Where can I get older tick data?

[StealthM93]

Hi markdshark,

Add your vote to this... Rather frustrating that there's only 90 days trailing for market replay data when NinjaTrader states that Market Replay is the most accurate way to backtest.

My suggestion to vote: https://forum.ninjatrader.com/forum/...-market-replay

See here: https://ninjatrader.com/support/help...l?set_up12.htm



Hope that helps!
Matt

[bltdavid]

Beyond 90 days, the only recourse is 3rd party providers
who will sell you the Market Replay data, and allow you to
download it in bulk.

See my posting here.

[QuantKey_Bruce]

I don't want to take this off track, but regarding the statement shown in the screenshot, "For the most accurate reflection of live market conditions you would want to use Market Replay data," you have then changed the meaning of this a bit to "Market Replay is the most accurate way to backtest." To the best of my awareness (but please correct me if I am wrong here), market depth (level II) information is not considered by the back-testing fill model regardless of settings. So, how would market replay be any more accurate for backtesting purposes than a similarly complete historical tick data download?

[NinjaTrader_BrandonH]

Hello markdshark,

Thanks for your note.

Historical data and Market Replay data are not the same. Market Replay data is the most accurate and holds both level I and level II (market depth) data. NinjaTrader stores level I and level II together in a single market replay file to ensure that level I and level II events are perfectly in sync per instrument. Market replay files have the ability to record time stamps down the 100 nanosecond level. However please note that we use the time stamp provided by the market data providers when storing data.

NinjaTrader will use historical tick data for playback if you choose to use the Historical data option. If the tick data from your provider is stamped with ask and bid data then NinjaTrader will use that to simulate the ask and bid price during playback. If your historical data provider does not support ask/bid stamped tick data then NinjaTrader will simulate the ask and bid price by setting it either to last price or last price +/- 1 tick at random.

See the 'Understanding how the Playback Works' section of this help guide page for more information: https://ninjatrader.com/support/help...8/playback.htm

Note that Market Replay data is only able to be downloaded one day at a time. You cannot download multiple days of Market Replay data simultaneously. We are tracking interest in a feature request to allow more than one day of Market Replay data be downloaded at one time and I have added your vote. This request is being tracked under the number SFT-2943.

As with all feature requests, interest is tracked before implementation is considered, so we cannot offer an ETA or promise of fulfillment. If implemented, it will be noted in the Release Notes page of the Help Guide.

Release Notes — https://ninjatrader.com/support/help...ease_notes.htm