Overcome Historical Data Supplier Woes With NinjaTrader

Crassius

Junior member
23 3
I have read several reviews of Interactive Brokers complaining of shortcomings using Interactive Brokers' historical data for back fill. Complaints include limited length of back fill data available, a change in the way the candles are drawn on chart re-load, and a speed limit placed on downloads seeking a longer history. Here's a solution if you trade FX.

I don't use Interactive Brokers, but I do use MB Trading and I would have the exact same problems if I relied on MB Trading to supply my back fill historical data. Other brokers would have the same problems because the fly in the ointment is relying on the broker's historical back fill database.

Realize that these brokers are not in the data business. They provide historical back fill data as free service to their customers so their charts will work up to a point on their free platform, and any supported third party apps they allow access. It isn't their primary business activity, and as usual you get what you pay for; limited workability, but its free.

Subscription data providers like eSignal, Kinetic ,DTN.IQ etc are selling data as their front line business, and they do a better job and require payment from you for it. And it isn't cheap. It can be prohibitively expensive. A $10,000 account for example would have to earn over 17% a year to pay for a common data package. ($140/mo * 12 months) That would just get you back to break even. ... and you would be beating the hell out of most mutual funds and CTA's just to get back to break even. If you are trading a $500,000 account the cost gets to be trivial. We should all be so lucky.

If you are trading futures, it is probably only practicle to either pay for better data or accept the limitations of your free data source. Forex however has the advantage of free data that is not protected by the exchanges.... it belongs to your broker.

As an FX trader, another option that I use is to utilize the tick database included in NinjaTrader to collect and store my own historical back fill data, and only download live streaming prices, which update my charts in real time, and also store each tick in the database. From this data stored at tick granularity, I can build any type of bar I wish. You can build a minute bar from tick data, but you can't decompose a minute bar into its individual ticks.

This method requires daily work.. a few minutes a day to back up, and diligence at starting the program each day on time to capture the data. If data gets lost or missed, it requires patching the database with downloadable files provided by MB Trading and most FX brokers. They cannot supply you with similar exchange traded data files because they do not own that data.

By doing a little work, I have access to free, consistent, clean data for back fill that goes back as far as I care to maintain. It works so well for me that I will never again use a software package that does not provide for a locally stored back fill database.

And since you are wondering... no I don't work for NinjaTrader, I use it everyday, and although not perfect, for the most part I like it.
 
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