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How to download ES tick data from Bloomberg?

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    How to download ES tick data from Bloomberg?

    Hi,

    I have a Bloomberg terminal and want to download the tick data for a period of 2 years for backtesting purpose.

    I have got two questions:
    1. Has anyone managed to import the bloomberg tick data to NT7? If yes, please let me know the process.

    2. There are future contracts with five different expiry for a single security, say Emini S&P 500. So to download one year's tick data for ES, how to download the most efficient tick data from Bloomberg.

    I am looking forward to hearing from you.

    Thanks and regards,
    Fxheaven

    #2
    Hi Fxheaven, unfortunately we could not directly support connecting to a Bloomberg terminal, however if you can export the data to a ascii / txt file you could import tick, minute or daily data into NT with those steps -

    http://www.ninjatrader.com/support/h.../importing.htm

    For the different expiries, it looks to me like you would need to export the data for each expiry, import into NT and then let NT merge the data for you using it's auto continuous contract feature.
    BertrandNinjaTrader Customer Service

    Comment


      #3
      importing external tick data

      Hi,

      Can i import bid and ask tick data into ninja trader simultaneously?
      So when I convert the tick data into 1 minute candles I can access the Bid and Ask in my Strategy on Candle Close to execute orders at the right Bid or Ask Price?

      I read the import procedure and it only allows to select either Bid, Ask or last traded Price.

      Comment


        #4
        Alex, you would need to import per data type, so one file for bid, ask and last combined is not possible unfortunately.

        Once this is done you can add series data to your strategy programmatically and execute on either series as desired.

        http://www.ninjatrader.com/support/h...s/nt7/add3.htm
        BertrandNinjaTrader Customer Service

        Comment

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