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

  #1 (permalink)
Trading Apprentice
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Getting tick data on Historical Backfill

HI,

Does anyone know how to access the tick data when doing a historical backfill from IQFeed for example. My indicator needs the tick data to plot the indicator.

I posted the question on the NT forums and received their usual msg - "there may be an undocumented function but it is beyond what we support".

Thanks

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  #3 (permalink)
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bi9foot View Post
HI,

Does anyone know how to access the tick data when doing a historical backfill from IQFeed for example. My indicator needs the tick data to plot the indicator.

I posted the question on the NT forums and received their usual msg - "there may be an undocumented function but it is beyond what we support".

Thanks

Sorry, don't know of a way to do that, but I think the GOMI package tries to help with replay. I don't know much about it but should probably spend some time learning about it as it seems powerful and has some special indicators that have some great features.

I think you can find some Wiki articles and I think there are a few threads in the Elite section.

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LOM WIKI: NT-Local-Order-Manager-LOM-Guide
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If you are referring to bid/ask data, you need the GomRecorder to store and retrieve it. NT7 doesn't natively support it. You cannot download it from DTN -- if that is important you need to use Investor RT, MarketDelta, or Sierra Chart.

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  #5 (permalink)
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Big Mike View Post
If you are referring to bid/ask data, you need the GomRecorder to store and retrieve it. NT7 doesn't natively support it. You cannot download it from DTN -- if that is important you need to use Investor RT, MarketDelta, or Sierra Chart.

Mike

To clarify, if you are referring to retrieving a historical bid/ask price associated to a last trade then correct, we don't currently support it natively. However, if you are referring to historical bid or ask data, then this is supported.

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NinjaTrader View Post
To clarify, if you are referring to retrieving a historical bid/ask price associated to a last trade then correct, we don't currently support it natively. However, if you are referring to historical bid or ask data, then this is supported.

Could you please clarify your clarification? What exactly is supported and can you point me in the NinjaScript Language Reference to this information (I can't see anything referencing how to access it).

Thank you in advance!

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  #7 (permalink)
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neoikon View Post
Could you please clarify your clarification? What exactly is supported and can you point me in the NinjaScript Language Reference to this information (I can't see anything referencing how to access it).

Thank you in advance!

Historical bid and ask data is supported. If you wanted to build a 1 minute chart, you have the option to choose to build this chart using last (trade), bid or ask data. You can see in link below, if you wanted to add a Bars object, you can specific the market data type (last, ask, bid) to be used.

Add()

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NinjaTrader View Post
Historical bid and ask data is supported. If you wanted to build a 1 minute chart, you have the option to choose to build this chart using last (trade), bid or ask data. You can see in link below, if you wanted to add a Bars object, you can specific the market data type (last, ask, bid) to be used.

Add()

To me, historical bid ask means the ability to download and store historical bid ask data. My understanding has always been that NT7 does not synchronize the bid and ask data with last, making analysis of traditional bid/ask tools useless.

In other words, the keyword to display the Inside Bid and Inside Ask along with Last, in synchronization, is not possible with NT7 on historical data.

Mike

Due to time constraints, please do not PM me if your question can be resolved or answered on the forum.

Need help?
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2) Start a journal and post to it daily with the trades you made to show your strengths and weaknesses.
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  #9 (permalink)
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Big Mike View Post
To me, historical bid ask means the ability to download and store historical bid ask data. My understanding has always been that NT7 does not synchronize the bid and ask data with last, making analysis of traditional bid/ask tools useless.

In other words, the keyword to display the Inside Bid and Inside Ask along with Last, in synchronization, is not possible with NT7 on historical data.

Mike

Let me clarify further -

A) If you want to build a chart using historical last or bid or ask --> NT7 supports this provided you have access to this data from your historical data provider (Zen-Fire, Big Tick, CQG, Kinetick all support this)
B) If you want to do analysis on whether a trade went off at the bid or ask --> NT7 supports this in real time only and/or historically through a 3rd party indicator such as GOMI

NT8 will have native support for B) thus not requiring a 3rd party indicator such as GOMI.

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  #10 (permalink)
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NinjaTrader View Post
Let me clarify further -

A) If you want to build a chart using historical last or bid or ask --> NT7 supports this provided you have access to this data from your historical data provider (Zen-Fire, Big Tick, CQG, Kinetick all support this)
B) If you want to do analysis on whether a trade went off at the bid or ask --> NT7 supports this in real time only and/or historically through a 3rd party indicator such as GOMI

NT8 will have native support for B) thus not requiring a 3rd party indicator such as GOMI.

Hi there, is there any way to know aproximated date of NinjaTrader 8 release - I really dont need exact month. I ask because I have a dilema whether to code my own bidask thing or wait for new ninja release? Thanks for the replay.

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