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Importing Tick Data

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    Importing Tick Data

    I just downloaded some tick data and it's in the current raw format:

    Time,Ask,Bid,AskVolume,BidVolume
    2013.09.15 21:00:00.378,1.33607,1.33528,1.5,1.5
    2013.09.15 21:00:00.498,1.33607,1.3353,0.75,0.75
    2013.09.15 21:00:00.618,1.3361,1.33531,1.5,1.35
    2013.09.15 21:00:00.699,1.33606,1.33531,0.75,0.68
    2013.09.15 21:00:00.949,1.33606,1.33527,1.5,1.35

    which in excel looks like this:

    Time Ask Bid AskVolume BidVolume
    2013.09.15 21:00:00.378 1.33607 1.33528 1.5 1.5
    2013.09.15 21:00:00.498 1.33607 1.3353 0.75 0.75
    2013.09.15 21:00:00.618 1.3361 1.33531 1.5 1.35
    2013.09.15 21:00:00.699 1.33606 1.33531 0.75 0.68

    I did read a pertinent thread on the subject but am still confused as to what modifications are necessary to make it compatible with the NinjaTrader import function. The date has to change and the commas have to be replaced with semicolons, right?

    But I'm also a bit confused about the bid and ask columns - I will need both obviously, how can I import the entire data?

    Thanks!

    #2
    molecool, that would need to be done from two source files then, one for bid data, the other for the ask data.

    You are correct in understanding the needed formatting changes, all details would be also fully documented here - http://www.ninjatrader.com/support/h.../importing.htm
    BertrandNinjaTrader Customer Service

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      #3
      Originally posted by NinjaTrader_Bertrand View Post
      molecool, that would need to be done from two source files then, one for bid data, the other for the ask data.

      You are correct in understanding the needed formatting changes, all details would be also fully documented here - http://www.ninjatrader.com/support/h.../importing.htm
      I just saw the following thread:

      https://www.bigmiketrading.com/ninja...tick-data.html

      It is claimed there that the import would be impossible: "the files in which Ninjatrader stores bid, last, and ask data have one second time stamps so cannot be synchronized when backfilling charts".

      Can you please comment on this? I don't want to burn a lot of time for nothing.

      Comment


        #4
        Hi Molecool, the lowest timestamp granularity in NT7 is one second, that is correct.
        BertrandNinjaTrader Customer Service

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