Download Level II data

[space_trader]

hi,

Is it possible to download Level II bid/ask price and volume data (live or historical). Assuming proper data subscription service.

thanks

[NinjaTrader_Manfred]

Hello space_trader,

NinjaTrader 8 allows you to download Level II bid/ask/volume data as either Market Replay or Historical Data.

Market Replay comes directly from the NInjaTrader servers, includes Level 2 data including bid/ask and volume, and is supplied for the most common instruments only.

This data does not require a subscription and may be used with any version of the NinjaTrader platform.

To download Market Replay data, please click on Tools > Import > Historical Data, then select "Get Market Replay data".

More information regarding the Market Replay may be found in our HelpGuide at the following address:

https://ninjatrader.com/support/helpGuides/nt8/index.html?set_up12.htm#HowToDownloadPlaybackDataFromTheNinjaTraderServer

Alternatively, NinjaTrader is also able to use historical data in the playback, regardless of whether this was downloaded prior while receiving real-time data or specifically for the replay.

Using Historical Data does require an active subscription and would then download this data from your provider directly.

If historical data is used instead, the data availability depends on your provider and datafeed subscription (e.g. whether you receive tick/bid/ask data or if Level 2 data is included).

If you have any further questions in this regard, please let me know!

[MisterTee]

Hello Manfred:
Making sure I understand correctly, Investopedia defines Level II as a ranked list of best bid/ask (i.e. not just the top bid/ask but the order book) .
Does NinjaTrader 8 offer the ability to download Level II data (ranked list not just the top of the book) for US stocks (NYSE?NASDAQ) either from NinjaTrader or a third party? When I goto Historical data I don't see an option for downloading or importing other than Tick/min/day.

thankx

[NinjaTrader_Manfred]

Hello MisterTee,

Thank you very much for your reply.

NinjaTrader's Market Replay data is based on tick-based Level 2 data and is available going back 3 months.

However, NinjaTrader itself is a Futures brokerage, as such we are only able to offer historical and market replay data for Futures instruments that are also available through our brokerage.

To access Level 2 real-time data for Stocks you would have to connect to a supported provider, e.g. Kinetick.

Please don't hesitate to let me know, should you have any further questions!