Convert market replay data to historical one minute data

[Stardriver]

Hello everyone,

Just for information, in case of someone read this topic.

The IQFeed support answer me and made me realise that it is actually possible at certain times (especially during extended trading hours) that the market is so illiquid that there are no transactions for one or several consecutive minutes (I confirm that by comparing historical tick and minute data).

I'm not sure if this explains the systematic absence of candles (when there are missing candles), but being aware of this fact changes my perspective, and I will adjust my analysis accordingly to account for this.

So the fact that there are some gaps on historical minute data is not a problem for me anymore (and so I no longer need to be able to convert market replay data to historical one minute data).

Sincerely.

[Stardriver]

Hello Spencer,

Thank you for your answer,

I don't think any data provider will receive my request when I'll point them thousands of missing candles on one Instrument.

Furthermore the historical data window use the data of the data provider so it doesn't make any difference.

I was thinking about a NT script who use the NT api to load market replay data then convert and export them, but I feel that it's too much to ask.

Nevertheless if you or anyone who read this topic have an idea of how to produce this script I would really appreciate it.

[NinjaTrader_Spencer]

Hello Stardiver,

Thank you for your post.

There is no native way to convert Market Replay data into Historical Data.

One option would be to contact a 3rd party historical data provider for the data you wish to obtain.

If you are looking for historical Futures data and are using NinjaTrader 8.1 you may connect to the Simulated Data Feed and then use the Historical Data window to download historical data.

[Stardriver]

Hello,

Here is my problem:

I need perfect historical data on some instruments (on futures) in one-minute intervals (last) for the past few years.

So, I subscribed to Kinetick, but later I learned that Kinetick only guarantees the quality of historical data in one-minute intervals for the last two years from the current date.
Even within the last two years, I noticed some gaps in the historical one-minute data.

So, I subscribed to IQFeed, where it is explicitly mentioned on their website (unlike Kinetick) that they offer 11 years of historical data in one-minute intervals with high quality data.

However, I encountered the same problem with IQFeed, facing gaps in historical one-minute data on the few examples I tested (in fact, I found Kinetick's data quality to be more satisfactory on the few examples I tried).

I subscribed to a third-party service to obtain market replay data.

Therefore, my last chance to get perfect historical one-minute data is to convert my market replay data into historical one-minute data.

Do you have any idea how I can achieve this (through a strategy, export, algorithm, etc...)? I'm open to all solutions.

Thank you in advance.

P.S : not sure if I post in the right section (Platform Technical Support) sorry if it is not the case.