Rebuilding Tick Based Indicators on Historical Data
There are many indicators which require true tick by tick data for exact calculations (e.g. Delta, Volume Profiles).
Once you have some charts as range or tick charts open, I presume NT will save the tick information in its database.
However it seems that when you reload the chart and reconstruct the indicators on historical data, the tick by tick construction of the indicator is not supported natively by NT.
To workaround this problem gomifromparis has defined the GOMI classes to emulate how the tick by tick data is generated. However, it uses a disk file based system to store historical data. My experience is that it often runs into problems when it comes to data-integrity and persistence. The reliability is not to a level where you can use that as a reliable tick database.
The NT Replay feature clearly stores all the market data including DOM info so the information is available in the replay database. The question is how to get into the indicators?
Once you have some charts as range or tick charts open, I presume NT will save the tick information in its database.
However it seems that when you reload the chart and reconstruct the indicators on historical data, the tick by tick construction of the indicator is not supported natively by NT.
To workaround this problem gomifromparis has defined the GOMI classes to emulate how the tick by tick data is generated. However, it uses a disk file based system to store historical data. My experience is that it often runs into problems when it comes to data-integrity and persistence. The reliability is not to a level where you can use that as a reliable tick database.
The NT Replay feature clearly stores all the market data including DOM info so the information is available in the replay database. The question is how to get into the indicators?
- Emulation Mode: Is there a way to force the charts or indicators to be loaded in a manner where the OnMarketData function calls are made during the entire historical period, assuming the tick data is available and stored in the NT DBs? This is essentially what GOMI indicators are doing. What this implies is that for historical data, NT runs in the Replay Type mode and then goes live with the real-time data.
- Tick DB Structure Does the NT DB store bid-ask data also (or can be configured to do so) apart from trade ticks? The data import wizard suggests that only time/sales info is stored and not bid-ask info. However, replay files seem to have all the info required.
- Access NT DB Data in NT Scripts: Is there a way to access NT DB data in the indicator/strategy like GOMI indicators read from a disk file to rebuild the indicators?
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