15 minute Tick

[rymoore99]

I have what is probably a novice question about doing simulated, historical trading using a 15 minute Tick:

1) If all of the symbols I am running on are using the "US Equities RTH" Session Template, will there actually be 27 "ticks" of my strategy's OnBarUpdate per day? (9:30, 9:45,10:00... 4:00). Maybe a better question is, is there a tick for 9:30 and 4:00?
2) If I have my Strategy Analyzer's "Data series" set to "Last", "Minute", and "15", how are the values (specifically Price and Volume) of a stock in a 15 minute update calculated? Is the price the last price within that 15 minute bar, or an average? Is the volume the sum of the volume of the entire 15 minutes, or just the last minute within that bar?

Thanks in advance

[NinjaTrader_Bertrand]

GM Ryan, NinjaTrader stamps the bar with the closing time, the bars you see for your 15 minute chart consist of the OHLCV data points for the periods, there's no calculation / assumptions involved here in terms of building the data.

Please also see this link from our help guide to learn how NT would built bars for different base data types when working with historical data (tick vs time) - http://www.ninjatrader.com/support/h..._are_built.htm

[rymoore99]

Thanks for the quick response!

So, ultimately what I'm trying to do is import data into my personal database that has been exported from the Historical Data Manager, and have that data be similar to the data I receive in the "OnBarUpdate" method in the simulator.

Currently, I am exporting Minute data (from Kinetick). I then iterate through that data and record the Price/Volume that is closest in time to my 15-minute intervals (9:30, 9:45, ...). Would this be similar to the data I will receive in the OnBarUpdate method?

Also, is this method applicable for real-time trading/data as well?

[NinjaTrader_Bertrand]

Yes, that should be similar and applicable to RT data as well - why are you not directly exporting from a 15 min chart?

Check for example into this sample exporting data from NT's chart to a text file - http://www.ninjatrader.com/support/f...ead.php?t=3477

[rymoore99]

Great, I will try exporting from a chart.

Can you tell me how volume is typically calculated over an interval like this? If I look at the minute data for volume of a stock, it can vary GREATLY (100x) within a 15 minute period. Is it normal to take the MAX volume or average volume within this type of interval?

[NinjaTrader_Bertrand]

You're welcome, volume is just accumulated across the interval, for historical data you receive this value from your provider, typically they offer 1 minute data downloads, those periods are then added to arrive at your final 15 min value. For realtime, incoming volume for the period is accumulated and stored by NT then in the database (provided the option to store realtime bar data under Tools > Options > Data is checked).

[rymoore99]

One issue I've run into, both when exporting data, and when running historical simulation is Splits. When, for example, a stock does a 4x1 split, my data actually shows up as being 4x the original value. Is there a setting or something I need to set to manage this correctly?

[NinjaTrader_Brett]

Hello,

If you need to adjust for splits or dividends then go to the control center->tools->Instrument Manager.

Edit the stock in question and go to the Misc tab, scroll down to the bottom you still see where you can input the data for the split.

-Brett