Ticks from bid/ask

[andrius]

Hello,

I have data file that holds bid and ask prices in such format:

Symbol,Time,Bid,Ask
CUR/ENCY,2011-10-02 17:01:05.000,0.96564,0.96586
CUR/ENCY,2011-10-02 17:04:01.000,0.96576,0.96598
CUR/ENCY,2011-10-02 17:04:01.000,0.96577,0.96601

Time column always has ".000" as last 3 digits, that's NOT milliseconds that vary.

I would like import these prices and have tick data for charts. After analyzing http://www.ninjatrader.com/support/helpGuides/nt7/importing.htm it seems to me that there is no direct way to achieve my objective. I can script any data converter, but what approach should be used here if that's at all possible?

NT7 tick data file is yyyyMMdd HHmmss;price;volume

I considered to split each bid and ask line from source data to two separate lines each containing only bid, or ask with volume 1 like this:

yyyyMMdd HHmmss;bid;1
yyyyMMdd HHmmss;ask;1

But would it be realistic data?

[NinjaTrader_Bertrand]

Hi andrius, you could specifically create 2 files to import, bid and ask data that NT would store. Currency spot charts are normally driven on the bid in case there's no real last price.

[andrius]

Hi Bertrand,

I just want to make sure I got it:
1. I make two separate files, one for bid, next for ask, and use number 1 for volume column? Or should I skip that volume field completely - how to handle volume field?
2. I need to import both bid and ask files? Or should I import bid only with "Data type" set to "Last"?

Thank you.

[NinjaTrader_Kyle]

Hi andrius,

1.) Two files would be created as you outline here, correct.

2.) Bid, ask and last price should all be imported.

[andrius]

Kyle,

I know import types are unsupported stuff, but does it make sense, or it breaks something:

NextDataPoint() besides other things contains:
-------------------------------------

double _bid = Convert.ToDouble(lines[2]);
double _ask = Convert.ToDouble(lines[3]);
Open = _bid;
High = Math.Max(_bid, _ask);
Low = Math.Min(_bid, _ask);
Close = _bid; // <--- does it brake something?
Volume = Convert.ToInt64(1); .. <--- should we hack volume=1 for tick ?

PeriodType = Data.PeriodType.Tick;

Time = new DateTime (Convert.ToInt32(lines[1].Substring(0, 4)), .........
//I extract Time there too.


NextInstrument() contains:
-------------------------------------

Instrument = Data.ExternalAdapter.GetInstrument(lines[0]);

Should we feed Instrument name as NT7 likes to display it, or Data.ExternalAdapter will catch foreign instrument and map it according to Instrument manager's mapping rules?

Thank you.
Andrius.

[NinjaTrader_Bertrand]

Sorry andrius, venturing into this territory would be unfortunately completely unsupported by us, you're welcome to play with it of course. For your volume question though, I believe 1 would be correct for FX tick data.