Data Import

[reynoldsn]

I have obtained a large amount of CL tick data in CSV format that I would like to import into my NinjaTrader. How would I go about doing this?

[NinjaTrader_AlexG]

Hello reynoldsn,
Thanks for posting today.

The data in the .csv file need to be converted into a .txt file to be imported successfully, but if each of the columns of the .csv file match the necessary columns to import into NinjaTrader, the file can then be converted to a .txt file to be imported.

So long as the data matches format needed for importing and is a .txt file you can import into NinjaTrader as a tick format.

Our Help Guide discusses the format that this data must be presented in as well as how to upload it from the .txt file.

Here is a link to the help guide discussing Importing Historical Data. http://ninjatrader.com/support/helpG...?importing.htm

Please let us know if we may be of further assistance for anything NinjaTrader.

[reynoldsn]

From what I see in the documentation, Tick Format is:

yyyyMMdd HHmmss;price;volume

The tick file I have does not have volume. Can I set the value to "0"? Anyway, my strategy does not use volume. Will the file still import correctly?

[NinjaTrader_AlexG]

Hello,
Thanks for the reply.

If you just have the price and time then you will not have level 2 data. So if you are only looking for level 1 data then you should be fine.

Please let us know if we may be of further assistance for anything NinjaTrader.

[reynoldsn]

I was thinking about this some more and have a follow up question. I was looking at some CQG files to import and their data is broken down into bid and ask. However the tick format found at:

http://ninjatrader.com/support/helpGuides/nt7/?importing.htm

doesn't look like it's broken down like that. Doesn't the data need to include bid and ask prices? What am I missing?

[NinjaTrader_AlexG]

Hello reynoldsn,
Thanks for the posting today.

If you are looking to receive this data you will need to import the files as an ask and bid file for tick data.

Please let us know if we may be of further assistance for anything NinjaTrader.

[reynoldsn]

I don't understand - I've never imported data before - all I've ever done is use Ninja to download data (Level 1) for Market Replay. If I'm going to request additional contract data from CQG, I want to make sure I'm asking for the right thing. So when you say:

If you are looking to receive this data you will need to import the files as an ask and bid file for tick data.

I really don't know how to answer that.
Please advise.

[NinjaTrader_AlexG]

Hello,
Thanks for the reply.

If you wish to have the information show up as both ask and bid then you will have to have the files in an ask and bid file to import into NinjaTrader.

[reynoldsn]

If you wish to have the information show up as both ask and bid then you will have to have the files in an ask and bid file to import into NinjaTrader.

What would be the other choices? Isn't there always a bid and ask? What do you mean by:

..the information show up..

Show up where?

Sorry for the back and forth - you can understand I want to get it right or lose hours of time.

Thanks again.

[NinjaTrader_AlexG]

Hello,
Thanks for the reply.

You will be looking for file types in the format below.

When using the NinjaTrader format, the name of the text file to be imported must be the NinjaTrader instrument name followed by a period and "Last", "Bid", or "Ask" depending on the data type. For example:

MSFT.Last.txt for Microsoft stock last price data
ES 12-09.Bid.txt for the S&P E-mini December contract bid price data
$EURUSD.Ask.txt for the Euro/U.S. dollar currency pair ask price data

You will need these files if you are looking to see ALL those data types (bid, ask, last).

[reynoldsn]

Let me try to understand the difference between Bid, Ask and Last. Suppose the Bid for CL 09-15 is 48.01 and the Ask 48.02. What would be the "Last" value in this case?

[NinjaTrader_AlexG]

Hello reynoldsn,
Thanks for the reply.

The last price is not related to the bid or ask. The last price is the last traded price.

[reynoldsn]

My strategy uses the familiar NinjaScript routines EnterLong() and EnterShort() methods which place market orders. If I call an EnterLong(), I pay the "ask" and if I call an EnterShort(), I receive the "bid". If this is true, does it then follow that for historical data testing, I would only need to import "bid" and "ask" files and do NOT need to import files with "last" prices?

[NinjaTrader_AlexG]

Hello,
Thanks for the reply.

If I call an EnterLong(), I pay the "ask" and if I call an EnterShort(), I receive the "bid". If this is true, does it then follow that for historical data testing, I would only need to import "bid" and "ask" files and do NOT need to import files with "last" prices?

Not necessarily, remember the entry price may not be the same as your fill price and slippage can't be predicted. The simulator will use the data including last price to determine where to fill an order.

[reynoldsn]

Are we then saying that I should import all 3 types? When would you NOT import a certain type?