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Getting tick data on Historical Backfill
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Getting tick data on Historical Backfill

  #11 (permalink)
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Hi

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...

Peter


Last edited by pbmi66; December 16th, 2013 at 11:43 PM. Reason: clarity
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  #12 (permalink)
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pbmi66, thank you very much for saving me a lot of trouble!

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  #13 (permalink)
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In that respect it would be interesting to know whether NT8 will put millisecond resolution on the timestamp for tick data it stores?

Please could you also clarify if Ninja intends that NT8 will store all 3 data streams in the HDM simultaneously from live charts?

And how about the ability to download bid and ask data from data providers who provide it?

Thanks

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  #14 (permalink)
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Ignacmostovic, you're welcome.

Adamus, I contacted NT support about this last week.

Apparently, they will do something - but I don't know to what time timestamp resolution or if they will combine the bid/ask/last series.

Regarding downloading data, I take it you mean to backfill charts - again I'm not sure.

Best to contact them directly...

Good luck!

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  #15 (permalink)
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Adamus View Post
In that respect it would be interesting to know whether NT8 will put millisecond resolution on the timestamp for tick data it stores?

Please could you also clarify if Ninja intends that NT8 will store all 3 data streams in the HDM simultaneously from live charts?

And how about the ability to download bid and ask data from data providers who provide it?

Thanks

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.

Mike

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  #16 (permalink)
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Maybe plans have changed from 12 months ago.

Last week, I got 2 different answers as to whether something will be done:

http://www.ninjatrader.com/support/forum/showthread.php?p=354637#post354637



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  #17 (permalink)
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pbmi66 View Post
Maybe plans have changed from 12 months ago.

Last week, I got 2 different answers as to whether something will be done:

http://www.ninjatrader.com/support/forum/showthread.php?p=354637#post354637



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I would believe Ray first and foremost, the others are probably not expert at NT8.

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  #18 (permalink)
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I will also note he confirmed it multiple times since then.

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  #19 (permalink)
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Big Mike View Post
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.

Mike

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.

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