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Where does the historical tick data come from?

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    Where does the historical tick data come from?

    When connected to Zenfire, I am able to download historical tick data for futures from nearly 6 months back in time. But I know for a fact that Zenfire limits historical tick data to maximum 3-4 days back in time.

    So the question is, where does this tick data come from? I assume it comes from a Ninjatrader server somewhere? If so, I am wondering where the server gets the tick data from? What data vendor? How consistent is the data? Does it record 24/7 or is there some other time session?

    I am asking because I plan on doing tick-by-tick backtesting, and I need to know that my data has a good overall quality.

    Let me know. Thanks.
    Last edited by StockStalker; 06-18-2011, 09:03 AM.

    #2
    Hello StockStalker,

    Thank you for your post.

    The Zen-Fire connection itself does not offer historical data. As a courtesy, NinjaTrader supplements this data from our historical data servers. You will be able to access up to 120 days of historical tick data from our servers, and sometimes much more depending on the instrument.

    The data on our servers is recorded from a live Zen-Fire connection and it is recorded 24/7.
    MatthewNinjaTrader Product Management

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      #3
      Thanks for your response,

      The instrument I'm testing on is the CL, is there 120 days worth of tick data available for this? Or more?

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        #4
        StockStalker,

        In a recent test, I'm seeing approximately 6 months of CL data on our servers. Note that only 120 is guaranteed and I do not know how long you would have access to the 6 months worth of tick data.
        MatthewNinjaTrader Product Management

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          #5
          Thanks for the answer Matthew.

          Can you tell me which data feed I must be connected to in order to download the historical tick data? I know being connected to Zenfire works fine, but what are the other options?

          Thanks

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            #6
            Hello StockStalker,

            The Zen-Fire connection will provide you historical tick, minute and daily data for the most popular futures contracts. If you require historical data for instruments not supported by Zen-Fire (indexes for example) or you wanted a backup then kinetick.com would be a cost effective option.
            MatthewNinjaTrader Product Management

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