Tick data import question (millisecond values)

[kw123]

Hi,

I am some tick data that has the following format:

DateTime Price Size
2009-07-23 10:42:55.745 4103 2
2009-07-23 10:42:57.808 4102 2
2009-07-23 10:43:02.745 4103 4
2009-07-23 10:43:03.308 4102 2
2009-07-23 10:43:07.245 4102 40
2009-07-23 10:43:11.683 4102 10
2009-07-23 10:43:22.230 4103 2
2009-07-23 10:43:28.292 4102 10
2009-07-23 10:43:28.792 4103 2
2009-07-23 10:43:31.292 4103 4
2009-07-23 10:43:31.730 4103 10
2009-07-23 10:43:33.292 4103 6
2009-07-23 10:43:34.230 4103 2
2009-07-23 10:43:35.855 4103 10
2009-07-23 10:43:37.230 4102 2
2009-07-23 10:43:37.792 4103 60
2009-07-23 10:43:39.230 4103 2
2009-07-23 10:43:42.792 4103 10
2009-07-23 10:43:45.230 4102 4
2009-07-23 10:43:52.245 4102 4
2009-07-23 10:43:53.245 4103 4
2009-07-23 10:43:54.745 4102 6
2009-07-23 10:43:59.261 4102 12
2009-07-23 10:44:02.261 4102 2
2009-07-23 10:44:02.776 4102 4
2009-07-23 10:44:03.839 4102 2
2009-07-23 10:44:05.776 4102 40
2009-07-23 10:44:07.839 4102 6
2009-07-23 10:44:08.776 4102 2
2009-07-23 10:44:09.276 4102 14


As you can see, the time is there is millisecond value after the second value, can anyone tell me how to convert this format into the format that Ninjatrader recognize? Anything above 500 milliseconds is counted as next second, for example, 2009-07-23 10:44:08.776 convert to 2009-07-23 10:44:09, 2009-07-23 10:44:02.261 convert to 2009-07-23 10:44:02 ?

Thanks.

[NinjaTrader_Jason]

Hello kw123,

Unfortunately I am not sure how you could convert this format into the format listed at the link below.

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

I did a search on the forum and found the link below, however I do not think it will convert the format your data uses.

http://www.ninjatrader-support2.com/vb/showthread.php?t=6170&highlight=convert+historical+import

[kw123]

Hi Jason,

Thanks for your reply. Actually I was just asking for opinions about whether any time data with millisecond value above 500 should be counted towards the next second, for example,

2009-07-23 10:44:08.776 has a millisecond value of 776, which is above 500, thus should it be converted to 2009-07-23 10:44:09 before being imported into NT?

and

2009-07-23 10:44:02.261 has a millisecond value of 261, which is below 500, thus should it be converted to 2009-07-23 10:44:02 before being imported into NT?

[NinjaTrader_Jason]

Yes, that would be a logical approach.

[kw123]

Great, thanks once again.

[mrlogik]

kw123,

NT supports second granularity, therefore you should round milliseconds to the nearest second.

[Benske]

Hi,

I am some tick data that has the following format:

DateTime Price Size
2009-07-23 10:42:55.745 4103 2
2009-07-23 10:42:57.808 4102 2
2009-07-23 10:43:02.745 4103 4
2009-07-23 10:43:03.308 4102 2
2009-07-23 10:43:07.245 4102 40
2009-07-23 10:43:11.683 4102 10
2009-07-23 10:43:22.230 4103 2
2009-07-23 10:43:28.292 4102 10
2009-07-23 10:43:28.792 4103 2
2009-07-23 10:43:31.292 4103 4
2009-07-23 10:43:31.730 4103 10
2009-07-23 10:43:33.292 4103 6
2009-07-23 10:43:34.230 4103 2
2009-07-23 10:43:35.855 4103 10
2009-07-23 10:43:37.230 4102 2
2009-07-23 10:43:37.792 4103 60
2009-07-23 10:43:39.230 4103 2
2009-07-23 10:43:42.792 4103 10
2009-07-23 10:43:45.230 4102 4
2009-07-23 10:43:52.245 4102 4
2009-07-23 10:43:53.245 4103 4
2009-07-23 10:43:54.745 4102 6
2009-07-23 10:43:59.261 4102 12
2009-07-23 10:44:02.261 4102 2
2009-07-23 10:44:02.776 4102 4
2009-07-23 10:44:03.839 4102 2
2009-07-23 10:44:05.776 4102 40
2009-07-23 10:44:07.839 4102 6
2009-07-23 10:44:08.776 4102 2
2009-07-23 10:44:09.276 4102 14


As you can see, the time is there is millisecond value after the second value, can anyone tell me how to convert this format into the format that Ninjatrader recognize? Anything above 500 milliseconds is counted as next second, for example, 2009-07-23 10:44:08.776 convert to 2009-07-23 10:44:09, 2009-07-23 10:44:02.261 convert to 2009-07-23 10:44:02 ?

Thanks.

Hi Vitamin C,

I just tried to download your file but it seems the link no longer works? Is this still available for download?

Thanks