inhomogenous/custom data series (tick data)

[bluelou]

In a future version of NT it would be a huge benefit to have the ability to manipulate inhomogenous data series. For example, most traders working with tick data don't just use raw tick bars, instead, they transform the data into a custom time series.

Presently, the only way to do this w/NinjaTrader is to work with the data provider API (which is what I've done).

NT could be a much more powerful app for intraday traders if this could be done from within NT as it is in higher end trading platforms and in statistical packages such as R and Matlab.

[NinjaTrader_RJ]

Hello bluelou,

thank you for your post.

The following is from the NinjaTrader 7 Features and Development status page: (http://www.ninjatrader.com/webnew/NT7/NinjaTrader7.html)

July 9, 2009: We decided to implement a bar series caching logic which seriously improves performance in backtesting, loading charts, application startup among other things. In behind the scenes, when you request a 5 minute chart NT buids aggregates these bars from 1 minute base, if you request a 500 tick chart, it aggregates form 1 tick data. By caching, we store the 500 tick series on your local disk. Basically, you ge ta 500x speed improvement on subsequent requests for this bar series.

If this is what you are referring to, it will be available in NinjaTrader 7.

[bluelou]

RJ,
No, what you mentioned below wasn't what I was talking about. But, I'm glad to see that you've finally moved in that direction regarding tick data storage.

Much of what higher-frequency traders are doing with tick data is well-documented in the high-frequency finance literature. As one example, traders will take inhomogenous data (irregularly-spaced tick data) and transform the data into regularly-spaced intervals. One way to do this is to use different tick/bar rates in different hourly bins in a trading day and to smooth these hourly bins with a polynomial.

It's not reasonable to expect NT to turn itself into a statistical s/w program but what you could do is offer simple tick (and maybe volume) data flow customization options such as a check box for allow/don't allow duplicate ticks at the same price, and the ability to customize the tick bar rates at, say, 10 minute intervals.

Currently, the only way to do any of this with NinjaTrader is to manipulate the data feed from the data provider API (e.g., this can be done w/IQFeed).

Here's a Google Books example of how some of this is being done in S-Plus/FinMetrics (see around p. 314)

http://books.google.com/books?id=SGhHRQSPbBIC&pg=PA313&lpg=PA313&dq=inhomogenous+time+series&source=bl&ots=mKDbL1tg0l&sig=4jx8xDEN8OQB0BghKrB0CtlXxGY&hl=en&ei=VO-XSourJdKYlAeQ5o2zBQ&sa=X&oi=book_result&ct=result&resnum=10#v=onepage&q=inhomogenous%20time%20series&f=false

[NinjaTrader_RJ]

Thank you for the clarification and the example.

I will forward this information to development for future consideration.