Interactive Brokers and data provider?

[Daryl MacKay]

IB never provides tick data but Ninja still produces tick charts

IB does not provide any tick data at any time and this include real time. NEVER. Yet Ninja is able to produce tick charts in real time. How does this work and how come it doesn't work historically?

[NinjaTrader_Brandon]

Hello Daryl,

Thanks for your reply.

Real time data can be used to create any type of chart. NinjaTrader will receive the real time data and use this to plot the bars as they are created.
To access any historical data from your data provider they must provide that historical data. You can always save your real time data as historical to your local computer however to access at a later time.

[Daryl MacKay]

Still confused.

Well this is where it gets confusing.

The real time data coming from IB is at the 1 second resolution. It is not tick data.

The historical data available from IB is at the 1 second resolution. It is not tick data.

Real time Ninja can produce a tick chart from 1 second data.

Historically Ninja can't produce a tick chart from 1 second data.

Doesn't make sense to me.

[NinjaTrader_Brandon]

Hello Daryl,

Thanks for your reply.

I will demonstrate for you in a video after the market closes this information and show you how to get after market data. I will respond to your email I have been working with you on.

[wolf50us]

Brandon,

When you respond to Daryl's question I hope it is pubically here in addition to private email.

I have tediously collected IB's tick data for months by recording live data for historical purposes day after day via the record flag in the options menu.

All worked well and I even could do a limited backtesting.

Then one morning NinjaTrader crashed and poof, the data acquired after months of collecting data simply disappeared.

I faced the same problem Daryl is describing as I am unable to reload historical one second data, aka "tick data", from IB.

I can live with IB aggregating subsecond transactions into a single unit and calling that a tick, but losing all that data and not being able to recover it is painful.

If a data series can be configured as "tick" data for a Ninja chart and the data used to animate that chart is one second data from IB, then I don't understand why Ninja doesn't offer a < minute resolution for requesting historical data from a supplier.

Thanks in advance and in general I am extremely happy with NinjaTraders capabilities.

[NinjaTrader_Brandon]

Hello wolf50us,

Thanks for your reply.

It seems you properly had NinjaTrader set up to save your real time data as historical however this got deleted from your computer. To prevent this you will need to do backups of NinjaTrader regularly so that if something does happen you can restore it.
Below I have provide a link to the Backup and Restore section of our help guide.

http://www.ninjatrader.com/support/helpGuides/nt7/index.html?historical_data.htm

As for incoming data from IB being used to create tick charts, this is real time data. This is not second data. The real time data can be used to build any chart.

You could not use historical minute date to create historical tick data. This would be like wanting to create minute bars using just OHLC data from a daily bar. The information does not exist to create these bars.
To get historical tick data from a data provider they must provide historical tick data.

[wolf50us]

Brandon,

Thanks,

I will definitely use your backup suggestion in the future!!

I think I see what you are implying about the real time data. Is the data format of this real time data
coming from IB that is being used to animate a Ninja "tick" chart just "time, price and volume"
( no High, Low, and Open). Or are the High, Low, Open and Close simply collapsed to form a
single Last price to be used for the tick chart and also as reflected in the Last Price of OnMarketUpdate().

The tick count used for the bins in my Ninja tick chart exactly match the data as processed in OnMarketUpdate().

Thanks again!