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I'm using TWS/IBKR, (slow and limited) $15 month, as my broker AND data connection for Ninjatrader. I need to use Volume type Indicators (VWAP) but it doesn't provide Historical TICK data (required) from TWS to backtest my strategies and ATMs. I'm specifically trading the ES only, at present. Does anyone know a reasonably priced data provider that offers HISTORICAL TICK DATA? Thanks
Can you help answer these questions from other members on NexusFi?
NinjaTrader’s Order Flow + VWAP includes both a Standard and Tick resolution providing a fast-loading VWAP alternative.
Standard: This resolution mode can save valuable computing time and resources by calculating the VWAP on a bar-by-bar basis. Rather than recalculating with each incoming tick, the VWAP calculates once per bar.
Tick: This is the conventional method of calculating VWAP values and recalculates with each incoming tick of price data.
Although, i have access to tick data i never use tick resolution for VWAP. Differences are minors anyway or not significant enough to justify using tick resolution. Try to see if you can test using the Standard resolution.
VWAP specifically is possibly a bad example to use. However, speaking from experience, other indicators that are primarily volume or orderflow delta based can make a big difference as more volume comes in. Therefore it makes more sense to use tick resolution for chart update in some cases.
