BidAsk Historical...

[NinjaTrader_JoshP]

dnoff,

Unfortunately additional educational reference samples are not available yet, but to move things along it really is fairly simple.

All you have to do is think of it as a multi-series strategy. You use Add() to add the Bid/Ask bar objects and then you can access it just like how you would access different bars in a multi-time frame strategy.

Add("AAPL", PeriodType.Minute, 1, MarketDataType.Ask);
Add("AAPL", PeriodType.Minute, 1, MarketDataType.Bid);

[dnoff]

dnoff,

Unfortunately additional educational reference samples are not available yet, but to move things along it really is fairly simple.

All you have to do is think of it as a multi-series strategy. You use Add() to add the Bid/Ask bar objects and then you can access it just like how you would access different bars in a multi-time frame strategy.

Add("AAPL", PeriodType.Minute, 1, MarketDataType.Ask);
Add("AAPL", PeriodType.Minute, 1, MarketDataType.Bid);

Thanks for that - I guess my question is what happens with these data streams though when they are all at the second interval...consider the normal occurrence in real time over a 1 second timeframe:

bids:     b1 b2b3 b4 b5
asks:     a1 a2a3    a4    a5  
trades:     t1    t2    t3

so when using OnBarUpdate, the historical data is now all with the same 1 second timestamp, so do I get the same sequence of events individually played back at the intervals here, or is it that I get them all at the start of the second interval?? (I suspect that later, but I just want to clarify).

I need to know that t1 had b1 and a1, and t2 had b4 and a3 and t3 had a4 and b5 etc...

What I try to do in some indicators is to track bid and ask price at the time a trade is executed and perform certain calculations etc (like a market profile) so knowing what the bid/ask is at the time a trade turns up in OnBarUpdate is the "sauce" that makes that run.

Dnoff

[NinjaTrader_JoshP]

Dnoff,

From what you have outlined on what you are trying to do you can take a step back and completely drop this historical bid/ask deal. You can use OnMarketData() or OnMarketDepth() to achieve what you want. The bid/ask events received before the last event = the current bid/ask prices as of that last trade.

When using a 1 sec interval though, CalculateOnBarClose determines when you will receive the events. Provided you set it to true, then it will update sequentially in the order you add the Bar objects. If primary = last, then you will receive lasts before bid/ask which is not what you want. You want to put last as the tertiary series to achieve the sequence you want.

[dnoff]

Dnoff,

From what you have outlined on what you are trying to do you can take a step back and completely drop this historical bid/ask deal. You can use OnMarketData() or OnMarketDepth() to achieve what you want. The bid/ask events received before the last event = the current bid/ask prices as of that last trade.

When using a 1 sec interval though, CalculateOnBarClose determines when you will receive the events. Provided you set it to true, then it will update sequentially in the order you add the Bar objects. If primary = last, then you will receive lasts before bid/ask which is not what you want. You want to put last as the tertiary series to achieve the sequence you want.

Thanks Josh,

I use OnMarketData today - this is how my indicators work. The issue that everyone commenting on here faces, is that the indicators only work going forward or with captured reply data. Thus we are stuck with the situation whereby to test/validate any trading strategies we need to create our own back-testing stats/systems using replay data.

I also cannot refresh any indicators or charts during the day without losing all previous calculations - accidently hit "f5" or have to reload any chart data and our calcs are gone and lost, which seems very archaic to most here.

To have systems developed that are not recoverable during the day is a tenuous position at best, which is why there are so many comments about the feature/capability we thought we were going to get in NT7 and really are not.

[dam5h]

i agree, this is a serious bummer!

i may be getting a refund (still in first 30 days) on my lifetime license [NinjaTrader_Dierk: removed reference to competitive product]. you only need to know if last was best bid or best offer. comon guys: its just one more bit (1 or 0).

for that matter i'd settle for a volume profile that uses historical ticks without bid/ask distinction. just fill in the profile back as far as i like with out starting fresh everytime i add a new chart. like the grey bars on the gom software, thats better than nothing!

[NinjaTrader_Dierk]

I removed the reference to a competitive product. Please contact sales AT ninjatrader DOT com if you wanted to get a refund while on our 30 days money back period. Thanks

[dam5h]

sorry about that competitive product thing, i was simply speaking my mind--it certainly wasn't designed to compromise any NT loyalty here on the forum.

any comment on the possibility of a profile without bid/ask distinction? the gross magnitude of volume at price is most important on the larger time frame, not so much whether it was at the bid or ask.

personally, i'd rather not ditch your product as i do love the dom and forthcoming nt7 looks like a nice product, but i'd appreciate if you'd clarify whether or not NT7 will have a more useful profile without relying on user's machine running uninterrupted 24/7.

thanks in advance

[NinjaTrader_Dierk]

Not sure I follow. In post #27 and #21 of this thread I provided background on our business decision.

Furthermore: with NT7 you can download replay data from our server. Thus I'm not sure why you feel you needed to have your PC running 24/7.

[dam5h]

this replay thing sounds interesting, how quickly does this happen? you're suggesting that every time you refresh the chart you would need to download something separate than what happens when you create a new chart and the prices populate? any documentation on this? is there intelligent logic that appends old files to the new updated data since last download.

i studied the thread (including your previous posts 21 and 27) and it seems there may be a disconnect in what some folks are referring to and what you are talking about. i am confused as to how those posts answer my previous questions, i could be missing something entirely though.

i am not interested it every bid/ask event from the exchange, that would be a ton of data. i'm only interested in whether or not the "last" price was at the bid or the ask. i'm mainly interested in the volume profile, and it seems that my fellow recent complainers are on the same page. i would love to see something like GOMVolumeProfile available natively using data from the NT server, without having to keep an extra file on hand (be it a replay download or self recorded).

thanks again.

[NickA]

Not sure I follow. In post #27 and #21 of this thread I provided background on our business decision.

Furthermore: with NT7 you can download replay data from our server. Thus I'm not sure why you feel you needed to have your PC running 24/7.

That sounds like it might be a life saver. Does replay data have correctly sequenced (the same sequenced as occured in real time) bid/ask/last data?

[dam5h]

in previous posts he described it would be time stamp dependent with 1 sec granularity.

[GoldStandard]

This is the one single issue that still has me, and a large number of other people I know, looking at other platforms. There are so many things that depend on this information to work correctly... indicators, backtests, optimization. Without it all the other great features of Ninja are cast into doubt because you're not sure if you can rely on them. Without reliable data, nothing of reliably high quality can be built on top of it. It doesnt matter how many great features or indicators the platform has if you can't trust the data powering it.

I've been trying to interest an experienced trading systems programmer I know in working with Ninjatrader and when he found out that the bid/ask data he would have to use for backtesting is not in order he lost interest pretty quickly.

[timmyb]

i agree, this is a serious bummer!

i may be getting a refund (still in first 30 days) on my lifetime license [NinjaTrader_Dierk: removed reference to competitive product]. you only need to know if last was best bid or best offer. comon guys: its just one more bit (1 or 0).

for that matter i'd settle for a volume profile that uses historical ticks without bid/ask distinction. just fill in the profile back as far as i like with out starting fresh everytime i add a new chart. like the grey bars on the gom software, thats better than nothing!

I am on the 3 month paying plan and this will be my final 3 months also. We requested this feature over a year ago and Ninja chose to ignore its customers in this behalf. I suggest anyone else also disgusted with current bid/ask data errors and storage to state they intend to move also.

[timmyb]

Not sure I follow. In post #27 and #21 of this thread I provided background on our business decision.

Furthermore: with NT7 you can download replay data from our server. Thus I'm not sure why you feel you needed to have your PC running 24/7.

The reason they are runnign 24-7 is that we trade futures. We need 24 hour bid/ask data. Since ninja doesnt allow for proper tick data storage we must record it ourselves with GOMCD. Without the 24 hours data what most of us do with the bid/ask data is useless. Just try saving 3 days of data yourself then go load a new indicator and see it all dissapear. OH JOY

[NinjaTrader_Dierk]

>> also disgusted with current bid/ask data errors a
Not sure what "bid/ask errors" you are referring to. Please clarify. Thanks