrader_Vincent]

Hi,

It's best to take a look at V7. It is more powerful in this regard. We have a historical data manager there.

See here for V7 new features:
http://www.ninjatrader.com/webnew/NT7/NinjaTrader7.html