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Market Replay Data


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Market Replay Data

  #31 (permalink)
tradercrm
NC
 
Posts: 3 since Jul 2009
Thanks Given: 0
Thanks Received: 0

Thanks for all the data! Awesome that someone has organized somewhere to download this. Would anyone happen to have Oct 2008 ES? Thanks again!

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  #32 (permalink)
 
tellytub's Avatar
 tellytub 
london uk
 
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Thanks Big Mike

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  #33 (permalink)
 
Big Mike's Avatar
 Big Mike 
Manta, Ecuador
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Welcome. I'm uploading July 2009 now.

Also, I am merging this "thank you" thread into the main Market Replay thread:


Mike

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  #34 (permalink)
 
Big Mike's Avatar
 Big Mike 
Manta, Ecuador
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July 2009 is up for 6E, CL, ES, FDAX, FESX, NQ, TF, YM, ZB, ZN:



The CL data is only partial.

If anyone knows PowerShell for Windows well enough to write me a custom script to create a ninja/db/data directory structure for each individual instrument so I can batch-archive them, let me know. I tried WinRAR and PowerArchiver, neither let me use a archive filemask when creating archives (ie: to only archive ES files, then next archive only archive ZN, etc).

Mike

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  #35 (permalink)
 
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 sam028 
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Great, many backtesters will like this !!!

Instead of Powershell, why not using Cygwin, and a Bash script ? It's done in 10 lines of code and 5 minutes...

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  #36 (permalink)
 
Big Mike's Avatar
 Big Mike 
Manta, Ecuador
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sam028 View Post
Great, many backtesters will like this !!!

Instead of Powershell, why not using Cygwin, and a Bash script ? It's done in 10 lines of code and 5 minutes...

Thanks that is a good idea I had not considered/wasn't aware of.

Cygwin Information and Installation

Maybe you can help provide the bash script? Ideally, make command line option the desired instrument and date range to pull out of the directory structure and copy to a temp location so I can use a compressor. Sure it could just tar it directly, but I'd rather use 7zip or rar and unless you want to go through the trouble of adding that complexity to the bash script.... if it would just maintain the directory structure and copy only the desired instruments (ES *.*, CL *.*, etc) from the desired folder date range (20090701 - 20090731) etc, we'd be in great shape.

Mike

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  #37 (permalink)
 
pedroxp's Avatar
 pedroxp 
Portugal
 
Experience: Intermediate
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thanks Mike, very usefull

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  #38 (permalink)
 Traffic 
Le Mans
 
Experience: Beginner
Platform: NinjaTrader, MetaTrader
Trading: ES, forex
Posts: 10 since Aug 2009
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Big Mike rocks! Awesome idea - thank you very much

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  #39 (permalink)
 
sam028's Avatar
 sam028 
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A bash script like this should work:
 
Code
                            
#!/usr/bin/bash
CONTRACT=$1
YEARMONTH
=$2
DESTINATION
=/cygdrive/c/temp

if [ $# -ne 2 ]
then
        
echo "Usage:   $0 <contract> <yearmonth>"
        
echo "Example: $0 ES 200907"
        
exit -1
fi
mkdir 
-p $DESTINATION
cd 
~/"NinjaTrader 6.5/db/data"
tar cvzf $DESTINATION/$CONTRACT-$YEARMONTH.gz ./$YEARMONTH??/$CONTRACT
That is for one contract and one month, so for archiving multiple contracts (if script above is named bck.sh):
 
Code
                            
for i in ES YM TF
do
   ./
bck.sh $i 200908
done 

Big Mike View Post
Thanks that is a good idea I had not considered/wasn't aware of.

Cygwin Information and Installation

Maybe you can help provide the bash script? Ideally, make command line option the desired instrument and date range to pull out of the directory structure and copy to a temp location so I can use a compressor. Sure it could just tar it directly, but I'd rather use 7zip or rar and unless you want to go through the trouble of adding that complexity to the bash script.... if it would just maintain the directory structure and copy only the desired instruments (ES *.*, CL *.*, etc) from the desired folder date range (20090701 - 20090731) etc, we'd be in great shape.

Mike


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  #40 (permalink)
 
Big Mike's Avatar
 Big Mike 
Manta, Ecuador
Site Administrator
Developer
Swing Trader
 
Experience: Advanced
Platform: Custom solution
Broker: IBKR
Trading: Stocks & Futures
Frequency: Every few days
Duration: Weeks
Posts: 50,397 since Jun 2009
Thanks Given: 33,173
Thanks Received: 101,537



sam028 View Post
A bash script like this should work:
 
Code
                            
#!/usr/bin/bash
CONTRACT=$1
YEARMONTH
=$2
DESTINATION
=/cygdrive/c/temp

if [ $# -ne 2 ]
then
        
echo "Usage:   $0 <contract> <yearmonth>"
        
echo "Example: $0 ES 200907"
        
exit -1
fi
mkdir 
-p $DESTINATION
cd 
~/"NinjaTrader 6.5/db/data"
tar cvzf $DESTINATION/$CONTRACT-$YEARMONTH.gz ./$YEARMONTH??/$CONTRACT
That is for one contract and one month, so for archiving multiple contracts (if script above is named bck.sh):
 
Code
                            
for i in ES YM TF
do
   ./
bck.sh $i 200908
done 

Awesome Sam. I'll install cygwin and test this out between now and end of August when I need to do this again I'm sure everyone will much prefer being able to download only the instruments they are interested in.

Mike

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