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Import Tick Replay

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    Import Tick Replay

    Hello,

    We are trying to import Tick replay data as described in the help

    Tick Replay Format (Sub Second Granularity)

    Each tick must be on its own line and fields must be separated by semicolon (.

    The format is:
    yyyyMMdd HHmmssfffffff;last price; bid price; ask price;volume

    Sample data: (Note: If you wanted to import in millisecond granularity data then each line must have the remaining "0"'s behind it to import correctly.)
    20061107 0004311000000;1383.00;1383.00;1383.25;1
    20061107 0004561000000;1383.25;1382.50;1382.25;25
    20061107 0004562000000;1383.25;1383.25;1383.50;36
    20061107 0005377000000;1383.25;1383.25;1383.50;14
    We can not find how to do this in the interface.

    Can you please explain to us how to do this?

    Thanks in advance.

    #2
    Hello,

    Thank you for the question.

    I wanted to clarify as I was not sure what you meant by "We can not find how to do this in the interface."

    Are you trying to insert ticks manually using the Historical Data Manager? or are you trying to import a text file with the data in it?

    The instructions you have provided are describing the format the data needs to be in while in the .txt file.

    Can you confirm what specifically you are having trouble with in this regard?

    I look forward to being of further assistance.
    JesseNinjaTrader Customer Service

    Comment


      #3
      Hello,

      Yes, we try to import a text file with the Last, Bid and Ask data in it. But we are only able to import the seperated Last, Bid and Ask file....not the file that contains all the data.
      Can you tell us how to call the filename? Like (EURUSD.Last.txt)

      Thanks.

      Comment


        #4
        Hello,

        Thank you for clearing that up.

        Yes it would be expected that all the data can not be imported at once as there are seperate Ask, Last and Bid series.

        The format would be as you have indicated or : EURUSD.Last.txt

        If you are unsure what the filename should be, you can do the reverse of what you are currently or Export data for the instrument, that would give you the exact file name.

        I look forward to being of further assistance.
        JesseNinjaTrader Customer Service

        Comment


          #5
          Hello,

          Why is stated in the help that we can import the following file format:
          The format is:yyyyMMdd HHmmssfffffff;last price; bid price; ask price;volume
          But you state that this is not possible? Should you not change the help?

          Thanks

          Comment


            #6
            Hello,

            Thank you for the reply.

            Are you having an error during import? I am sorry but I thought we had addressed the question in the prior reply based on the way you had answered.

            I had asked: I wanted to clarify as I was not sure what you meant by "We can not find how to do this in the interface."

            Based on the reply it seemed you were trying to import, Last, Ask and Bid files all at once which is not possible, those are separate series and would have separate names.

            If you are trying to import Tick Replay as you said in the first post, it would be per the instructions in the help guide. Are you having a specific error while importing? If so, can you view the Control Center and its Log tab to see what the error during import was?

            The possible options for import are in the helpguide, if you are having trouble with any of the ways to import, please provide a sample of the data you are importing along with any Errors messages you see in the Log tab. Also if needed any images may be helpful.

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

            Comment


              #7
              As Stated here: https://ninjatrader.com/support/help...s/?seriest.htm

              One of the Data Types you can import is Tick Replay of format:

              Tick Replay Format (Sub Second Granularity)

              The format is:
              yyyyMMdd HHmmss fffffff;last price; bid price; ask price;volume

              There is no 'Date Type' option for Tick Replay to import under the Historical Data import options.

              No clear solution was specified here. Is the Tick Replay format just an alternative 'Last' format for importing. So use Tick Replay format in your file, and name it with the '.Last' naming convention, then select 'Last' for your Date Type?

              Comment


                #8
                Hello,

                Yes that would be correct, How the data is formed in the file you are importing would determine what kind of data is being imported, you can see the examples here: https://ninjatrader.com/support/help.../importing.htm

                Tick replay would use the examples noted for tick replay data which includes a Last price, this also has a Ask and Bid price tied to it.

                To import for tick replay, you would need to ensure the file you are importing is for tick replay or is the format listed in the helpguide specification:

                Sub Second Granularity
                yyyyMMdd HHmmss fffffff;last price; bid price; ask price;volume

                or
                Second Granularity
                yyyyMMdd HHmmss;last price;bid price;ask price;volume
                You would select Last for the import type as this is Last data with bid and ask prices tied to it.


                Please let me know if I may be of additional assistance.
                JesseNinjaTrader Customer Service

                Comment


                  #9
                  Thanks,

                  The import using 'Last' as suggested seems to run however it fails because I am getting many errors such as:

                  ..Ask Value needs to be greater/equal close value..
                  ..Bid Value needs to be smaller/equal close value..

                  It is my understanding that this is not necessarily the case. You can get 'Last' trades above the current Ask and vice versa for Bid in the tick feed, and tick data.

                  Please advise if this is a bug / actions to resolve.

                  Comment


                    #10
                    Hello,

                    Thank you for the reply.

                    Was this an export from another NinjaTrader installation or was it data from another source?

                    The error you are getting would be specifically because there is a check in place to prevent values that are not within the range shown in the errors.

                    If this was data exported from another NinjaTrader installation, could you list the steps used when exporting the data?

                    Otherwise if this was from another source, the solution would be for the values to be within the acceptable range, this would likely require that you change the file as needed.


                    I look forward to being of further assistance.
                    JesseNinjaTrader Customer Service

                    Comment

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