Historical Bid/Ask Data

[NinjaTrader_Brandon]

Hello Surf714,

Thanks for your reply.

Please write into platformsupport[at]ninjatrader[dot]com with a link to this forum topic so I can schedule a call with you to verify if this is a data issue or a coding issue.

[pbmi66]

Hi,

As far as I am aware, it is still not possible to correctly back-fill Ninja indicators with historical bid/ask data - regardless of whether your data provider provides the data.

This is due to:

1. the way in which Ninja stores bid/ask data as a separate DataSeries for each, which are referenced by .Bid and .Ask - e.g:
Add(this.Instrument.FullName,PeriodType.Tick,1,Mar ketDataType.Bid);
Add(this.Instrument.FullName,PeriodType.Tick,1,Mar ketDataType.Ask);

and

2. the level of granularity of the timestamp, presently 1 second, which means you can't synchronise the correct .Bid or .Ask data with a historical tick from .Last.

The only workaround at present is a custom development, whereby you write an indicator to save the bid/ask data, together with the last trade data, to disk in real-time and then load this data file at a later date to back-fill your charts.

Check out the GOMI indicators on bigmiketrading.com for a download that does this...

[Surf714]

@pbmi66.... Thank you for the info.

I wonder if in future version of NT, they would address this issue and find a solution for this challenge...

[bob789]

...
Check out the GOMI indicators on bigmiketrading.com for a download that does this...

And the BaBAR download on BMT if you have IQFeed.

[Drmayer]

I know the last post on this thread is a couple of months old, but does anyone know if the problems with recording & accessing bid/ask depth (the problems discussed in this thread) will be resolved in NT8 since the database now has millisecond granularity? Will we still need BaBAR or GomRecorder?
Thanks,
Drew

[NinjaTrader_Brandon]

Hello Drmayer,

Thanks for your post.

At this time in NinjaTrader 8 beta, Tick Replay fixes this issue in the context of historical bid/ask data. This does not cover L2 however.