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you guys aware of any way to export data from a NinjaTrader replay file? I have my own data store and would like to access some replay files to extract the data.
Any tools around (preferably scriptable?)
Can you help answer these questions from other members on NexusFi?
I've converted the indicator ExportChartData to a Strategy to make it easier to apply against a basket of instruments. Thanks to BigMike and Sam for some older comments and code that inspired this :).
Next releases will include enums to select various …
Not the greatest code, but helpful for some situations .
Well, technically I look for an export of the market feed (not only trades, but also bid/ask) for loading into my own data store for backtesting Subsecond pretty much "needed" thanks to the idea of taking book changes into account
I've heard it said that finalg (who make the ninjatrader version of market delta's footprint chart) use data from market replay to populate their footprint charts. However it's not a supported function, which means they either had some inside knowledge about the replay format from NTs developer team, or they reverse-engineered it themselves.
Also it sounds like some people are having success getting the data out of replay files just by playing it:
Learned the hard way that the recording indicators from Gomi & Zondor sometimes have gaps and for what ever reason fail when in binary mode. They also get super fragmented (150+ fragments at the end of some days).
Eventually will have to bit the bullet …
. Not as nice as accessing it directly but it might be a practical way to get the data out.
I'm curious about your backtesting efforts. Are you planning to use ninjatrader indicators in your backtesting, or are you just wanting to use ninjatrader to get the data out of replay files?
