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Tick Data Vendors
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Tick Data Vendors

  #1 (permalink)
Elite Member
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Tick Data Vendors

Hi All,

What are you guys doing for historical tick data? I've been looking around and like the tickdata.com offering as the software app that comes with it allows me to easily build different time series for use in some analytical software I use... which is great.

It won't play nicely with Ninja, though. I've just posted a q over at the NT Forum to see if there will be any other changes in NT7 in this regard.

Basically the closest output I can get to the required format has a semicolon between the date and time, while Ninja requires a space there.

What are the rest of you using for historical tick data?

Thanks!

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  #2 (permalink)
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You might try AN Futures. From this thread:
https://futures.io/elite-circle/719-historical-es-tick-data-2003-2009-a.html

It seems to work fine, it did for me at least. I am surprised actually that tickdata doesn't offer a conversion utility, you've asked them about this?

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  #3 (permalink)
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AN's data seems pretty limited in terms of scope. ZN/TY isn't there last time I checked, for example. I've started the dialog with tickdata on their conversion utility and how I can better make use of it. It really is worth checking out if you run tests on static time series data and want to build, say 1, 5, 15 second and 1, 5, 15 minute data series or whatever.

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  #4 (permalink)
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Hi folks,

MXASJ, I was too about to purchase data from tickdata.com in order to import in NinjaTrader. Therefore the issue you reveal is primary interest of mine and I'm delaying my purchase.

I will be glad if you can let me know if Ninja or especially tickdata.com offers you a decent solution about this.

Just to let you know, I backed you up on the Ninja forums.

As you can see, I understand that this will be in some way addressed in a complicated way by NT7 but then I read you're already a beta tester of NT7b5 so it sounds like this feature has not be implemented yet... can you confirm ?


Quoting 
Enhanced Data Import
Import routines are now implemented as NinjaScript objects thus, developers can develop their own custom data import routines. As default, we have added MetaStock import format in addition to two variations of NinjaTrader default format. You can now generate minute bars from imported tick data and/or generate day bars from imported tick or minute data.


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  #5 (permalink)
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To be honest I haven't looked at how to do this in Ninjascript in NT7, but thanks for the reminder and I will. In some ways CSV import is something I want out of the box.

I am sure it is something simple, but it is another step between what is and what I want to do. Ninja Support telling me to use Edit>Replace in a txt file was just silly. It doesn't work, and it is (computationally) expensesive when a day's tick data is over 50MB.

The three way dialog (Ninja, Tickdata, me) is happening so let's see where we go. As you point out Tickdata is actually a pretty cool product.

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  #6 (permalink)
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Converting from a text format to another is very simple, a 5 lines Perl program can do this for you.
I'm sure someone here in futures.io (formerly BMT) will be able to help you , it's really very easy...

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  #7 (permalink)
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sam028 View Post
Converting from a text format to another is very simple, a 5 lines Perl program can do this for you.
I'm sure someone here in futures.io (formerly BMT) will be able to help you , it's really very easy...

Thanks Sam. Yes... but that's just one more step that comes between a trade idea and the testing of it. I'm becoming a smarter guy (slowly learning Ninjascript, C#, R, and some higher maths and statistics)... but not necessarily a better trader.

Perl looks like it will do the trick but I'd be happier if either the export (TickWrite) or import (Ninja) functions handled that issue natively.

Perhaps I need to lower my expectations...

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  #8 (permalink)
Elite Member
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Breaking the holidays

MXASJ, did you get a reply from TickData ? I would too prefer a native solution against some not well deserved sweat.

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  #9 (permalink)
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Posts: 798 since Jun 2009
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Not yet. I don't want to hound them over the holiday season. I'll wait for the week of 4 January. Note I didn't see bid/ask data as part of their offering, so if your development requires that, you might need a different provider.I have been looking at Perl as well...

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  #10 (permalink)
Elite Member
Belgium
 
Futures Experience: Advanced
Platform: SaxoTrader
Broker/Data: SaxoBank
Favorite Futures: ESTX
 
Posts: 290 since Dec 2009
Thanks: 242 given, 109 received


Thanks. Do you have a website for Perl ? Can't seem to find them / don't know them.

Let's be patient. Happy new year.

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