BidAsk Historical...

[paulg]

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.

Clearly the real market for Ninja is the 3rd party software that can produce good-looking indicators that seem to work wonderfully in realtime (maybe) but they are worthless when you read the backtesting results.
This remind me the so-called bouncing ticks issue in mid-90' when trading systems developed with TradeStation showed overvalued P&L (obviously positive) results to be published on the web or on the magazines.
Just my 2 cents.

[timmyb]

What is teh bid/ask there in the historical data manager for if we arent able to download it. I am confused even more now

Hi All,

We do realize that there is demand for historical bid/ask data associated at a per tick level. We also realize that this is important for some of our users. Our focus now is to get NT7 stable and into production. Once we have hit that milestone, we will review this requirement to see what can be done. Thanks for your understanding.

[NinjaTrader_JoshP]

timmyb,

There is a clear line drawing the difference between what is being discussed in this thread and what is in the Historical Data Manager.

What is being asked for here is an exact tick by tick storing of the sequence all bid, ask, last, etc. come in on. What is available is just a stream of bid, stream of ask, and stream of last prices. Which one comes first is unknown when they share the same timestamp.

[Ricam]

Bid Ask Data might work with existing timestamps

What everybody wants to to know is what the current bid and ask prices were for each trade. This information is easy to get in real time. This suggestion about how to make it available for historical data DOES NOT require any changes to the time stamping. However, changes would have to be made to the internal workings of Ninjatrader, which appear to be DLL's that read and write the historical and replay data to the binary data files.

In each series (bid, ask, last) there is a VOLUME field. Add a decimal point to the volume. After that add two digits. These are to be ignored (truncated) when a chart object fetches volume data from the historical data store. However, these digits allow the current bid and ask prices to be recorded as offsets from the Close price.

In the Last file, the first added digit signifies how many TickSizes separate the Close price from the current Bid price, and the second digit signifies how many TickSizes separate the Close price from the current Ask price. One value in each series can be reserved for "out of range/unknown". (So let's say 0 = out of range, 1 = 4 ticks below, 2 = 3 ticks below.... 5 = no difference, 6 = 1 tick above.. etc)

In the Bid file, the first added digit signifies how many TickSizes separate the Bid price from the current Close price, and the second digit signifies how many TickSizes separate the Bid price from the current Ask price.

etc.. You get the idea.

Some variation of this should work without rocking the boat too much. Or have I been dreaming......

[tulanch]

What seems strange to me is Historic data (back testing) does not seem to have this information readily available, but when I use Market Replay of previous days...wala it's there.

[NinjaTrader_JoshP]

tulanch,

Market Replay has it available because it is literally recording the market exactly how it played in the exact order things occurred. Backtesting does not have this. It is only running on one stream of data, usually the last prices. You can add additional data streams for bid and ask, but you do not have the exact sequence things occurred at. You can only run off of timestamps.

[laredo]

Does the 'market re-play' store this data on my PC?
In this case the hist. Bid Ask

Tks

[tulanch]

as far as I know it does, but I've not dug into it, as it's tucked away in the DB within the Ninja folder structure I belive.

I had to turn the collection aspect on in my options. This action causes Ninja to store the entire session data while I am logged in. I only focus on the YM.

I have turned off all updates, time outs, power saving features, etc... and let my machine run each day for the entire session.

I then just use the connect -> market replay feature and my bid/ask indicators work great.


I have months of this data segmented by day. I "practice" or test my indicators this way. (I would think someone could build a business around suppling data in this format) Another interesting twist is if/when you hit re-freash button (wish I could turn that off) you can stop the replay, rewind it, restart it, and wala you get the bid/ask indicator display back...it works perfectly if I fast forward the replay (even 500 times faster).


enjoy

[laredo]

I wonder why Big Mike trading is publishing that if comes off the NT servers .

[laredo]

In the same fashion I assume that ensign software supplies back up hist.data via DTN.

[gregid]

I wonder why Big Mike trading is publishing that if comes off the NT servers .

The market replay data Big Mike is providing on his forum is not the same as NT server market replay. He and other users of the forum upload market replay that they recorded themselves using NT6.5.

The NT market replay server data is only available for NT7

[mrlogik]

potential bug?

Hey Guys,

I wrote up a test indicator to get historical tick data via OnBarUpdate, and also OnMarketData.

The Tick data series I added to the indicator is via

Add(Instrument.FullName,PeriodType.Tick,1,MarketDataType.Bid);

In the OnBarUpdate, I filter on printing only when the Bid data stream is updated with BarsInProgress.
In the OnMarketData, I filter on printing only when the Bid data stream is updated with MarketDataType.Bid.

When I run this on my chart, I notice for every one OnBarUpdate print I get three OnMarketData calls.

OnMarketData = 1.5386
OnMarketData = 1.5386
OnMarketData = 1.5386
******************
OnBarUpdate = 1.5386

Is this expected? I would assume I should get one from each function call per incoming tick.

Indicator attached to reproduce.

NT7.14B, MBTrading data feed.

Thanks

[NinjaTrader_Ray]

Thanks for the sample code, we will investigate this.

[mrlogik]

You got it Ray. Please let me know if you need me to investigate further.

thanks

[NinjaTrader_Ray]

What instrument did you run this on?