columns for Last, Ask, Bid tick data

[pedromoy]

Hi there,

I have been looking into https://ninjatrader.com/support/help...?exporting.htm to understand data formats specifically for exporting. I learned here in the forum that NT will always export tick data in the "Tick Replay Format" (please let me know if that is not the case). In this case, we have the format "yyyyMMdd HHmmss;last price;bid price;ask price;volume" for Last, Ask, and Bid data files.

Now, I am a little confused here with the format. So if I want to look at the bid price for instance at some given tick, would I go to the "Bid" data file, and look up "bid price" and not "last price?" Since all files have "last price;bid price;ask price," I am not sure what file and what columns to look at. Thank you.

Pedro

[NinjaTrader_Jason]

Hello Pedro,

Yes, when exporting historical tick data, it will be exported in the "Tick Replay Format".

Yes, I suggest to use the .txt file that exported Bid data. It will contain the bid data listed under the Edit-tab of the Historical Data window. The last price is the same as the bid price in the .txt file exported as Bid data.

[pedromoy]

Hi there Jason,
Thanks for your answer but I still have questions. It seems that the last price is equal to the bid price in both Bid and Ask files. But more to the point, so why can I not just get the bid price from the "bid price" column in the Last file? What is the difference for the "bid price" column between Bid and Last files? Thank you.
Pedro

[NinjaTrader_Jason]

Hello Pedro,

You can get the bid price from the .txt file that was exported as "Last" as well. Check the column that shows the bid price. However it does not show all bid prices, while the .txt file exported as Bid does contain all bid prices.

[pedromoy]

Hi Jason,
Thanks for the further clarification. Now, the Last file being the file containing the last transaction (the actual trade), I am going to assume it has all last transactions. So when you say that the Last file does not contain all bids, does that mean that these extra bids found in the Bid file were bids that were not part of an actual transaction? And also, is it necessarily the case that all bids found in Last will be in Bid? That is, Last's bids are a subset of the Bid's bids? Thank you.
Pedro

[NinjaTrader_ChristopherJ]

Both Bid and Last data will include the bid price at the time of execution and unfortunately when exporting Bid data it will not include all the depth of bids at that time.

[pedromoy]

Thanks Jason but I don't quite understand 100% how your answer is related to my questions. So it sounds like both Bid and Last file contain last transactions, so from what said, I am assuming bids in Last will be found in bids in Bid (will check that in a bit). Now, to simplify things, a question I asked originally, what are these extra bids in Bid not present in Last? Thank you.

[pedromoy]

Thanks Jason but I don't quite understand 100% how your answer is related to my questions. So it sounds like both Bid and Last file contain last transactions, so from what said, I am assuming bids in Last will be found in bids in Bid (will check that in a bit). Now, to simplify things, a question I asked originally, what are these extra bids in Bid not present in Last? Thank you.

Hi there,
I appreciate that you guys have a busy forum! Looking forward to understanding this a bit better. Thank you!
Pedro

[NinjaTrader_ChristopherJ]

Can you please attach a screen shot of the Last and Bid windows you are referring to that includes extra bids.

To send a screenshot with Windows 7 or newer I would recommend using Window's Snipping Tool.
Click here for instructions

Alternatively to send a screenshot press Alt + PRINT SCREEN to take a screenshot of the selected window. Then go to Start--> Accessories--> Paint, and press CTRL + V to paste the image. Lastly, save as a jpeg file and send the file as an attachment.
Click here for detailed instruction

[pedromoy]

Hi Chris,
Thanks for taking up this thread. So I noticed that the Bid file has more data than the Last file, as such, we established that there are "extra bids" in the Bid file than in the Last file.

Here are the last few bids from Last:



Here are the last few bids from Bid:



As seen above, the Bid file has more records than the Last file, and the Bid file time stamp finishes almost 3 minutes ahead of the last timestamp in the Last file.

Also, consider these times tamps in Last:



and these time stamp in Bid:



As seen above, the time stamp with time 015648 in Bid is not present in Last.

Thank you.

Pedro

[NinjaTrader_ChristopherJ]

When exporting Last data this will be based on the last execution price that occurred either bid, ask or between and the bid and ask data aggregated from the exchange at that time.

For this there could be differences when comparing exported Bid data to exported Last data.

[pedromoy]

Hi there,
As demonstrated in the thread, for the given time stamp, the Bid and Ask series display different last, bid, and ask prices by a tick. Regardless of the Last series, I would expect to have consistent prices among the series. I am still to understand why these two series are inconsistent with one another, which then leads to the question, which Series has the correct last, bid, and ask price (if I have to use the Last series to determine that, what use is the Ask and Bid series for if they are inconsistent?).
Pedro

[NinjaTrader_ChristopherJ]

Please send a note to Support [AT] NinjaTrader [DOT] com with "ATTN: Chris Jameson" in the subject line.

In the message, please include the following:
1.) A link to this forum thread.
2.) Attach your exported data files that you are referencing

[pedromoy]

Hi there,
As demonstrated in the thread, for the given time stamp, the Bid and Ask series display different last, bid, and ask prices by a tick. Regardless of the Last series, I would expect to have consistent prices among the series. I am still to understand why these two series are inconsistent with one another, which then leads to the question, which Series has the correct last, bid, and ask price (if I have to use the Last series to determine that, what use is the Ask and Bid series for if they are inconsistent?).
Pedro

Apologies Chris, the reply above was meant to go to the following thread:

http://ninjatrader.com/support/forum/showthread.php?t=102562