Market Replay - Getting historic data?

[jbarr]

Kyle,
I have a few questions for you. Historical data is important to many traders, not all, but many. Perhaps, the most universal way to deal with it would be a data feed simulator. Such a tool would guarantee a seamless access to a local or centralized data of whatever format. To me, for example, having fed into NT the 1min CSI database (both in real time for replay and as a historical) would prove invaluable. Some people have a lot of tick text files, and so forth. So, this data feed simulator would sit at, say, 7497, local or remote, and emulate IB feed using historical data as a source.
In case of a text file(s) it should be possible to define a format dynamically (some preprocessing probably is necessary, like indexing for the faster access), CSI and other dbs interface would be predefined etc. Of course, somewhat bigger subset of provider’s API needs to be simulated, as compared to a simple bid/ask/trade. This simulator will interact with any charting software, not only NT, but who's counting.
It would be nice to have a centralized repository where NT users would contribute their data for further free and unlimited usage by the others, but that, I guess, will eat up the entire www bandwidth. Yet, the net community does have a way of figuring stuff out - when people are really interested.
Anyway, it is no big deal to code something like this, at least a working alpha. I would do that and then make it public and free, of course.
I don’t want, however, to be inventing a bicycle. Maybe such a feed exists already? Or NT 7 will support it in some other way? The external data feed in NT6.5 is different from what I want, as far as I can see.
If you are at liberty to say, please, do.
Also, would you be willing to help? What data feed is better (easier, or richer, or otherwise) to simulate? APIs are well documented, but from NT standpoint? What API subset exactly NT needs from data feed to support historical data retrieval and real time acquisition? Maybe there is something else I need to know?
Best,
jbarr

[NinjaTrader_Kyle]

Hello jbarr,

Thank you for your post.

1.) I will forward your suggestions on to our development team for further consideration.

2.) Unfortunately, I cannot recommend one datafeed or brokerage partner over another.

Please let me know if you have any additional questions.

[paulchow2k]

Gains I'm having that exact issue... NT is time stamping based off of system time rather than off of the tick data file....

Guys,
I think someone suggested changing the system clock to the around the time of the tick feed.

regards

[BigDog008]

Guys,
I think someone suggested changing the system clock to the around the time of the tick feed.

regards

yes but then you can only replay the tickdata back at 1x speed

[alexnj]

utility to convert easily data to NT

The link to NT data feeder doesnt exist. Do you have a new one?
I am looking for a utility to convert excel to txt easily because in europe we have , instead of . and date format DDMMYYYY

[alexnj]

I downloaded the utility but always get errors
tried with txt and xls
Error: FileHelpers.ConvertException: Line: 1. Column: 737. Field: mOpen. Error Converting 'ϋ"8Error: FileHelpers.FileHelpersException: The delimiter ';' can´t be found after the field 'mBarDate' at line 1 (the record has less fields, the delimiter is wrong or the next field must be marked as optional).
at FileHelpers.DelimitedField.BasicExtractString(Line Info line)
at FileHelpers.DelimitedField.ExtractFieldString(Line Info line)
at FileHelpers.FieldBase.ExtractValue(LineInfo line)
at FileHelpers.RecordInfo.StringToRecord(LineInfo line)
at FileHelpers.FileHelperEngine.ReadStream(TextReader reader, Int32 maxRecords, DataTable dt)
at FileHelpers.FileHelperEngine.ReadFile(String fileName, Int32 maxRecords)
at FileHelpers.FileHelperEngine.ReadFile(String fileName)
at NTDataFeeder.MainForm.InitialiseEngine(String filePath)
What can I do. I am in europe and we use , instead of . and time format DDMMYYYY

[jpflores]

Hi,
I'm fairly new utilizing market replay. I have learned a lot by reading the associated threads. I have downloaded market replay data (.ntm) but cannot get the program to see it. Can someone please explain where the data is to be placed and how to access it if other than by going to file>connect>Market Replay Connection?
Thank you

[NinjaTrader_Bertrand]

Hi jpflores, the data needs to be copied in a folder with the recording date in this directory - MyDocuments\NinjaTrader 6.5\db\data - then it should appear as replay date when connecting to the MarketReplay connection.

[qtmspin]

Tick Replay w/ Bid & Ask

Is it possible to demo trade tick data w/ bid and ask information with NTDataFeeder?

I am using the eSignal format because the NT data format does not support Bid/Ask on tick data. Here is my test ESignal Tick format:

Q,080205,085915,2.7,2.71,34464,1000,SES ,SES
Q,080205,090001,2.7,2.71,34464,11000,SES ,SES

My goal is to get the Bid / Ask information to sim trade in NinjaTrader.

If I click [Submit Bid/Ask] I get this error:

Error :System.IndexOutOfRangeException: Index was outside the bounds of the array.
at NTDataFeeder.MainForm.playerTimer_Tick(Object sender, EventArgs e)

thanks,
Matt

[NinjaTrader_Jason]

Hello Matt,

I am not sure if I follow. Could it be the NTDataFeeder is an add-on developed by a third party vendor or another customer?

If so, please contact the creator of the add-on for assistance.

In addition, NinjaTrader will only accept historical tick data as per the format listed at the link below.

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

[vides2012]

dll historical data

Dear NinjaTrader forum,

I would like to ask if there's a way to feed historical data through the dll interface, or if there's any other programmable way(not the tools->historical data menu ). AFAIK Ask/Bid is for real-time data, and playback is not good for charting/testing.

[NinjaTrader_Jason]

Hello vides2012,

Unfortunately this is not supported.

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

[vides2012]

Hello vides2012,

Unfortunately this is not supported.
http://www.ninjatrader-support.com/H.../Overview.html

Too bad. Will it be supported in the future?

[NinjaTrader_Jason]

Hello vides2012,

I will forward your suggestion to our development team and ask them if they can add this to the list of future considerations for the software.

Thank you for your feedback.

[vides2012]

Hello vides2012,

I will forward your suggestion to our development team and ask them if they can add this to the list of future considerations for the software.

Thank you for your feedback.

That would be appreciated, thank you!