How to import this set of tick data

[dgslsps]

I have a set of tick data with millisecond precision. The data columns from left to right include Local Date, Local Time, Type, Price, Quantity, and Orders. The "Type" column has two categories: "Trade Aggressor on Buy" (meaning: Refers to the trade with the initiator on the buy-side) and "Trade Aggressor on Sell" (meaning: Refers to the trade with the initiator on the sell-side). Based on the data content, there is no Bid and Ask data; only Last (Trade) data is available.

As there are distinct "Type" categories indicating aggressive buying and selling, it can be inferred that the data represents active buying and selling. In the context of Order Flow Volumetric Bars, this corresponds to "Sell Volume per each price level seen in the bar" and "Buy Volume per each price level seen in the bar."

However, the data format does not comply with NinjaTrader's import format (one of NinjaTrader's import formats is: yyyyMMdd HHmmss fffffff;last price; bid price; ask price; volume). Could you please guide me on how to import this set of data into NinjaTrader to generate Order Flow Volumetric Bars?

LocalDate LocalTime Type Price Quantity Orders
20200127 180000124 TRADE AGRESSOR ON BUY 3247.25 1 2
20200127 180000128 TRADE AGRESSOR ON BUY 3247.25 1 2
20200127 180000246 TRADE AGRESSOR ON SELL 3247 11 10
20200127 180000247 TRADE AGRESSOR ON SELL 3247 3 3
20200127 180000247 TRADE AGRESSOR ON SELL 3247 1 2
20200127 180000247 TRADE AGRESSOR ON SELL 3247 1 2
20200127 180000247 TRADE AGRESSOR ON SELL 3247 1 2
20200127 180000247 TRADE AGRESSOR ON SELL 3247 1 2
20200127 180000247 TRADE AGRESSOR ON SELL 3247 1 2
20200127 180000247 TRADE AGRESSOR ON BUY 3247 3 4
20200127 180000580 TRADE AGRESSOR ON BUY 3247.25 1 2
20200127 180000735 TRADE AGRESSOR ON BUY 3247.25 1 2
20200127 180001204 TRADE AGRESSOR ON SELL 3247 1 2
20200127 180002525 TRADE AGRESSOR ON BUY 3247.25 1 2
20200127 180003091 TRADE AGRESSOR ON BUY 3247.25 1 2
20200127 180003122 TRADE AGRESSOR ON BUY 3247.25 1 2
20200127 180003669 TRADE AGRESSOR ON BUY 3247.25 1 2
20200127 180003703 TRADE AGRESSOR ON BUY 3247.25 1 2
20200127 180003868 TRADE AGRESSOR ON BUY 3247.25 1 2
20200127 180003933 TRADE AGRESSOR ON SELL 3247 1 2
20200127 180003945 TRADE AGRESSOR ON BUY 3247.25 1 2
20200127 180003946 TRADE AGRESSOR ON BUY 3247.25 2 3
20200127 180003947 TRADE AGRESSOR ON BUY 3247.25 2 3
20200127 180005395 TRADE AGRESSOR ON SELL 3247 3 3
20200127 180005395 TRADE AGRESSOR ON SELL 3247 1 2
20200127 180005395 TRADE AGRESSOR ON SELL 3247 1 2
20200127 180005395 TRADE AGRESSOR ON SELL 3247 2 2
20200127 180005395 TRADE AGRESSOR ON SELL 3247 3 2
20200127 180005395 TRADE AGRESSOR ON SELL 3247 5 4
20200127 180005396 TRADE AGRESSOR ON BUY 3247 1 2

[bltdavid]

I have a set of tick data with millisecond precision.

Really?

Are you sure what you have is 'historical tick data'?

It just looks like a list of buys and sells with millisecond timestamps.

[dgslsps]

At this stage, I'm not in a hurry to distinguish whether this set of data is historical tick data or a list of buys and sells with millisecond timestamps. What I urgently need to know is how to import this set of data.

[bltdavid]

At this stage, I'm not in a hurry to distinguish whether this set of data is historical tick data or a list of buys and sells with millisecond timestamps. What I urgently need to know is how to import this set of data.

Hmm, what do you mean by 'import'?

Are you trying to create bars on a chart?

If so, the data you have cannot be imported.

-=o=-

In NinjaTrader, 'import data' means you first have some
historical data, usually this kind of data is Daily, Minute,
or Tick -- this historical data (once formatted properly)
can then be imported from a text file and used to create
the bars on a chart.

Unfortunately, from an 'import historical data' point
of view, the data you currently have is completely
useless.

Why?
Because bars typically have 6 things: a timestamp,
OHLC price values, and volume.

Your example data does not have all these things, and
thus cannot be reformatted it into any proper NinjaTrader
import format.

More details available here,

https://ninjatrader.com/support/helpGuides/nt8/NT%20HelpGuide%20English.html?importing.htm

-=o=-

I think you have the 'not in a hurry to distinguish' idea
backwards -- your first task is to absolutely distinguish
the two kinds of data, because the list of buy/sells you
currently have doesn't do you any good to import as
historical data.

Make sense?