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Broker: Mirus (Broker), Continuum (Data), Dorman (Clearing)
Trading: Futures
Posts: 202 since Mar 2013
Thanks Given: 428
Thanks Received: 202
Yeah, Quandl is impressive.
Do they have historical futures pricing--and if so, is it tick, minute, hour, day, week, month, year or what? I did a cursory search, but I wasn't able to find any.
If I was able to find some, maybe I would add this data to the relevant tick/data sharing threads, i.e., ES, CL, GC, ZW, ZC, etc.
...and R...oh R...I've avoided going down that rabbit hole just yet. Perhaps in the future...
Can you help answer these questions from other members on NexusFi?
I started down the R rabbit hole this weekend. What are the 2 or 3 most important R libraries that you're using and that I should learn? My goal here is to build a COT solution for futures.io (formerly BMT) users that will be free so we don't have to pay for an indicator that is based on free data.
Broker: Mirus (Broker), Continuum (Data), Dorman (Clearing)
Trading: Futures
Posts: 202 since Mar 2013
Thanks Given: 428
Thanks Received: 202
Mike, would you be willing to provide me with one example of how you would pull the COT data for a given contract into R and then output that data as a CSV file using R? If I can get the CSV files, I can then build a NT indicator to use StreamReader to read the CSV data.
Just like we have various tick sharing threads, we could then have a COT thread whereby new data is uploaded each week for various markets--which I will take on as soon as I can cobble this all together (i.e., Quandl to R, R to CSV, CSV to NT indicator/plot).
I've not used Quandl before, but I am sure it's easy. You might bypass using R for this though, and just make the WebRequest in C# from NinjaScript. I would imagine it's just going to return a CSV data set from quandl. Maybe @Nicolas11 can confirm, I believe he has used Quandl before.
Broker: Mirus (Broker), Continuum (Data), Dorman (Clearing)
Trading: Futures
Posts: 202 since Mar 2013
Thanks Given: 428
Thanks Received: 202
A web request is my preferred route, but I don't have any examples to hack. Do you know of any NT web request indicators that I could use as a foundation to build this upon?
Man I feel like I'm close...I have the data...I just need to get it into NT.