OrderFlow - Historical Data from IB

[siroki]

I love the OrderFlow featureset that comes with Ninjatrader. I am using Interactive Brokers as a data provider. When loading up a stock I cannot regenerate the historical OrderFlow profile because it doesn't load the historical tick data (I assume).

Can anyone point me in the right direction if it's possibe at all to re-generate for example up until n days ago a historical chart? And if so, do I need a specific data subscription package with IB?

Thanks.

[QuantKey_Bruce]

It is possible using IB's API to get historical tick data but this was only added quite recently (TWS 968). Does NinjaTrader support this? Or, is NinjaTrader's IB connection limited to the "old way" which was 1-second snapshots?

https://interactivebrokers.github.io/tws-api/historical_time_and_sales.html

[NinjaTrader_Jesse]

Hello siroki,

You can find a list of what each provider offers for historical data in the following link:

https://ninjatrader.com/support/helpGuides/nt8/data_by_provider.htm?zoom_highlightsub=providers

[QuantKey_Bruce]

Hello siroki,

You can find a list of what each provider offers for historical data in the following link:

https://ninjatrader.com/support/help...tsub=providers

NinjaTrader_Jesse That doesn't address my question above - it says "no" for IB historical tick data at the link you posted for "what each provider offers" but as you can see at the link I posted above IB does offer historical tick data now. Has NT been updated to support it? It would seem it is not that they do not offer it - it is that NinjaTrader does not support it?

[NinjaTrader_Jesse]

Hello QuantKey_Bruce,

The link you provided is an external website that may contain information that is unrelated to connecting in NinjaTrader. The link i provided shows what types of historical data are supported for each provider when connecting through those providers in NinjaTrader.

[Joia_]

Hello,

I think NinjaTrader_Jesse did not get the point, maybe siroki did not explain himself well enough.

As siroki said, IB supports tick-by-tick data through the API. The link he posted is a reliable link from IB (not an external website, since it is IB posting there).

Anyway, here is a link to IB saying they DO SUPPORT IT: https://www.interactivebrokers.com/e...-notes-967.php

So now, my question is: when will Ninjatrader implement this? Because it is critical, one of the only features that make traders like me choose Ninjatrader is what I can create in your platform, but without historical tick data, everything is useless for volume traders.

You do need to implement importing historical tick data from IB urgently to keep IB traders like me here. At least if you want to be in the game against them. There are important and urgent things, and I believe this is both.

So please, instead of referencing people to https://ninjatrader.com/support/help...y_provider.htm to read what YOU support, could you open a ticket for development?

Many thanks and have a nice day

[NinjaTrader_Jesse]

Hello Joia_,

What external websites say would not be relevant to NinjaTrader, the link that I had provided shows the currently supported historical data in NinjaTrader which is what you would need to go by. IB does not offer historical tick data in NinjaTrader which is what the NinjaTrader help guide reflects.

If development decides to further the adapter to support other features that would be published in the help guide when supported, currently that is not an option.

[Joia_]

Okay, that was the answer everyone was looking for.

IB supports Tick by tick historical data since april 2020, but Ninjatrader does not have this implemented and it will not be implemented.

Thanks Jesse