Importing BID/ASK TICK data - NinjaTrader | futures io social day trading
futures io futures trading


Importing BID/ASK TICK data
Updated: Views / Replies:4,909 / 7
Created: by gparkis Attachments:0

Welcome to futures io.

(If you already have an account, login at the top of the page)

futures io is the largest futures trading community on the planet, with over 90,000 members. At futures io, our goal has always been and always will be to create a friendly, positive, forward-thinking community where members can openly share and discuss everything the world of trading has to offer. The community is one of the friendliest you will find on any subject, with members going out of their way to help others. Some of the primary differences between futures io and other trading sites revolve around the standards of our community. Those standards include a code of conduct for our members, as well as extremely high standards that govern which partners we do business with, and which products or services we recommend to our members.

At futures io, our focus is on quality education. No hype, gimmicks, or secret sauce. The truth is: trading is hard. To succeed, you need to surround yourself with the right support system, educational content, and trading mentors – all of which you can find on futures io, utilizing our social trading environment.

With futures io, you can find honest trading reviews on brokers, trading rooms, indicator packages, trading strategies, and much more. Our trading review process is highly moderated to ensure that only genuine users are allowed, so you don’t need to worry about fake reviews.

We are fundamentally different than most other trading sites:
  • We are here to help. Just let us know what you need.
  • We work extremely hard to keep things positive in our community.
  • We do not tolerate rude behavior, trolling, or vendors advertising in posts.
  • We firmly believe in and encourage sharing. The holy grail is within you, we can help you find it.
  • We expect our members to participate and become a part of the community. Help yourself by helping others.

You'll need to register in order to view the content of the threads and start contributing to our community.  It's free and simple.

-- Big Mike, Site Administrator

Reply
 
Thread Tools Search this Thread
 

Importing BID/ASK TICK data

  #1 (permalink)
Elite Member
New York City, NY/USA
 
Futures Experience: Intermediate
Platform: NT
Favorite Futures: 6E, ZN, CL
 
Posts: 121 since Dec 2010
Thanks: 3 given, 74 received

Importing BID/ASK TICK data

I was planning on ordering tick data with bid ask traded volume from tickdatamarket.

I know when importing in NT, you have to specify LAST, ASK, BID.

Would I have to have an ASK file and BID file to load two separate charts (one ask chart and one bid chart) or will one file being loaded twice but selecting the appropriate BID or ASK when importing suffice?

Their sample data file has the ASK price and volume, BID price and volume in one file (txt and excel)

How would I accomplish this?

Reply With Quote
 
  #2 (permalink)
Elite Member
Portland Oregon, United States
 
Futures Experience: Beginner
Platform: Ninjatrader®
Broker/Data: CQG, Kinetick
Favorite Futures: Gameplay Klownbine® Trading of Globex
 
Zondor's Avatar
 
Posts: 1,327 since Jul 2009
Thanks: 1,246 given, 2,635 received

Might not be any point downloading that data

Bear in mind that the files in which Ninjatrader stores bid, last, and ask data have one second time stamps so cannot be synchronized when backfilling charts. So I don't think you would be able to make any practical use of the data you are mentioning if you just put it into the Ninjatrader historical bid, ask and last files.

If you wanted to look at buy and sell volume based on the relationship between the last prices and the current bid and ask, you would have to use the GomRecorder. Gom data files can be created by playing back Market Replay data that you can get from Ninjatrader, but only for certain instruments. And, frankly, that process is a pain.

Even if you haven't done any recording of Gom files, Gom indicators can give you this information by reading the Ninjatrader historical files, with the limitation that the buy and sell volume would be calculated by the UpDownTick method rather than by comparing last traded price to bid and ask.

Also, if you download historical data from DTN and have QCollector, you can convert the data directly into Gom files, bypassing the replay rigamarole. I am not the expert on that but I know it can be done, although the specifics of this explanation might be a little off. The data from the vendor you mentioned can probably be used, too.

To summarize, any data stream that has the bid, ask and last prices in the correct chronological order will give the buy sell volume based on the bid ask comparison. The problem is that when you import the data into Ninjatrader, the ordering is lost. This should be corrected in Ninjatrader 8, where the time stamps will be much more precise.

"If we don't loosen up some money, this sucker is going down." -GW Bush, 2008
“Lack of proof that something is true does not prove that it is not true - when you want to believe.” -Humpty Dumpty, 2014
“The greatest shortcoming of the human race is our inability to understand the exponential function.”
Prof. Albert Bartlett

Last edited by Zondor; February 2nd, 2013 at 04:52 PM.
Reply With Quote
The following user says Thank You to Zondor for this post:
 
  #3 (permalink)
Elite Member
Chicago Illinois USA
 
Futures Experience: Advanced
Platform: Ninja Trader
Broker/Data: IB
Favorite Futures: duh hammer!
 
wldman's Avatar
 
Posts: 2,070 since Aug 2011
Thanks: 967 given, 2,626 received

Zondor


Could I get open, high, low, and close from time oriented bars sent from NT to an excel file?

Reply With Quote
 
  #4 (permalink)
Site Administrator
Manta, Ecuador
 
Futures Experience: Advanced
Platform: My own custom solution
Favorite Futures: E-mini ES S&P 500
 
Big Mike's Avatar
 
Posts: 46,240 since Jun 2009
Thanks: 29,352 given, 83,230 received

As was mentioned, can't do it with NT7 since it doesn't support historical bid/ask synchronized data. Use GomRecorder instead.

https://futures.io/elite-circle/6802-gomrecorder-2-a.html

https://futures.io/elite-circle/7279-official-gomrecorder-qcollector-data-sharing-thread.html

Mike

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

Need help?
1) Stop changing things. No new indicators, charts, or methods. Be consistent with what is in front of you first.
2) Start a journal and post to it daily with the trades you made to show your strengths and weaknesses.
3) Set goals for yourself to reach daily. Make them about how you trade, not how much money you make.
4) Accept responsibility for your actions. Stop looking elsewhere to explain away poor performance.
5) Where to start as a trader? Watch this webinar and read this thread for hundreds of questions and answers.
6)
Help using the forum? Watch this video to learn general tips on using the site.

If you want
to support our community, become an Elite Member.

Reply With Quote
 
  #5 (permalink)
Site Administrator
Manta, Ecuador
 
Futures Experience: Advanced
Platform: My own custom solution
Favorite Futures: E-mini ES S&P 500
 
Big Mike's Avatar
 
Posts: 46,240 since Jun 2009
Thanks: 29,352 given, 83,230 received


wldman View Post
Could I get open, high, low, and close from time oriented bars sent from NT to an excel file?

Historical output:
https://futures.io/download/ninjatrader-7/misc/339-download.html?view

Real-time via DDE:
https://futures.io/elite-circle/7307-dionysus-xmas-present-ninjatrader-excel.html

Mike

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

Need help?
1) Stop changing things. No new indicators, charts, or methods. Be consistent with what is in front of you first.
2) Start a journal and post to it daily with the trades you made to show your strengths and weaknesses.
3) Set goals for yourself to reach daily. Make them about how you trade, not how much money you make.
4) Accept responsibility for your actions. Stop looking elsewhere to explain away poor performance.
5) Where to start as a trader? Watch this webinar and read this thread for hundreds of questions and answers.
6)
Help using the forum? Watch this video to learn general tips on using the site.

If you want
to support our community, become an Elite Member.

Reply With Quote
The following user says Thank You to Big Mike for this post:
 
  #6 (permalink)
Elite Member
New York City, NY/USA
 
Futures Experience: Intermediate
Platform: NT
Favorite Futures: 6E, ZN, CL
 
Posts: 121 since Dec 2010
Thanks: 3 given, 74 received

in realtime, when using a bid or ask chart and plotting its respective volume you can get multiple time stamps with the same time when trading is moving fast. Why would imported data be any different if its in the same format?

I am not looking to run a strategy or back test anything.

I have a BID tick chart and an ASK tick chart and I want their respective volume plotted in a standard indicator; NOT THE LAST.

Reply With Quote
 
  #7 (permalink)
Membership Temporarily Revoked
Minsk Belarus
 
Futures Experience: Beginner
Platform: Ninjatrader
Favorite Futures: ES
 
Posts: 6 since Apr 2011
Thanks: 0 given, 1 received

converter

Is there any converter available that could create a single file after export of tick data from NT? For import to other packages...

Reply With Quote
 
  #8 (permalink)
Membership Temporarily Revoked
Minsk Belarus
 
Futures Experience: Beginner
Platform: Ninjatrader
Favorite Futures: ES
 
Posts: 6 since Apr 2011
Thanks: 0 given, 1 received

NT

Or maybe someone can explain how to import tick data from NT into Marketdelta?

Reply With Quote

Reply



futures io > > > > Importing BID/ASK TICK data

Thread Tools Search this Thread
Search this Thread:

Advanced Search



Upcoming Webinars and Events (4:30PM ET unless noted)

Jigsaw Trading: TBA

Elite only

FuturesTrader71: TBA

Elite only

NinjaTrader: TBA

Jan 18

RandBots: TBA

Jan 23

GFF Brokers & CME Group: Futures & Bitcoin

Elite only

Adam Grimes: TBA

Elite only

Ran Aroussi: TBA

Elite only
     

Similar Threads
Thread Thread Starter Forum Replies Last Post
Scalping off the Tick Chart? Bid, Ask or Last? Veritasig Traders Hideout 5 December 10th, 2012 02:15 AM
NinjaTrader - Importing text file tick data DarkPoolTrading NinjaTrader 7 May 17th, 2012 09:08 AM
Importing Tick Data to NT7 tc12357 The Elite Circle 2 February 28th, 2012 04:14 PM
Vote 10 years tick data futures synced bid-ask-trade bomberone1 MultiCharts 1 October 23rd, 2011 07:29 AM
PLT_NTDataCollect store bid ask tick data to its local database? rcabri Trading Reviews and Vendors 3 December 27th, 2010 11:00 AM


All times are GMT -4. The time now is 02:40 AM.

Copyright © 2017 by futures io, s.a., Av Ricardo J. Alfaro, Century Tower, Panama, +507 833-9432, info@futures.io
All information is for educational use only and is not investment advice.
There is a substantial risk of loss in trading commodity futures, stocks, options and foreign exchange products. Past performance is not indicative of future results.
no new posts
Page generated 2017-12-14 in 0.13 seconds with 35 queries on phoenix via your IP 54.221.76.68