Export Price & Volume Profile/Footprint Data to create a Statistical Analysis Sheet

Discussion in NinjaTrader

Updated January 15, 2021

Export Price & Volume Profile/Footprint Data to create a Statistical Analysis Sheet

January 15th, 2021, 01:52 PM

#11 (permalink)

FT126

Atlanta GA

Elite Member

Experience: Beginner

Platform: NinjaTrader

Trading: Emini ES

Posts: 8 since Sep 2020

Thanks Given: 119

Thanks Received: 19

jbmiguel

Thanks @FT126 and @jagui, I'm currently trying out a program called QCollector and importing directly from IQFeed. The features are limited as far as separating RTH from ETH sessions, etc. but it does download the basic 5 or 6 info columns (date, time, open, hi-lo close, vol.)

I'll dive into the Order flow data download in the next few weeks and post updates.

So far, you gentlemen and other programmers are able to program and achieve far more than what I'm capable of doing, kudos to you guys.

I have my Level 1 data capture from NT working. Hope to get the L2 stuff captured this weekend. Still tweaking the code and learning. For example, I noticed that starting my strategy can reload data I've already captured. I need to make a few changes to avoid double entries in my DB.

One weakness I've discovered with the NT8 Kineticks feed is that L2 data only seems to be +/- 10 ticks from last in the order book. That may ultimately drive me to a different feed with a more complete picture. IQ Feed would likely be the next step.

For now, I'm still building, learning, and tweaking. I'm also trying to keep it generic so it's not a big deal to change data providers.