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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?
Can you help answer these questions from other members on NexusFi?
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.
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I keep getting requests for people to share their GomRecorder data. A few threads have been started on the subject but not many are following thru it would seem.
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All – I got a bunch of data off this forum yesterday which I will be using to do some probability analysis of some of the setups I use. This is excellent stuff and in return I would like to give something back.
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.