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Generating Minute Bars from Historical Tick Data on NT8


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Generating Minute Bars from Historical Tick Data on NT8

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  #1 (permalink)
 futures5959 
Orlando FL
 
Experience: Intermediate
Platform: NinjaTrader
Trading: Emini ES
 
Posts: 9 since May 2019
Thanks: 0 given, 2 received

I’m importing historical tick data into NT8 and noticed there’s an option that says “Generate Minute bars from imported tick data”.

I’ve already imported the data with this option unchecked and noticed that when using playback on this historical data I am able to see either tick or minute bars on my charts, I'm not restricted to tick charts. Does anyone know what would be the difference between this minute data that I currently see and the minute data that I would see if I check the option to generate minute bars from tick data before importing?

I tried looking in the NT8 help guide and couldn’t find an answer to this.

Thank you

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 rmassip 
Barcelona
 
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Hello,

  • In the visualization of the bars in a graph, you will not appreciate any difference, since in a 1minute bar it only has the OHLC data (Open, High, Low, Close).
  • On the other hand, if you use this data to backtest a strategy, you will appreciate a difference, since in the body a 1min bar you do not know how it was formed (in what price order), and with the resolution of ticks you can.
    I.E. a 1min bar from 2780 to 2790, you will not know if the price first reached 2782 or 2786, you only know what happened, but not in what order. With data in ticks if you can know in what order, which directly influences the results of a backtest of a strategy

Best Regards,

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Last Updated on July 30, 2019


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