OmniTrader Forum OmniTrader Forum
forums calendars search
today this week
 
register logon control panel Forum Rules
You are currently browsing as a guest.
You should logon to access more features
A Self-Moderated Community - ALL MEMBERS, PLEASE READ!
Vote for Members who contribute the most to your trading, and help us moderate content within the Forums.


  Current location        Thread information  
OmniTrader 2017 Upgrade Forums
OmniTrader Feature Requests
Intraday market internals data for backtesting
Last Activity 1/25/2020 9:10 AM
8 replies, 312 viewings

Jump to page : 1
Now viewing page 1 [25 messages per page]
 
back reply
Printer friendly version

^ Top
SJ

Member
25
Posts: 30

Joined: 9/28/2012
Location: Olathe, KS

User Profile
 
Subject : Intraday market internals data for backtesting
Posted : 12/9/2019 12:01 PM
Post #46513

I started taking a course in using market internals for intraday trading. In trying to replicate the material which was for Tradestation, I realized that Nirvana RT data for market internals like $ADV, $DECL, $UVOL & $DVOL are only available while in an RT profile. They do not appear EOD in any timeframe. Thus, it is impossible to do any backtesting. I've been looking for a way to obtain and import this data, but have been unsuccessful.

Any way we can make this data accessible for backtesting? Anyone have a practical workaround?
^ Top
Barry Cohen

Sage
5000500100100
Posts: 5707

Joined: 1/19/2004

User Profile
 
Subject : RE: Intraday market internals data for backtesting
Posted : 12/10/2019 2:19 PM
Post #46514 - In reply to #46513

EOD market internals are there if you have OmniData EOD.

https://www.omnitrader.com/currentclients/otforum/thread-view.asp?threadid=4386&posts=2
^ Top
SJ

Member
25
Posts: 30

Joined: 9/28/2012
Location: Olathe, KS

User Profile
 
Subject : RE: Intraday market internals data for backtesting
Posted : 12/11/2019 12:27 AM
Post #46515 - In reply to #46514

But I am wanting intraday market internals: $ADV, $DECL, $UVOL, $DVOL, $TICK. These cannot be accessed unless you are in an active RT profile. In that case, it seems impossible to run performance reports or port sims. The only work-around I can think of is to use VT walk-forward simulation, but that is less than satisfactory for doing research or optimzation and does not support adding to a GA for training.

Is there any reason these symbols can't be made available to appear as historical intraday data within an EOD profile to support backtesting?
^ Top
Barry Cohen

Sage
5000500100100
Posts: 5707

Joined: 1/19/2004

User Profile
 
Subject : RE: Intraday market internals data for backtesting
Posted : 12/11/2019 12:18 PM
Post #46516 - In reply to #46515

You can add the RT internal symbols to your EOD profile & get data for them, but you have to add an intraday timeframe first. One limitation though is you won't get daily charts. But if you just need intraday that should work for you. After you have an intraday timeframe in the profile & the symbols, run the ToDo List to download the data.
^ Top
Jim Dean

Idol
200050010010010010025
Posts: 2929

Joined: 9/21/2006
Location: L'ville, GA

User Profile
 
Subject : RE: Intraday market internals data for backtesting
Posted : 12/18/2019 11:08 AM
Post #46536 - In reply to #46516

If true daily is not available then maybe use 390 min bars. Not perfect due to days with early closing etc but maybe better than nada.
^ Top
SJ

Member
25
Posts: 30

Joined: 9/28/2012
Location: Olathe, KS

User Profile
 
Subject : RE: Intraday market internals data for backtesting
Posted : 12/18/2019 4:21 PM
Post #46537 - In reply to #46516

I let my RT data subscription expire several weeks ago when my credit card date changed, so I haven't been able to check. I could have sworn that I had no luck pulling up even intraday history data while I was in an EOD profile even though I had for instance 15 min bars selected.

Anyone else able to independently verify? Again, this is only regarding the symbols I mentioned in OP. I'll need to renew RT data just to look.
^ Top
Barry Cohen

Sage
5000500100100
Posts: 5707

Joined: 1/19/2004

User Profile
 
Subject : RE: Intraday market internals data for backtesting
Posted : 12/19/2019 11:24 AM
Post #46538 - In reply to #46537

Here are those 5 symbols in EOD with a 15 minute timeframe.


Attached file : Internals.jpg (292KB - 106 downloads)

^ Top
SJ

Member
25
Posts: 30

Joined: 9/28/2012
Location: Olathe, KS

User Profile
 
Subject : RE: Intraday market internals data for backtesting
Posted : 12/19/2019 1:03 PM
Post #46539 - In reply to #46538

Barry, thanks much. It had been awhile since I was exploring this issue, but I though I was thorough in my investigation. Thanks for proving me wrong. I will renew my research into using this data.
^ Top
Barry Cohen

Sage
5000500100100
Posts: 5707

Joined: 1/19/2004

User Profile
 
Subject : RE: Intraday market internals data for backtesting
Posted : 12/19/2019 4:34 PM
Post #46540 - In reply to #46539

Sounds good, if for some reason it still doesn't work when you try it again, it's got to be some setting or something preventing it. Just let me know or contact our support team & we'll figure it out & get it working for you.
Jump to page : 1
Now viewing page 1 [25 messages per page]
back reply

Legend    Action      Notification  
Administrator
Forum Moderator
Registered User
Unregistered User
E-Mail this thread to a friend
Toggle e-mail notification


Nirvana Systems
For any problems or issues please contact our Webmaster at webmaster@nirvsys.com.