BidAsk Historical...

[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]

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.

[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]

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]

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]

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!

[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.

[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,

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,

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]

To clarify: Please read my posts #21 and #27 to understand what is available and what not. Thanks

Dierk,

Thanks for the reply - I know you guys have been flat out stablising the Beta and getting this release advanced. A while ago this was discussion of having samples of how to use the historical bid ask capability - has that been developed yet??

Dnoff

[NinjaTrader_Dierk]

I am also disappointed that the historical bid ask data will not be available as a core functionality.

For now, would it be possible for Ninjatrader HQ to collect the GomRecorder ticker data 24 hours per day and make it available for download, so that those of us relying upon this data would not need to run our computers 24/7?

To clarify: Please read my posts #21 and #27 to understand what is available and what not. Thanks

[NickA]

I am also disappointed that the historical bid ask data will not be available as a core functionality.

For now, would it be possible for Ninjatrader HQ to collect the GomRecorder ticker data 24 hours per day and make it available for download, so that those of us relying upon this data would not need to run our computers 24/7?

I can't help wondering if there is some sort of ingenious interim solution that would have low impact on existing architecture. I feel there must be, there nearly always is.

I wonder how the data is held on NT's servers? Is still a financial data series there?

I don't think anyone would disagree that this is a fundamental flaw in architecture. There will never be a god time to deal with it, but it seems to me in beta is better than after NT7 is live. My concern is that this won't see the light of day until NT 8.0.

[Ricam]

Alternate Means of Providing Historical Bid Ask Data

I am also disappointed that the historical bid ask data will not be available as a core functionality.

For now, would it be possible for Ninjatrader HQ to collect the GomRecorder ticker data 24 hours per day and make it available for download, so that those of us relying upon this data would not need to run our computers 24/7?

[NinjaTrader_Dierk]

Not sure what promises you are referring to which would not be met and why you feel like falling back to NT7.