How NT7 factor Ask/Bid in Backtesting?

[maxima]

That what I do Cheers!

[Nuno Renato]

No reply from Ninja Trader development team. I would be interesting to know if they are interested or not in changing anything, or making any comments

[NinjaTrader_Dierk]

At this time there are no plans "to change anything" nor to comment beyond Ray's statements below. Thanks

[maxima]

Could you please tell in what format shall I supply Bid/Ask?

For last I use NT6.5 format as per quote below and it works:

Tick Format
Each tick must be on its own line and fields must be separated by semicolon (.


The format is:
yyyyMMdd HHmmss;price;volume


Sample data:
20061107 000431;1383.00;1
20061107 000456;1383.25;25

[GoldStandard]

would using 1-range bars for orders help?

One method mentioned here is using 1-range or 1-tick bars for your orders. Wouldn't this be accurate within +/-1 tick of the real price for backtesting?

[maxima]

No it wouldnt. I always tested it with 1-tick interval as an execution timeframe but absence of Bid/Ask rendered the result invalid.

[NinjaTrader_Ray]

Could you please tell in what format shall I supply Bid/Ask?

For last I use NT6.5 format as per quote below and it works:

Tick Format
Each tick must be on its own line and fields must be separated by semicolon (.


The format is:
yyyyMMdd HHmmss;price;volume


Sample data:
20061107 000431;1383.00;1
20061107 000456;1383.25;25

Same format for last price is used.

[maxima]

Same format for last price is used.

But what meaning of volume here?

Are you saying I need date/time and bid or ask price with semi-colon.. What is volume for?

[NinjaTrader_JoshP]

maxima,

They are separate files. Bid prices and ask prices are their own files just like how last prices are imported in its own file.

You would provide a file that is all bid prices, provide the volume at that bid price and when you import you have the option to choose if you are importing last, bid, or ask prices.

[maxima]

Right. That what I needed.

Just to make sure...

Bid/Ask import file has to be:

yyyyMMdd HHmmss;price;volume

where price = bid/ask price at that time and volume = volume at bid/ask


Or in other words = bid/ask import files are volume at bid/ask not bid/ask time change as I thought before.

[NinjaTrader_JoshP]

That is correct.

[maxima]

Sold!

Thank you

[MarkT]

get a real data feed ... go fibre! or go to the pit

Aha! I was looking for something like that! Many thanks!
...
Now I need to find proper data with somewhat correct ask and bid and this should be solved!

Thanks again.

Your best bet to get good data is to have a fibre cable feed direct off the server at the exchange. Anything less than that can only be considered an approximation. Your use of 'somewhat' is accurate ... all we will ever see at the retail trader level is 'some what like reality' just like we can say sea water is salty ... reality is that the salinity, ph and mineralization mix changes with each passing moment ... and such is true with the capability of having accurate data to trade from ... good luck wuth your search!

Mark