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I have just been through the process of working out what's possible versus what is not possible regarding NinjaTrader 7, historical bid/ask/last data and chart backfills.
If this post saves 1 person the frustration I have had in working this out - then it goes some way to pay back the helpful comments I have received from others!
1. NinjaTrader stores ALL bid/ask/last data as separate dataseries - i.e. 1 for bids, 1 for asks, 1 for last prices.
2. These 3 dataseries are stored in sequence as received from the data provider
3. Timestamps are to 1 second only - and here the problem is compounded...
4. Because a) bids/asks/lasts are stored as separate dataseries for each, and b) timestamps are summarised to 1 second, it is IMPOSSIBLE to re-build the correct sequence of bid/ask prices in correlation to last prices.
5. It is however possible to use either lasts, bids or asks on their own.
6. When considering to subscribe to data feeds with real-time & historical feeds for NinjaTrader - please bear the above in mind.
Yes, the GOMI recorder saves data for re-use post-event - but I, like many others who have posted such questions somewhere on the internet, was looking to back-fill my chart set-ups.
My conclusion:
To make historical backfills with NinjaTrader 7 requires customisation via direct access to a data feed api, plus storage of data outside of NinjaTrader.
PS. I would be more than happy for my conclusion to be proved wrong...
Ray confirmed all of this about a year ago in the first NT8 webinar on futures.io (formerly BMT). I suggest watching all of them, there have been several and they are highly detailed.
OK you got me. These forum posts pander to my laziness because I can fire off a quick question in a thousandth of the time it'll take me to watch the webinars.
No worries though, I was asking out of curiosity, not necessity. Owning a lifetime license means that it won't influence any decisions on my part anyway.
What would be a major enhancement that I haven't found yet if it does exist is a page on the Ninja website breaking down all the changes to NT8 from NT7 and dividing them up by category so we aren't forced to watch 3 hours of webinar to find out. Actually I'll go and ask them on their support forum where that web page is and if it doesn't exist, why not.
You can discover what your enemy fears most by observing the means he uses to frighten you.
