Understanding bid/ask spread and historical data

[dweems]

I've run into a stone wall and need someone to help me understand what is going on. When I joined NinjaTrader and acquired data from forex.com, I was told to set up the connection with the "NinjaTrader historical server" check box checked because the data there was more complete. So I've been doing this for quite some time as I worked on algorithms to test my strategies. I admit that for too long a time I didn't account for the bid/ask spread, totally depending on the chart showing the "last" prices. Once I realized how critical it is to account for the spread, I changed my charts to show the last (same as bid for forex) and ask data overlayed on one chart panel. I noticed that most of the trading day the spread was somewhere around 2-4 ticks. Other times it would grow and I learned to exclude those hours from my analysis. Everything was going great until I started testing with the real time data. So you understand, I'm using the 1-minute charts. Suddenly the spread changed drastically, with the best spreads being about 14 ticks. Interestingly, if I reloaded all the historical data (Ctrl-Shift-R), the spreads went back to nice and narrow. I therefore thought it was something going wrong with my slow internet speed. I explored that awhile until a couple days ago I got the demo account from Oanda. Lo and behold they show the same wide spread as forex.com! When I emailed support at NinjaTrader about this discrepancy about the spreads, I was told to uncheck the "NinjaTrader historical server" and was given no explanation about the discrepancy.

So what has NinjaTrader been doing with the historical data? Why is it so much better than live data? How can anyone develop strategies based on historical data trading when the historical data from NinjaTrader is bogus? I really want to understand because I doubt seriously that NinjaTrader is intentionally duping its customers.

And even more disturbing, how can anyone make money day trading when the bid/ask spread is so huge! Heck, at times it gets as high as 700 ticks! No one could possibly make money with such huge spreads! It was a challenge to deal with 2-4 tick spreads but this makes it nearly impossible to trade profitably. I'm so confused.......

[NinjaTrader_ChelseaB]

Hello dweems,

To confirm this is with a NinjaScript you are developing? (This is posted in the General Development section of the forums, so I am assuming you are referring to development)

Note, that with forex Last data is actually just bid data. With forex there is no centralized exchanges so there is true Last data, and NinjaTrader substitutes bid data instead.

The bid and/or ask can be selected with AddDataSeries() in code by specifying the MarketDataType.

https://ninjatrader.com/support/helpGuides/nt8/adddataseries.htm

In the script you could then compare the primary series bid data BarsInProgress 0 with the secondary series ask data BarsInProgress 1.

[dweems]

Yes, I am developing with ninjascript. And, yes, I know that last and bid are the same. And I am able to display both bid/last and ask on my charts at the same time by overlaying two charts.

As for my questions, I just got a reply from email support that NinjaTrader gets their data from FXCM. Why would their data be better? Plus, we in America (even Great Britain) can't get accounts with them and additionally they apparently don't support NinjaTrader, so that tells me we're screwed. Unless there is another data provider / brokerage we can connect to that has quality data. I'm so ftrustrated....

[NinjaTrader_ChelseaB]

Hello dweems,

I wouldn't be able to say if one providers data is better or worse than other providers.
Yes, from my understanding FXCM has exited the US market.

Each provider for forex is only showing data for their trading pool (the brokerages bank) as there is no centralized exchange. This can mean that forex from different providers can be different.

Kinetick, IQFeed, BarChart, Interactive Brokers, eSignal, and Forex.com, all support forex data.

https://ninjatrader.com/support/helpGuides/nt8/data_by_provider.htm