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Time and Sales data

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    Time and Sales data

    Is it possible to save Time and Sales data either in NT or to an exogenous file? Thanks.

    #2
    Hello JerryA,

    Thank you for your post.

    Unfortunately there is not an option to save T&S data however we appreciate your feedback and have assigned this feature request ID #120 in our tracking system.
    Christopher J.NinjaTrader Customer Service

    Comment


      #3
      How is the tick data saved as historical different than T&S

      How is the tick data stored (when the option "Save Chart Data as Historical" is checked) different than the T&S data?

      If I export the "ask" tick data as an example--what is it? I was thinking these are the trades at or higher than the current ask price.

      Is the exported tick-based data showing each trade--or is it batched by time stamp? If by time stamp-what is the granularity? (1 second or ??)
      Jim-Boulder
      NinjaTrader Ecosystem Vendor - Elephant Tracks

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        #4
        Tick data that is stored will only contain the volume and not each execution that you would see in the T&S window.

        I have provided the format that is used when storing data below:

        yyyyMMdd HHmmss;price;volume
        Christopher J.NinjaTrader Customer Service

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          #5
          thanks--what determines the writing of each 'record' in the file? In other words, what is driving the posting of each line in the file? Is it 'posted' every second or ??? Based on your reply I assume it is NOT a trade;

          thx again.
          Jim-Boulder
          NinjaTrader Ecosystem Vendor - Elephant Tracks

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            #6
            Anytime an execution occurs the price and volume will be recorded. I have provided a screen shot as well of how Tick data is recorder within NinjaTrader which can be seen within the Historical Data Manager.
            Attached Files
            Christopher J.NinjaTrader Customer Service

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              #7
              Thanks Christopher....

              Sorry to be dense--but isn't this the same as T&S? (each line is an execution (a trade) and shows price and volume)? I don't see the difference --

              I do understand that the data you showed in your screenshot doesn't indicate whether the trade is at bid or ask (which T&S does)--but other than that what is the difference?
              Jim-Boulder
              NinjaTrader Ecosystem Vendor - Elephant Tracks

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                #8
                Hello,

                That is the difference you hit the nail on the head. This would resemble the time and sales window except for data on if the trade occured on the ask or bid price.

                Let me know if I can be of further assistance.
                BrettNinjaTrader Product Management

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