Where ninja trader gets footprint data from

[kvakana]

Hello,

Me and my mate are using ninjatrader 8 with footprint charts for a year. And it is flawless.
We want to dip a bit to the algo trading side and also enhance our tools outside of the ninjatrader. Since there is no cooperation on the ninjatrader.
Which is the only thing that we need to be more effective.

But I cant get the right data for the footprint charts?
I pretty much need just what does the ninjatrader shows us in the footprints. Which is the bid/ask volume per price level per candle.

I have done my own connection to the FXCM (we use FXCM) via their java api. But I dont seem to get any kind of volume from the tick data.

I would like to know, where from does the ninjatrader gets data from and if its somehow FXCM data + some ninjatrader enhancement.

Thank you!

[NinjaTrader_Erick]

Hello kvakana ,

Thank you for reaching out.

Are you trying to extract the data from the Footprint charts through code? With the purpose of using that data to fuel a custom automated strategy/algo?

If so, please reach out to our engineering team directly at scriptingsupport@ninjatrader and they can guide you with their expertise in this regard.


FXCM is forex data I believe, so it would not be plotting the same as Futures data does. Unless you are getting Futures data from FXCM as well?

Please see this link for more on how the Volumetric bars work: Volumetric Bars - Order Flow+ on NinjaTrader Desktop

To effectively use Order Flow Volumetric Bars, ensure your data provider supports historical bid/ask tick data for DeltaType BidAsk classification. If only 'last' historical tick data is available, DeltaType UpDownTick mode can be used.

• You can confirm if your data provider supports historical bid/ask tick data from this page: Data by Provider
• Volumetric bars are not supported for Forex spot data due to the lack of centralized auction-based market data.

The available historical data that populates within NT8 will depend on what data provider you connect to.

Connections that use the NinjaTrader Historical Data Servers are Rithmic, CQG based connections, and certain Forex connections when selected within the connection settings.

*The amount of historical data available for connections that do not use the NinjaTrader Historical Data Servers would be dependent on the provider and you may reach out to them for more information.

The amount of data stored on the NinjaTrader Historical Data Servers:

• historical tick data - 1 year
• historical minute/day data - usually 10+ years
• playback data - 90 days - Futures and Forex instruments only

Note this amount may vary slightly depending on the specific instrument.


Let us know if you have any other questions.