Historical bid/ask traded data in NT 7

[JS999]

Will NT 7 record whether a trade occurred at the bid or the ask? Currently in NT 6.5 that is not recorded, so any indicators based on that have to be real-time only. Will that also be the case in version 7?

[NinjaTrader_Jason]

Hello JS999,

I do not believe this will be supported in NinjaTrader 7. I will forward your inquiry to our development team and ask them if they can add this to the list of future considerations for the software.

Thank you for your feedback.

[JS999]

Hello JS999,

I do not believe this will be supported in NinjaTrader 7. I will forward your inquiry to our development team and ask them if they can add this to the list of future considerations for the software.

Thank you for your feedback.

Please do. This is very useful information, and it's only one extra field in the database, so it's not that hard to do. If you don't record it as it's happening, that information is lost forever.

[darthtrader]

It would be nice to have a line in the database for bid/ask..
keep in mind from this part of the update it sounds like you will be able to backfill indicators to the degree your data vendor provides it..
"New Ask/Bid Charts
When creating a chart, you can select that market data type (Ask, bid or last) that the chart is driven by. Historical bid/ask data is only supported by some broker and market data vendors."

I'm assuming with something like DTN, that means you can backfill 60 days worth and probly backtest on 60 days worth..but you won't be able to collect data for a month and then backtest 90 days worth since there is no line for this info in the database to pull it from.
I'm also assuming the issue with something like volume profile vanishing once you do anything will be taken care of by being able to backfill it.

[TradingDreamer]

I have a question regarding the bid/ask price with nt7. I have years of historical data that contains last, bid, ask. I would like to run through and test trade this data. One of the indicators I have is BuySellVolume Pressure based on if the trade happens at the bid or ask price and then calculate the volume of bids and volume of asks. Do you know if there will be the ability to test historical data through an External datafeed or importing data to calculate these results. Market Data Replay will help, but won't beable to download all my historical data. Or will NT7 have a different method to provide this testing. There are a lot of powerful features in NT, but I find it a little frustrating that it is hard to back test historical data similar to live trading.

[NinjaTrader_Kyle]

Hi TradingDreamer,

Thank you for your post.

In this case, you would need to program something that can feed the data in to NinjaTrader as if it were real-time through the external data feed.

Unfortunately, we would not be able to support this.

[TradingDreamer]

Yes thank you for the response. I know that I can feed the data in as an External Data feed, but I don't think an external data feed supports bid/ask? Does NT6.5 support bid/ask? Will NT7 external datafeed support bid/ask? As far as I can tell, only the historical data format is supported. Date - Time - Last - Volume. Since I am new to NT, any general feedback regarding bid/ask external data feed would really help, and then I can explore the details.

Thanks.

Hi TradingDreamer,

Thank you for your post.

In this case, you would need to program something that can feed the data in to NinjaTrader as if it were real-time through the external data feed.

Unfortunately, we would not be able to support this.

[NinjaTrader_Bertrand]

TradingDreamer, Level 1 data is supported through the AT interface options. Historical data access is unfortunately not supported and you would need to use the Import txt files option, just as in the TradeStation connection we offer.