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Ninjatrader, GOM and backfill, Nasdaq Data-On-Demand service
my name is Andi and I have several questions about Ninjatrader, GOM and backfill. In the last few weeks I read a lot about ninjatrader, Gom etc.. At the moment I am trying to make a decision which Software fits my needs the most and to be honest I am a little bit confused.
What I want to do:
I want to backtest strategies on footprint charts and delta volume for at least 6 months better a few years for stocks and futures.
So my question is how Do I get historical data for Footprint Charts?
1) I read that there are a lot backfill data in the bid /ask data thread“ (elite section). Are in this thread historical data for some months for example for the es?
2) If I am buying Qcollector can I download historical data for footprint charts and delta volume? Do I need a data provider which supports Historical Bid/Ask Tick Data? Which dataprovider would you recommend?
3) Does anybody ever tried to convert data from Nasdaq Data-On-Demand service to GomRecorder format? If some one is also interested in that maybe we could start a project together.
I know there are already some threads out there with a similar topic but I just do not get along - and before I want to spend money for elite section, Qcollector etc. I want to get clear if it is working. In addition I am thinking about to use MarketDelta but at the moment I would like to use NinjaTrader more than MarketDelta.
It would be nice if you could give me some short answers
Thanks
Best Regards
Andi
Can you help answer these questions from other members on NexusFi?
1) There are multiple years of tick data for many products including ES in Elite section.
2) IQFeed is generally regarded as best. No need to buy QCollector, there is an elite project called "BaBAR" that will do the same and is free for Elite Members.
3) Gomi has a tool that will convert from many popular sources to NinjaTrader Gom binary format, but Nasdaq on demand is not one of them to my knowledge. You would find a list in the main GomRecorder or main data sharing threads.
MarketDelta is an out of the box complete solution in terms of historical bid/ask backfill and Footprint charts or Volume/Market profile charts, Cumulative Delta charts, etc.
NinjaTrader can do all of it, but not out of the box. It will require third party tools like Gomi's framework to do it.
thanks a lot for the fast replay - that helped a lot. The only thing I do not understand is how the historical backfill with IQFeed functions. I thought that for footprint charts and deltavolume historical backfill with Bid/Ask necessary is.
Yes, it is necessary, and IQFeed provides it. NT7 does not natively support backfill of this nature, but you can do it with the Gom framework (Elite members) and data sharing thread (Elite members).
