Exporting tick data from NT8

[FREEN]

Question 1:

When I export NT8 tick data (not from "Get Market Replay data") I get this:

20160125 090000 0130000;45.06;45.06;45.07;100

...that I understand is a Tick Replay format:

yyyyMMdd HHmmssfffffff;last price; bid price; ask price;volume

But from the the help guide info I´m supposed to get this format:

yyyyMMdd HHmmssfffffff;price;volume

What do I missunderstand?

Question 2:

What is (or defines) the database limit for the amount of tick data for one (1) instrument? Same capabilities for NT7/NT8?

[NinjaTrader_MichaelM]

Hello FREEN,

Thank you for writing in. I have confirmed this behavior and will confirm the expected behavior with our product management team as soon as possible.

Thank you for your patience in the meantime.

[NinjaTrader_MichaelM]

Hello FREEN,

Thank you for your patience. NT8 converts all data to the tick replay (sub second granularity) format and compresses it into .ncd format. This allows you to use Tick Replay in NinjaTrader 8 and is also the reason you see that format when exporting. Regardless of what data you import/download, NT8 will always export data in this format. The other import formats are available to support NinjaTrader 7 and other historical data formats.

If you feel there is something which could be improved, please feel free to let us know and I will submit a feature request on your behalf.

As far as your second question, tick data is not stored directly in the database (NinjaTrader.sdf) in either NinjaTrader 7 or 8. It can be found in your Documents\NinjaTrader 8\db\tick folder. As such, I am not aware of any limitations here beyond your system's resources.

Please let me know if I may be of further assistance.

[FREEN]

So NT8 Market/Tick Replay (subsec) export files replaces all NT7 export formats? Sounds reasonable since all NT7 formats can be built from NT Tick/Market Subsec Replay.

Is this correct:
- All NT7 export formats can be imported in NT8?
- NT7 can´t import the (only) export format from NT8?

[NinjaTrader_MichaelM]

Hello FREEN,

All NT7 export formats can be imported in NT8?

Correct.

NT7 can´t import the (only) export format from NT8?

Only correct for tick data. For other data types like minute and day, can import in NinjaTrader 7.

Please let me know if I may be of further assistance.

[FREEN]

From NT8 export data:

20150922 200610 8960000;66.8;66.78;66.82;600
20150922 200610 9100000;66.8;66.78;66.82;1000

I´m confused with the last, ask, bid here. The ask and the bid on the first row didn´t meet in a trade (last) on neither the first nor the second row. What am I getting wrong? I would expect to find a trade at either the ask (uptick) or bid (downtick) here.

[NinjaTrader_JessicaP]

Hello Freen,

I was unable to reproduce your results using the following method :

1. Delete everything in the (My) Documents\NinjaTrader 8\db folder
2. Open NT8, and connect to a data feed
3. From the Control Center -> Tools -> Historical Data -> Load tab, get 1 day of tick data for the ES 06-16 contract. Ensure only 'Last' is checked
4. Export the data
5. See if neither ask nor bid match ask on any line.

I used a program to validate whether one of ask or bid matches last for every line of output. In my test it does.


May I ask, for you to reproduce the above test, and let us know if any lines contain a last price that does not match either ask or bid?

[FREEN]

Thanks Jessica!

I´m sure I´ll get the same result, but I´m not sure in what way that will help me with TNA (Symbol map for Kinetick), the target for my testing. From your answere I asume expected behaviour is a match for "last" for either ask (uptick) or bid (downtick)?! For TNA the behaviour isn´t consistent, for most lines there´s a match.

My question really boils down to if this data is supposed to be reliable for uptick/downtick counting?

Example from TNA export file (after deleting the db folder and re-downloading "tick"):

20160222 094116 6920000;45.2;45.1;45.25;500
20160222 094754 4140000;45.25;45.16;45.25;780
20160222 094805 3980000;45.25;45.16;45.39;220
20160222 103852 1790000;45.29;45.25;45.5;100

[NinjaTrader_JessicaP]

Hello Freen,

To clarify, what we are testing is whether at least one of ask or bid meets a trade price for every data point. This is why we are downloading last traded data alone. On my end, this data was reliable. If there are places where this is not the case for you, we will need to know the conditions where it is not so we may assist further.