Historical Bid/Ask data

[dkelly]

Does NT7 beta 13 save bid/ask data so when you use an indicator that relies on this (eg buy sell volume)? The data will be saved when the chart time frame is changed?

[NinjaTrader_Jason]

Hello dkelly,

Unfortunately not. A volume indicator that relies on real-time data, such as the BuySellVolume indicator, will lose its data when you change the chart interval.

http://www.ninjatrader-support.com/HelpGuideV6/PowerVolumeIndicators.html

[NinjaTrader_JoshP]

To clarify, what is available in NT7 is historical bid/ask should your data provider offer this. If you want you can also store this by adding a bid/ask Data Series to your chart. This can be done when you are opening up a chart and you choose "Price based on" bid/ask instead of Last. You will also need to have "Save chart data as historical" checked in Tools>Options>Data.

Jason's comment on the indicator itself though is accurate. Even though you have the historical bid/ask stream the indicator does require real-time data to operate so if you switch charts the info will still be lost.

[dkelly]

Thanks to both for the information.

[aviat72]

Josh

I wanted to understand this bid-ask data-series better. If I open another chart with bid-ask data-series will NT save the sequence of incoming bid-ask-last data or will it still store it separately?

If NT can save the data and allow an export of the the bid-ask-last data in sequence, some of the issues I face will be solved.

[NinjaTrader_Jason]

Hello aviat72,

If you create a new data series and set 'Price based on' to Ask or Bid, the data series will be plotted as per the bid or ask price. Data will be saved as either Ask or Bid data in the Historical Data Manager separately.

You can subsequently export this data via the Historical Data Manager as well.

[aviat72]

Jason
I guess the crux of my question was whether it is possible to save and export the sequence of bid-ask-last ticks. Currently the time-stamps are not detailed enough to regenerate the correct sequence from the separate bid-ask-last streams.

[KBJ]

Historical Bid/Ask Data with Correct Volume is BIGGEST Issue With NinjaTrader

There are a number of solutions that have been proposed.

GOM's indicators help somewhat, but in my opinion are too complicated for the average individual to be able to understand well enough to use this technique for developing other indicators using bid-ask-historical data.

Handling this is the most important issue in NinjaTrader.

I'm not making this up, or blowing this out of proportion.

This has been recognized as such by other Ninja users far before I saw it myself back in 2007.

The most popular support issue on the forums by a large factor is "Delta Buy/Sell Volume" which is all about bid-ask historical volume.

And part of this topic got broken out into "All GomRecorder Indicators" and other topics that don't show up on the first page of topics (sorted by number of replies).

Here's what I'm talking about...



As you can see, it's huge.

I really like NinjaTrader, but as the support programmer for our trading group, I'm getting pressure to take some action in the area.

Thus, I'm (again) posting a request for development support in this area, and please think positive on this, because it can be done.

[LuboLabo]

DTN market access

Why is not available a service like DTN market access that provides 8 days bid ask historical data?

This would solve the problems of the indicators that use the bid ask data.

Lubo.

[NinjaTrader_JoshP]

Lubo,

Having access to historical bid/ask is already available in NT7. That does not resolve the issue that the workaround KBJ is highlighting addresses because indicators in real-time still will calculate differently unless you are generating it off of 1-tick bid/ask series which is likely not part of the chart when you are viewing something like a 1min chart, etc.

KBJ,

Please let me reassure you that this is on our feedback list. Right now our priorities are to stabilize NT7 and address bugs. We will be able to reassess feedback and see what we can do after this step. Thank you for your patience.