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The Truth: NinjaTrader
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The Truth: NinjaTrader

  #241 (permalink)
Elite Member
Lagos, Nigeria
 
Futures Experience: Intermediate
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Zondor View Post
If, at the time of adding a trade price to the Last file, NT also recorded the bid and ask prices, it would reduce the problems caused by the coarse timestamping.

I suggested that they do this by adding four decimal points to the Volume field. The first two would be the offset in tick size units between the last and the bid, and the second two would be the offset in tick size units from the last to the ask. Then there would be no need for bid and ask files anymore.

The Volume indicator could easily be set to ignore the decimal portion of the stored values.

I posted this in the NT forum and they ignored it. They are truly in their own world.....

Zondor,

Please, see my post 223 above. It seems you've NOT read it.

Lolu

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  #242 (permalink)
 Vendor: www.traderwerks.com 
Taipei Taiwan
 
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Zondor View Post
If, at the time of adding a trade price to the Last file, NT also recorded the bid and ask prices, it would reduce the problems caused by the coarse timestamping.

I suggested that they do this by adding four decimal points to the Volume field. The first two would be the offset in tick size units between the last and the bid, and the second two would be the offset in tick size units from the last to the ask. Then there would be no need for bid and ask files anymore.

The Volume indicator could easily be set to ignore the decimal portion of the stored values.

I posted this in the NT forum and they ignored it. They are truly in their own world.....

I don't think changing the volume from a long ( in NT 7 ) to a double would be a good idea considering that it broke a lot of free indicators when they moved from an int to a long.

What about thin markets where the bid/ask changes without a last price? When the bid ask price changes without a trade occurring you would send a Last trade with no volume and make up a last price for the volume offsets ?

It would be better just to timestamp the data correctly.

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  #243 (permalink)
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Szczecin
 
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Actually the timestamp would be bearable (not that it is not a stupid ninja-trader like idiocy to have only a second resolution) if they would maintain order - i.e. store elements in ONE file. Even with a higher timestamp it is sometimes really hard to regenerate proper order in really fast markets

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  #244 (permalink)
Just starting out...
London
 
Futures Experience: Advanced
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I don't think there's any need to start appending order book data to transaction data. The data should be kept clean and simple, just as it is pumped out from the exchange. All NT needs is a method of replaying it in the correct sequence. The process of keeping it in sequence is trivial. It could all be recorded to a single file (overkill IMHO), maintain a sequence number which is appended to each event in the separate files, record a tick (CPU tick, not instrument tick) precision timestamp. There are loads of methods. I mean, this stuff really isn't rocket science.

But I don't think NT are really interested in users such as ourselves who demand this level of performance. The product isn't really targeted at us...

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  #245 (permalink)
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Guys... have you tried to buy historical data with ms timestamps? us (microsecond. How do you do Greek characters with this thing?) timestamps? I haven't seen that from (my admittedly superficial screen time) TT, CGQ, PATS, or RTS.

Not playing the devil's advocate here but in the milli-s and micro-s market replay/historical database space retail/PA traders tend to roll their own anyway. If you are a player you would have kdb or similar for the tick farm.

Are we getting too far from the original post?

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  #246 (permalink)
Just starting out...
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MXASJ View Post
Guys... have you tried to buy historical data with ms timestamps? us (microsecond. How do you do Greek characters with this thing?) timestamps? I haven't seen that from (my admittedly superficial screen time) TT, CGQ, PATS, or RTS.

Not playing the devil's advocate here but in the milli-s and micro-s market replay/historical database space retail/PA traders tend to roll their own anyway. If you are a player you would have kdb or similar for the tick farm.

Are we getting too far from the original post?

There are a million and one timeseries database solutions out there like KDB. Storing and replaying the data once you get hold of it is easy. It's getting hold of decent quality tick data that is expensive. All the serious players get their data direct from the exchanges. For those that focus on CME instruments, their DataMine service offers some good products and their prices aren't too ridiculous.

My point is that none of these are really accessible to the average retail player with limited time and budget. NT offers them tick data recording, replaying and backtesting all in one package. It's just that due to flaws in the NT recording/replaying process the backtesting results are at best inaccurate and at worst dangerously misleading.

Anyway, yes, you are right. We are taking this thread well off topic.

Over and out.

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  #247 (permalink)
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NetTecture View Post

Storing historical data in separate files for ticks, bid / ask and with a 1 second resolution would mean any stream reconstruction is simply impossible.

They do, it is.


Game over for me until they change it (7.5 maybe?)

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  #248 (permalink)
Elite Member
arizona
 
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correctly ordered/timestamped data

It might help if more of us post in NTs support forum about this. They get so many posts from people requesting UI and charting changes and such, that they probably think this is where they should be focusing. There may not be anyone on NTs staff who even uses NTs autotrading features, so it might require more feedback from those who do want to use it to convince them that the demand is there.

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  #249 (permalink)
Elite Member
Dallas, TX
 
Futures Experience: Intermediate
Platform: NinjaTrader, MultiCharts, TradeStation
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NT 7 seems stable enough

I am running through the NT threads as I am trying to determine which platform I should code my day trading strat on... This post has a real earful.

I have both TradeStation and NinjaTrader accounts, and agree that TS is an outdated product and generally very low level support people there. Even there forum is losing speed (5 years ago it was awesome). TS has great charting but they have failed to update their product.

Ive been trading with NT for 2 months now (including NT 7) and have had no issues with crashes or anything like it (except for cases where I goofed an indicator...). Its very stable and the best "trading from the charts" that Ive seen. I no longer use DOM/ladder given that feature.

EasyLanguage is funky, however there's many features that evolved over time and it is powerful. NS is probably superior in capability (C#), however many "standard" C# methods are not supported and have caused me problems. Ive spoken with others as well as exchange support - consensus is NT has a niche but esp thier strategy capability is severely lacking.

Overall I like NT for day trading, and still looking for a strategy platform (MC charts is the interest of the week). RTS seems best in class, however $20k/month is restrictive.


Last edited by TexasTrader; April 30th, 2010 at 02:51 PM.
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  #250 (permalink)
 R.I.P. 1960-2010 
 
Futures Experience: Advanced
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NT7 is screaming fast on an Intel i7 processor.

My system can handle even the most crazy price action and not blink, so far.
I am running up to 12 recording indicators 6 Gom & 6 Zondor, in 4 workspaces stuffed with custom Indy's all using ladders & recorded indicators.

Here is what the resource manager shows. Oh, it is using less than 2G of memory.

R.I.P. Andy Zektzer (ZTR), 1960-2010.
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