92 lines
4.4 KiB
Markdown
92 lines
4.4 KiB
Markdown
# Poor Man's Guide to Historical Tick Data for NinjaTrader
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This guide covers how to import historical tick data from Sierra Chart into NinjaTrader for cheap.
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A 1-month subscription to Sierra Chart (and the Denali Exchange Data Feed), which is sufficient for the purpose of this guide, is ~$40.
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Services such as Portara CQG cost ~$800 per instrument (e.g., S&P 500 E-Mini Futures).
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Depending on how much data you require, this could save you thousands of dollars.
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## Motivation
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Historical tick data is useful when backtesting strategies that depend on intrabar price movements (i.e., when OHLC alone is insufficient).
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However, data providers provide only a limited amount of historical tick data.
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For example, the default NinjaTrader Continuum data feed provides only a year's worth. IQFeed, my current data provider, provides up to 180 days only.
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In order to obtain more data, it must typically be purchased from a data vendor, but as we've seen, this can be very expensive.
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Hence the desire to obtain historical data for a fraction of the cost.
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This is where the Historical Data Service provided by Sierra Chart comes in. According to their [documentation](https://www.sierrachart.com/index.php?page=doc/SierraChartHistoricalData.php#Included):
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> Tick by tick data for futures contracts on the CME/NYMEX/COMEX/CBOT begins at 2011.
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>
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> Prior to this the CME/NYMEX/COMEX/CBOT data is in 1 minute units and begins at June 2008.
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In order to access this data, you just need to subscribe to a Sierra Chart service package.
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I'm using ```Integrated Standard Sierra Chart (Service Package 10)```, but I believe any service package will do.
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## Exporting Data from Sierra Chart
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1. Go to Global Settings > Data / Trade Service Settings.
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2. Make sure Intraday Data Storage Time Unit is set to 1 Tick and that the Maximum Historical Intraday Days to Download for 1-Tick Data is set to a period long enough to download all the data in the contract (doesn't have to be 730 days as shown in the screenshot, ~100 days should be enough).
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3. Apply All changes.
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4. Connect to the data feed if not already (File > Connect to Data Feed).
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5. Go to File > Find Symbol.
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6. Enter the symbol for the contract you want to download data for.
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7. Open Intraday Chart, then Close.
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8. Wait for historical data to download / chart to finish loading.
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9. Disconnect from the data feed (File > Disconnect).
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10. Go to Edit > Export to Intraday Text File.
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11. Click save and wait on the export to complete.
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12. Repeat this process for as many contracts as you desire.
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## Converting Data to NinjaTrader's Expected Format
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The exported tick data can be converted into the format that NinjaTrader expects by running the script ```convert_tick_data.py```.
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The script depends on ```pandas```, so make sure the package is installed.
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Make sure to specify the file exported from Sierra Chart as the input and name the output file accordingly.
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The output file name matters, so refer to [NinjaTrader's documentation](https://ninjatrader.com/support/helpGuides/nt8/NT%20HelpGuide%20English.html?importing.htm) on importing tick data for more information.
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Important bit:
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> When using the NinjaTrader format, the name of the text file to be imported must be the NinjaTrader instrument name followed by a period and "Last", "Bid", or "Ask" depending on the data type. For example:
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>
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> MSFT.Last.txt for Microsoft stock last price data
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>
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> ES 12-09.Bid.txt for the S&P E-mini December contract bid price data
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>
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> EURUSD.Ask.txt for the Euro/U.S. dollar currency pair ask price data
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The script outputs the **Last** price.
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## Importing Data into NinjaTrader
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1. In the NinjaTrader control panel window go to Tools > Import > Historical Data.
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2. Select the desired Format (e.g., NinjaTrader (end of bar timestamps)), Data Type (e.g., Last), and Time Zone of Imported Data (e.g., UTC).
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3. Select "Generate 'Minute' bars from imported tick data" if you wish to do so (recommended).
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4. Click Import and select the output file(s) from the tick data conversion script.
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5. Finally, wait for the import to complete.
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You will now be able to perform backtests (e.g., via the Strategy Analyzer) using the imported historical tick data.
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