Need explanation on importing tick data, please

[danilam]

Hello,

I need to import tick data (both trades and bid-ask) to NT7. I remember reading somewhere here, that NT7 doesn't support milliseconds in timestamp.
The question is: and how we can be sure about synchronization of ticks(trades) and bid-ask's?.
OK, let's think. I've got bid-ask in 1 file and trade ticks in another. I can import it, because I was able to wrote CustomImport Type for my Reuters historical data, which I shared in General Programming forum.
Can you explain how the import process works, please? I guess when we import bid-ask (and we do it separately for each, don't we?) NT just takes the number of quotes and separate the second equally in the number of those changes. Correct?
But how does it work for ticks? Especially, again, considering that we import each type: bid, ask, trade - separately, one thing at a time. I don't see the problem for bid-ask separate import, because there will be same number of them both.
The main concern is - synchronization of bid-ask with trades. In almost any market the number of bid-ask changes (mainly volume) will be much higher than actual trades-ticks. Suppose, we have 300 bid-ask changes and 100 actual trades-ticks. How will NT7 deal with that synchronization during the import?
I ask, surely, because due to my development i want to assess both bid-ask and ticks-trades at the same moment.

Thank you.

[NinjaTrader_Brett]

Hello,


Thank you for your note.


They will be synced down to second granularity this is as far down as NinjaTrader is capable of syncing at this time as this is the minimum time stamp value that can be stored in our database. This is done for many reasons, performance being one of them. It is on developments list to look into to see if anything could be changed here in a future major release of the software however this is still sometime down the road.

Let me know if I can be of further assistance.

[NinjaTrader_Bertrand]

Hello,

I need to import tick data (both trades and bid-ask) to NT7. I remember reading somewhere here, that NT7 doesn't support milliseconds in timestamp.
The question is: and how we can be sure about synchronization of ticks(trades) and bid-ask's?.
OK, let's think. I've got bid-ask in 1 file and trade ticks in another. I can import it, because I was able to wrote CustomImport Type for my Reuters historical data, which I shared in General Programming forum.
Can you explain how the import process works, please? I guess when we import bid-ask (and we do it separately for each, don't we?) NT just takes the number of quotes and separate the second equally in the number of those changes. Correct?
But how does it work for ticks? Especially, again, considering that we import each type: bid, ask, trade - separately, one thing at a time. I don't see the problem for bid-ask separate import, because there will be same number of them both.
The main concern is - synchronization of bid-ask with trades. In almost any market the number of bid-ask changes (mainly volume) will be much higher than actual trades-ticks. Suppose, we have 300 bid-ask changes and 100 actual trades-ticks. How will NT7 deal with that synchronization during the import?
I ask, surely, because due to my development i want to assess both bid-ask and ticks-trades at the same moment.

Thank you.

One thing to add : you could do your dev work on Market Replay data, here the Level 1 and Level 2 data sequence of events is preserved as you're dealing with realtime / live recorded data. The MR controller offers an NS accessible clock similiar to DateTime.Now for realtime data as well (Bars.MarketData.Connection.Now).