API/Data feed question

[bluelou]

I'm a NinjaTrader and IQFeed subscriber using tick data in an automated strategy. I'd like to be able to filter the IQFeed tick data feed received by NT. For IQFeed, this is fairly easy since developers have access to the IQFeed API. But, once I've customized the IQ Feed API I need to connect this to NT. How can I do this?

In this case, the data feed customization is simple. I'm looking to take a futures data tick feed and filter ticks so that NT only records a tick when the tick is accompanied by a price change.

[bluelou]

I just caught the External Data Feed functionality. Would that work in my case? What are the limitations w/using External Data Feed? Is there any documentation on this?

[NinjaTrader_Bertrand]

bluelou, unfortunately we don't offer a full API for connecting a custom feed to NinjaTrader.

Inside NinjaScript you can use OnMarketData and OnMarketDepth to access Level 1 and Level 2 data in your scripts, but that's probably not what you seek.

[bluelou]

Bertrand,
What's the difference between offering a "full API" and the External Data Feed capability?

What problems would I run into if I filtered tick data using the IQFeed API and then tried to connect this to NT using External Data Feed? Is there no work-around here?

FWIW, none of the systematic traders/funds that I speak with use any of the off-the-shelf retail-oriented trading platforms and the inability to manipulate inhomogeneous data sets (e.g., tick, volume data, etc.) is one of the key reasons.

[NinjaTrader_Bertrand]

bluelou, sorry I spoke too soon - it's not a full blown API in terms of a limited function range.

But for your custom tick datafeed you can of course try working with the 'External Data Feed' option / the Bid/Ask functions of the DLL interface.

http://www.ninjatrader-support.com/HelpGuideV6/Functions2.html

[bluelou]

Bertrand,
I'd like to do more than "try". Focusing on the External Data Feed functionality here's what I need to do: import price-tick data into NT to i.] drive real-time charting, ii.] populate historical charts, iii.] drive real-time trading, iv.] perform backtesting, v.] use the DOM, and iv.] populate the T&S window.

Is the External Data Feed sufficient for this or is there a limitation inherent in the External Data Feed that will effect the ability to do i.]-vi.] mentioned above?

[NinjaTrader_Bertrand]

bluelou, you can drive NinjaTrader with realtime level 1 data this way over the DLL interface, but unfortunately you can't populate charts with historical data. This is what I meant with it's not full blown API as it has some limitations.

[bluelou]

Okay, that's closer. Thx. Help me through how that would work as a practical matter... For instance, based on what you've told me I assume I CAN'T do the following using External Data Feed: populate a chart with historical data not already saved in a NT database file on my PC.

However, I assume I CAN do the following using External Data Feed: if I've already saved historical in the NT database on my PC and I want to drive a live chart and live strategy using both the historical data saved on my PC and the live feed called via External Data Feed I should be able to do this, right?

Or, when it comes to populating a chart and/or strategy is it the case that NT will look to populate any required data ONLY through the historical data maintained by the live feed data provider?

[NinjaTrader_Bertrand]

No bluelou, look as an example to the TradeStation connection using this feature - you import historical data via txt files to the local NT database. Live data then is populated through the DLL interface with the functions I referred you to.

[bluelou]

The last part of what you wrote was the heart of my question. Once I have historical data in the local NT database and I have the live feed via External Data Feed then will I be able to populate charts and run strategies that use a combination of historical and live data?

[NinjaTrader_Bertrand]

Correct bluelou, this is how the TradeStation connection option as cited also works. You can then fully backtest on this data and use the live Level1 data to drive the simulation engine with the order entry windows.

[bluelou]

Bertrand,
Thanks for you help. I think the External Data Feed may work for me.

[NinjaTrader_Bertrand]

You're welcome, great.